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Highlights

June 2

News Aberdeen adds smart beta fund to quant product range

The Fund offers exposure to five targeted ‘risk premia’ factors: value, quality, momentum, small size and low volatility. The investment objective is to provide investors with risk-adjusted returns with an emphasis on income generation and a volatility well below that of (...)

Innovation

Solactive launches Stable Income Europe Index

News

European Smart Beta ETF market flows accelerated in Q1 2017 at EUR1.8bn.

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April 27

Strategy Low volatility, the hidden factor

Robert Haugen, who discovered the low-volatility anomaly in 1972, wrote numerous articles and books to try to popularise what he called the ‘hidden factor’. To some extent, it was only the advent of smart beta investment strategies that turned his dream into reality, as low (...)

April 20

Strategy Quality, the positive factor

Quality is positive: it is about good companies that are efficient at managing their businesses profitably, creating shareholder value and being rewarded with above average returns. Yet, quality is not always easy to recognise or measure. Here are a few pointers for avoiding (...)

March 30

Strategy Value, the obvious factor

All famous investors from Benjamin Graham to Warren Buffet have, first and foremost, been fervent advocates of value investing. Value can be assessed in very diverse ways and value investing can also suffer from some drawbacks. Here are a few pointers for understanding value (...)

March 9

Innovation Invesco launches high-dividend, low-volatility ETFs

According to Invesco, Canadian investors are increasingly seeking income from their holdings but they may be concerned about the relatively limited opportunities within the domestic equity market. Foreign equity markets may provide greater (...)

February 8

Innovation Solactive launches Solactive SuperRegion Select Index licensed to Credit Suisse

Solactive AG, the German multi-asset class index provider, announces today the release of the Solactive SuperRegion Select Index. The new launch consists of a smart beta concept incorporating high dividend yield shares that also exhibit low historical volatility from Asia, (...)

November 2016

Strategy “Diversified Equity Factor Investing” combines four complementary factors that are loosely correlated with one another

Based on factor investment, this innovative approach capitalises on the attractive performances thus far of smart beta strategies. It is based on the combination, within the same portfolio, of four complementary factors that are loosely correlated with one another: Quality, (...)

October 2016

Interview Salwa Boussoukaya-Nasr : « We look at all the existing strategies that are based on risk metrics, factor-based or fundamental values approaches. »

According to Salwa Boussoukaya-Nasr, CFO of FRR (« Fonds de Réserve pour les Retraites ») the French reserve fund, developments are necessary for more transparency for the turnover costs generated by the implementation of Smart Beta (...)

October 2016

Note A growing interest from investors in Smart Beta ETFs with more requirements and challenges to address

In a survey of investment professionals conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”, EDHEC-Risk Institute has solicited the specific views of 180 European ETF investors on (...)

October 2016

Interview Michel Manteau : « We have mainly chosen minimum variance strategies because we seek to reduce the volatility of our equity portfolio »

Michel Manteau, head of portfolio management at CARMF (« Caisse Autonome de Retraite des Médecins de France »), the retirement institution for french doctors tells us more about Smart Beta strategies.

September 2016

Note Lyxor research highlights the growing role of Smart Beta in new investment strategies

Lyxor Asset Management today unveils the results of a new wide-ranging study that compares the performance of European domiciled active funds with that of their benchmarks. The research highlights the growing importance of risk factors and other Smart Beta strategies in (...)

May 2016

Innovation Amundi ETF offers a complete range of mono factor exposures at competitive pricing with two newly launched ETFs

Amundi ETF completes its mono-factor range on the MSCI Europe index by listing on Euronext Paris two new Quality and Momentum risk-factor ETFs. Amundi ETF’s comprehensive range of mono-factor exposures on European equities is offered at competitive ongoing charges of only (...)

May 2016

Interview Caroline Le Meaux Lambert : « We are looking for strategies able to benefit from upward equity trends while limiting volatility »

Caroline Le Meaux Lambert, head of delegated asset management at Caisse des Dépôts for the French public pension fund Ircantec, tells us a little more about the Smart Beta concept.

May 2016

Strategy Invest with “style” and outperform

Investment « styles » aim to capture risk premia and/or market anomalies that can be seen structurally over long periods. While no formal classification exists, a distinction is traditionally made between four major style families, not only applicable to equities but also to (...)

May 2016

News Solactive joins forces with Sarasin & Partners LLP on the Sarasin Systematic Efficient Indices

Solactive AG is pleased to join forces with Sarasin & Partners LLP on Sarasin’s Systematic Efficient Approach Indices (SSEA Indices), a family of indices which seek to outperform the market-cap over the medium-long term and across multiple market (...)

March 2016

Note Diversity wins : Persistent investor interest in smart beta, particularly within diversifying strategies

Willis Towers Watson’s institutional investment clients globally allocated $10bn, via 175 selections, to diversifying investment strategies in 2015. Within this grouping, liquid alternatives attracted the most interest with over $8.1bn, of which approximately half is in smart (...)

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Strategy Risk factor investing explained

Risk factor investing is growing in popularity, but there’s a risk of getting lost in the factor “zoo”. In this Expert Opinion Thierry Roncalli, Head of Quantitative Research at Lyxor Asset Management, explains the concept of risk factors and distinguishes between facts and (...)

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Opinion When Smart Is Not That Smart

Can Beta Become Smarter? Nobel Prize-winning economist William Sharpe introduced the notions of “beta” and “alpha” decades ago. Put simply, Sharpe defined beta as a measure of a portfolio’s sensitivity relative to the market. Under this definition, it is difficult to fathom how (...)

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News Smart Beta: THEAM renames one of its low-volatility funds

THEAM has just renamed its smart beta BNPP L1 Equity World Low Volatility fund Parvest Equity World Low Volatility. The fund’s strategy and portfolio management team remain unchanged...

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Innovation Lyxor AM and Finvex Group launch the first indexed ETF on low-volatility European SRI equities

The aim of this ETF is to improve the stability of a portfolio of European equities, thereby optimising its performance. The index strategy is therefore founded on a two-pronged risk management approach that considers “qualitative risk” by filtering the investment universe in (...)

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Innovation Amundi ETF offers a complete range of mono factor exposures at competitive pricing with two newly launched ETFs

Amundi ETF completes its mono-factor range on the MSCI Europe index by listing on Euronext Paris two new Quality and Momentum risk-factor ETFs. Amundi ETF’s comprehensive range of mono-factor exposures on European equities is offered at competitive ongoing charges of only (...)

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Innovation State Street Global Advisors Launches Multi-Factor Global Equity Fund

Today’s launch represents one of the industry’s first UCITS advanced beta multi-factor funds combining three factors: low valuation, low volatility and high quality. All three strategies demonstrate increased risk-adjusted returns over a long-term investment horizon when (...)

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Innovation Lyxor expands its Active Smart Beta offering to Fixed Income

Lyxor Asset Management continues to develop its Active Smart Beta offering with the launch of a new commingled bond product, the Lyxor EuroGovies Risk-Balanced Fund, a UCITS IV-fund, available for investors in various European (...)

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Note Smart Beta 2.0 – Taking the risks of new equity benchmarks into account

In research published two weeks ago entitled, “Smart Beta 2.0,” EDHEC-Risk Institute is seeking to draw the attention of investors to the risks of traditional smart beta equity indices and propose a new approach to smart beta investing to take account of these (...)

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Innovation Solactive launches Low Carbon Index Family

Solactive AG in collaboration with South Pole Group has launched a low-carbon equity index family. The low-carbon index family will cover global and regional exposures to carbon, and aside from the liquid benchmark, offer a smart beta version for investors focusing on income (...)

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Interview François Millet: « In some Dutch pension funds, ’Smart Beta’ indices exceed 40% of their core portfolio »

According to François Millet, Product Line Manager ETF & Indexing at Lyxor Asset Management, "Smart Beta" is intended to be located in the core portfolio of institutional investors, weighing generally between 10% and 40% of their passive (...)

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Note Lyxor research highlights the growing role of Smart Beta in new investment strategies

Lyxor Asset Management today unveils the results of a new wide-ranging study that compares the performance of European domiciled active funds with that of their benchmarks. The research highlights the growing importance of risk factors and other Smart Beta strategies in (...)

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Strategy Risk factors: taking risk budgeting one step further

An increasing number of pension funds are opting to invest in ‘alternative’ or ‘smart beta’ indices to supplement their passive management activities. Several competing methods currently exist, each with their own objectives. Analysing the risk contribution of each factor by (...)

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Note A growing interest from investors in Smart Beta ETFs with more requirements and challenges to address

In a survey of investment professionals conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”, EDHEC-Risk Institute has solicited the specific views of 180 European ETF investors on (...)

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Interview Philippe Goubeault : « We could replace a benchmarked fund by a ’Smart Beta’ index »

According to Philippe Goubeault, CFO of Agirc Arrco, ’Smart Beta’ strategies can already be part of the asset allocation program of Agirc and Arrco even if their current weight in existing portfolios is not significant (...)

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Innovation Source and Rothschild launch firsT Equal Risk ETF in Europe

Source, an investment firm and a leading provider of Exchange TradedProducts (ETPs), and Risk Based Investment Solutions (“RBIS”), a wholly owned subsidiary of Rothschild, are pleased to announce the launch of the Source R Equal-Risk European Equity UCITS (...)

Focus

Opinion Psychology and smart beta

‘Smart beta’ sounds like an oxymoron. How smart can it be to continue using the same strategy in such fickle markets? A portfolio manager calling on all his skills (‘alpha’) in analysing market environments (the source of ‘beta’) should be able to outperform an unchanged (...)

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