Sentences with phrase «use smart beta factors»

Using Factors to Select Dividend Growth Stocks The reason that this article is a «bonus edition» in the Dividend Growth Stock of the Month series is that I am going to use smart beta factors to select many of the stocks to cover in 2016.

Not exact matches

Most smart beta products use factors, or characteristics defined by the fund manager, to attempt to outperform their benchmark.

And that's the happy marriage of smart beta and fixed income: using factor based insights to potentially create better outcomes in fixed income portfolios in a cost effective and transparent way.

And that's the happy marriage of smart beta and fixed income: using factor based insights to potentially create better outcomes in fixed income portfolios in a cost effective and transparent way.

Among those who have invested in non-market-cap-weighted or smart beta funds, four in five use multi-factor ETFs, three - quarters use equal - weighted ETFs, 70 per cent use minimum volatility ETFs and 56 per cent employ single - factor ETFs.

To the roster of smart beta strategies, at the request of some of the readers of the first article, we add a dividend - weighted strategy and a fundamentals - weighted low volatility strategy; both of these strategies command many billions in AUM.6 (Click here for a full description of the simulation methodology used for factors and smart betas.)

Our findings are robust for both factors and smart beta strategies across horizons out to five years, using both a simple price - to - book ratio and an aggregate valuation measure, in U.S., developed ex U.S., and emerging markets.

Almost all of the factors and smart beta strategies exhibit a negative relationship between starting valuation and subsequent performance whether we use the aggregate measure or P / B to define relative valuation.9 Out of 192 tests shown here, not a single test has the «wrong» sign: in every case, the cheaper the factor or strategy gets, relative to its historical average, the more likely it is to deliver positive performance.10 For most factors and strategies (two - thirds of the 192 tests) the relationship holds with statistical significance for horizons ranging from one month to five years and using both valuation measures (44 % of these results are significant at the 1 % level).

In this article, we present evidence that the relationship between current relative valuation and subsequent performance for both factors and smart beta strategies is robust over horizons shorter than five years and using valuation measures other than price - to - book (P / B) ratio.

Using Morningstar's categorization to group active and passive funds, and keywords to form baskets of factor and smart beta funds, the authors successively calculate rates of return gross of fees, net of fees, after taxes but before liquidation, and after taxes post liquidation.

The results of our analysis are generally a bit stronger when the aggregate valuation measure is used, but three of eight factors (value blend, momentum, and investment) and two of eight smart beta strategies (Fundamental Index and dividend index) show a stronger correlation when the P / B valuation measure is used.11 The aggregate valuation measure is likely stronger because it captures differences in profitability that can be missed by P / B.

Martin Small, BlackRock's Head of US iShares, says: «Smart beta ETFs are growing increasingly popular, as evidenced by their record flows in 2015 and the first quarter of 2016 with investors using them to manage risk and obtain precise exposure to historically return driving factors.

We use the same method for other factors and smart beta strategies.

The established factors used to evaluate the stocks comprising the ETF represent the greatest value of a Smart Beta ETF.

For example, a single - factor smart beta product may be used as part of a completion strategy in order to lend more exposure to lower beta stocks to an equity portfolio with a higher risk profile,» explains Mellon Capital.

This piece discusses both approaches, and highlights the middle ground that may be found by using a factor - based smart beta approach.

«Lots of smart beta, or factor - based ETFs [exchange - traded funds], have been launched recently, but few strategies, in our opinion, seek to use these products in a constructive way,» says Eric Biegeleisen, BCM's director of Quantitative Research and portfolio manager of the Paradigm strategies.