Breaking Down Smart Beta
March 4, 2016 - Equity Premium, Fundamental Valuation, Momentum Investing, Value Premium, Volatility Effects
What kinds of smart beta work best? In their January 2016 paper entitled “A Taxonomy of Beta Based on Investment Outcomes”, Sanne De Boer, Michael LaBella and Sarah Reifsteck compare and contrast smart beta (simple, transparent, rules-based) strategies via backtesting of 12 long-only smart beta stock portfolios. They assign these portfolios to a framework that translates diversification, fundamental weighting and factor investing… Keep Reading