Index Investing

Best Smart Beta Paper 2016

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WINNER: EDHEC-Risk Institute

The Robustness of Smart Beta Strategies
This EDHEC paper examines the importance of robustness for smart beta strategies, explaining how a strategy being "relatively robust" differs from "absolute robustness". The authors describe how the robustness of smart beta performance can be assessed and quantified, describing various approaches, which may be used to improve the robustness of smart beta strategies.
 

HIGHLY COMMENDED

Smart Beta - Global Survey of Asset Owners by FTSE Russell
FTSE Russell's 2016 smart beta survey documents the findings from interviewing over 250 asset owners around the world. This detailed 40-page paper reveals that factor investing is continuing to gain ground, with over 70% of asset owners surveyed currently implementing or evaluating such strategies. The survey explores investor perceptions of smart beta, including the rationale for using these strategies and the methods of evaluation. The study examines strategic versus tactical implementation of factor strategies, and discusses the evolving roles of external managers and consultants within the process.

Will Your Factor Deliver? An Examination of Factor Robustness & Implementation Costs by CFA Institute
Within the indexing world, multifactor investing has become very popular in recent years. Both practitioner and academic researchers have recorded several hundred equity factors. But which of these are likely to profit investors once implemented? This original research was conducted by Noah Beck, Jason Hsu, Vitali Kalesnik and Helge Kostka. It was published in CFA Institute's Financial Analysts Journal.

Ten Misconceptions about Smart Beta by EDHEC-Risk Institute
Smart Beta strategies, as one of the strongest growth areas in investment management recently, have established a space in between traditional capitalisation-weighted (or "cap-weighted") passive investments and traditional (proprietary and discretionary) active management. The objective of this paper is to review ten common but mistaken claims about Smart Beta, and to shed light on the underlying issues.

Blending Factors in Your Smart Beta Portfolio by S&P Dow Jones Indices
In recent years, smart beta strategies have seen a significant increase in popularity. These strategies seek to measure systematic factors and aim to harvest the associated long-term risk premium. While many empirical studies show that smart beta strategies have historically outperformed their cap-weighted benchmarks, there is less evidence to suggest that any one factor will consistently outperform another. In fact, different factors tend to outperform in different market environments. Therefore, holding a combination of these strategies in a blended portfolio could potentially provide a powerful source of diversification and more stable excess return outcomes.
 

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About the Savvy Investor Awards

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch last year, more than 15,500 members from across the globe have registered for the site, with 100-200 new members joining every week.

We curate the best pensions and investment white papers from around the world, and having uploaded more than 15,000 white papers in 2015, have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to our institutional investor audience.

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