Smart Beta: The Owner's Manual

摘要

Though not a new concept, smart beta has become a disruptive innovation with important ramifications for investors and active managers. That's because many investors are waking up to the fact that they are overpaying for a significant part of their aggregate active equity risk exposure.In an interview with Institutional Investor Journals, Ron Kahn and Mike Lemmondescribe a new marketplace in which investors need to understand and optimize the sources of their returns and managers need to deliver active returns beyond static exposures to smart-beta factors.1.First things first. Categorize the sources of your portfolio's returns into one of three groups: Cap-weighted index, static smart beta and pure alpha.2.How active is your active? Decompose aggregate returns from your active holdings into: Constant exposure to smart beta factors, timing those factors and manager skill beyond those factors.3.Make the switch. Shift any active holdings whose returns can be attributed to factors into lower-cost smart beta products.4.For the active manager. If you deliver returns mainly from static exposure to smart beta factors, you are in danger of being disrupted. You need to deliver pure alpha.