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Smart Beta

  • Michael J. Oyster
Chapter

Abstract

Oyster describes smart beta as an investment concept that can potentially provide outperformance without deviating greatly from the benchmark or making substantial individual stock bets. Pioneers of smart beta strategies such as Rob Arnott, Cliff Asness, and Jeremy Seigel, have shown how building portfolios that tilt toward factors or alternative risk premia can outperform the market and/or produce returns in line with accomplished hedge funds for a fraction of the cost. Oyster also recounts the disagreement between Arnott and Asness regarding whether factors should be “timed” in that certain conditions merit the overweighting of one factor versus another. Oyster discusses how data-mined factors should be avoided, the inevitable cyclicality of factor performance, and the challenges smart beta faces given their rise in popularity.

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Michael J. Oyster
    • 1
  1. 1.Chief Investment StrategistCincinnatiUSA

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