What is smart beta?


Thus, it must hold that als Mass der portfolio i. Rudolf Peto, Bielefeld Germany , www. The investor was also concerned about the lower levels of income they are receiving in the current low-yield environment. Fundamentally weighted strategies wherein companies are selected and weighted by select fundamental factors. Labour law and Consumer protection principles usage in non-state pension system Labour law and Consumer protection principles usage in non-state pension system by Prof.

What are the common questions associated with smart beta?


Für unsere Zwecke eignet sich ein modifizierter analysis, Herfindahl we use a slight Koeffizient. It can, however, also be used to measure the concentration with Index: As can be seen in formally, the key ingredient to this measure is the sum Die entscheidende Grösse ist dabei die Summe der quadrierten weights.

Grösse Adjusting des Universums nominator and darstellt. In contrast to the original Herfindahl index, the modified me 2 mehr the size nähert of the sich universe.

Nachdem the degree of divers der index. Other than the Herfindahl index, there are a number of other measures that literature and practice. The simplest measure of diversification is the numb portfolio. The two most famous papers covering diversification from this Archer and Fisher and Lorie The two papers conclude that 1 tively are sufficient to deliver adequate diversification. However, one of th both studies is that they focus exclusively on the equal-weighted portfolio con.

Ein gleichgewichtetes Portfolio nimmt somit den Wert 1 an und gilt als maximal diversifiziert. Zu den bekanntesten Studien, welche diese Thematik behandeln, gehören Evans und Archer [] sowie Fisher und Lorie [].

Beide Arbeiten kommen zu dem Schluss, dass zehn, bzw. Eine grosse Schwäche dieser beiden Studien ist, dass ein gleichgewichtetes Portfolio zu Grunde gelegt wird.

Diversifikation kann auch mittels Entropie gemessen werden. Das Konzept der Entropie findet vor allem in der Informationstheorie ihre Anwendung. Die Entropie und dient ment in constituent i.

Thus, it must hold that als Mass der portfolio i. The first expression measures the sum of weighted volatilities of the index constituents, the second expression measures the overall portfolio volatility. The difference between these two expressions is necessarily non-negative and can be interpreted as the degree of diversification of the portfolio the reduction of total portfolio volatility compared to the weighted sum of individual constituent volatilities.

Thus, the higher the value of the measure, the larger the degree of diversification. Entropy is a measure of the dispersion of a distribution and thus quantifies the degree of disorder of a random variable, or its information content respectively. Formally, entropy as a measure of diversification can be stated as follows: The portfolio weights w i now take on the interpretation of the probability of a "random" investment in a given constituent.

A fully concentrated portfolio has an entropy of 0, a maximally diversified If we wish to consider the risk properties of the index constituents, rather than applying the Herfindahl index or the entropy measure to portfolio weights we can plug in their risk contributions RC i instead. We introduced and categorised the relevant individual indexing methods above. We empirically replicate the individual indices on a country level for the MSCI Developed Markets Universe and obtain a time series from to As described above, we focus largely on the Herfindahl index as a measure of diversification.

We can identify three groups. The first group includes the equal-weighted as well as the risk-parity index. By construction the equal-weighted index' Herfindahl score amounts to 1. Risk parity however is not far behind and also highly diversified, achieving a score of close to 1.

The second group includes the market-capitalisation-based indexing method as well as the related methods of fundamentalfocused indexing and GDP-focused indexing. These three methods exhibit a poorer degree of diversification and over the whole evaluation period never obtain a modified Herfindahl index score of above 0.

That the GDP-focused method is somewhat more diversified than the other two should come as no surprise given that its original intention was to somewhat reduce the cluster risk inherent to market-capitalisation-based indexing. The third group is made up of the remaining indexing methods. Diversification can also be measured via the statistical concept of entropy, particular throughout information and measure theory.

Entropy is a measu distribution and thus quantifies the degree of disorder of a random variable tent respectively. The portfolio weights w i ation of the Das probability Diversifikationsmass of a "random" gewichtet investment jedes in a given Portfoliogewicht constituent.

Ein a minimum vollständig vari- kon- tage of this y exhibit a high concentration in low volatility constituents, a potentially rically, in zentriertes order to be Portfolio able to nimmt use the den above-mentioned Wert 0 an, ein maximal diversification diversifiziertes hold that d. Thus, wird it der must Tatsache hold that Rechnung und getragen, which is the information in an index investment.

A fully concentrated portfolio has an entropy of 0, dass z. If we wish to consider the risk properties of the index constituents, rather folgt. Numerically, in order to be able to use the above-m Stefanovits [] weist in seiner Arbeit auf ein in der Praxis measures on risk contributions it must hold that these are all positive i. Thus, the higher the value of the measure, the larger the degree grösser oder gleich null. Der Effekt, welcher für diese Differenz verantwortlich ist, kann als Diversifikation interpretiert werden.

Man Empirical erkennt, Study wie viel titelspezifisches bzw. We introduced a die Kennzahl, desto höher die Diversifikation.

Die for the re-individual i as a mea three groups. The first group includes the equal-weighted as well as the ris levanten Indizes haben wir zu Beginn erwähnt und kategorisiert. Risk p Die behind einzelnen and also Indexierungsmethoden highly diversified, achieving wurden a mittels score eines of close Länderansatzes market-capitalisation-based basierend auf dem indexing MSCI Developed method as Markets well as Uni- the related to 1.

The sec me focused indexing and GDP-focused indexing. These three methods exhibit versum nachgebildet. Für jeden Index resultiert eine Zeitreihe versification and over the whole evaluation period never obtain a modified von of above bis The main mit monatlicher reason for this Periodizität relatively siehe poor showing Gander, is that the s Leveau, weights und USA, Pfiffner Japan [a] and UK für amounts eine detaillierte to a weight Beschreibung.

Wir haben drei Gruppen identifiziert. Zur ersten Gruppe zählen 2 Where wir the die RC i gleichgewichtete are computed as Indexierungsmethode follows: Zur zweiten Gruppe 3 3 Die alternativen See Gander, Diversifikationsmasse, Leveau, and Pfiffner welche [a] wir im for vorherigen a detailed description Kapitel beschrieben of the methodology.

The results do not change materially when conducting the analysis with the other diversification. Diese weisen einen tiefen Diversifikationsgrad auf und haben im gesamten Beobachtungszeitraum einen modifizierten Herfindahl Koeffizienten kleiner 0. Der Hauptgrund dafür ist, dass bei diesen Strategien Japan, UK und die USA zusammen immer mindestens eine Gewichtung von haben, bei der nach Marktkapitalisierung gewichteten Methode sind es sogar permanent mehr als zwei Drittel!

Die BIP-basierte Indexierungsmethode schnitt in dieser Gruppe am besten ab, ist doch gerade die Absicht dieser Methode dieses Klumpenrisiko etwas zu entschärfen. Zur dritten Gruppe gehören die restlichen oben erwähnten Methoden. Diese weisen in der Regel eine hohe Diversifikation auf. Mit Ausnahme der preisbasierten Indexierungsmethode und Diversity Indexing werden bei den Indexierungsmethoden dieser dritten Gruppe numerische Optimierungen zur Bestimmung der Portfoliogewichte durchgeführt.

Wir sprechen deshalb auch von optimierten Indexierungsmethoden. Das Problem bei Optimierungen ist, dass oftmals Randlösungen resultieren, d.

Das Klumpenrisiko wäre ohne Restriktionen sehr gross. Die Ober- und Untergrenzen der optimierten Indexierungsmethoden wurden für alle identisch gewählt, was die ähnlichen Herfindahl-Werte erklärt. Später zeigen wir, wie sich der Grad der Diversifikation drastisch reduziert, wenn wir diese Restriktionen aufweichen, d.

Dezember 31, December Zur Veranschaulichung betrachten wir hierzu in Grafik 3 den nach Marktkapitalisierung gewichteten Index und den gleichgewichteten Index. Beim Verlauf der Gewichte des nach Marktkapitalisierung gewichteten Index obere Darstellung in Grafik 3 erkennt man die Problematik des Klumpenrisikos. Per Konstruktion ändern sich deren Gewichte nur, wenn sich das Indexuniversum verkleinert oder vergrössert.

Welchen Einfluss die Wahl von subjektiven Restriktionen auf die Gewichte von optimierten Indexierungsmethoden hat, ist in der Grafik 4 am Beispiel des Minimum-Varianz-Index ersichtlich. Wie man an der unteren Darstellung der Grafik 4 erkennt, ergeben sich bei der unrestringierten Minimum-Varianz-Strategie teilweise sehr hohe Klumpenrisiken. Der durchschnittliche modifizierte Herfindahl der unrestringierten Minimum-Varianz-Strategie entspricht in etwa demjenigen der nach Marktkapitalisierung gewichteten Strategie.

Anscheinend sind die Ziele minimale Varianz und maximale Diversifikation kaum vereinbar. Eine unrestringierte Minimum-Varianz-Strategie ist insbesondere bei einem Länderansatz nur mit einer geringen Diversifikation und somit mit hohen Klumpenrisiken erzielbar.

Es stellt sich die Frage, welches Konzept für den Investor von grösserer Bedeutung ist bzw. Ein Investor darf nicht davon ausgehen, dass jeder Index zwangsläufig einen hohen Grad an Diversifikation aufweist. Bei den optimierten Indexierungsmethoden ist Vorsicht angesagt. Der Diversifikationsgrad hängt sehr stark von den subjektiv? Wie wir am Beispiel der Minimum-Varianz-Strategie gezeigt haben, wird mit einer engeren Bandbreite zwischen Ober- und Untergrenze die Diversifikation erhöht, der Preis dafür ist aber eine höhere Varianz.

Eine Investition in einen einzelnen Index führt oftmals zum Eingehen unerwünschter Konzentrations- und Klumpenrisiken. Insbesondere deshalb sollte dem Diversifikationsgedanken auch bei der Investition in Indizes Rechnung getragen werden. Diversifikation ist ein multidimensionales und facettenreiches Konzept.

Ein passives Aktien portfolio ist dann gut diversifiziert, wenn es auch über die einzelnen Indexierungsmethoden hinweg diversifiziert ist. Der Parameter X wurde auf 2. Die Restriktionen hängen von der Grösse des Universums ab und ändern sich im Zeitablauf. Am Ende der Beobachtungsperiode mit 24 Ländern d. An Alternative to Cap-Weighted Indices. Do All Roads Lead to Rome? Information contained herein is for information purposes only and is intended only for the person or entity to which it is addressed.

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What are the common questions associated with smart beta? Are smart beta funds actively managed? What are important considerations to smart beta investing? Choose the one that best aligns with your preferences: Factor-based strategies in which stocks are weighed or in which factors are separated into tiers Equally weighted strategies that take all factors into account Fundamentally weighted strategies wherein companies are selected and weighted by select fundamental factors Low volatility weighted strategies based on historic volatility.

Challenge An investor had a portfolio of six U. Considerations iShares multifactor ETFs offer the potential to outperform broad market indexes but with similar risk and at low fees. Hypothetical Portfolio 1 Hypothetical Portfolio 2. Challenge Amid expectations for rising interest rates, an investor was looking to protect a portfolio of fixed income investments.

Considerations iShares Edge U.