CalPERS’s Journey into Smart Beta Has Boosted Equity Returns

加州公共雇员的退休系统通过在过去十年中发展的哲学之后，成为智能测试版的领先机构投资者。亚博赞助欧冠最大的美国公共养老金基金定义了它想要增加其股票投资组合的智能测试曝光，并找到最低成本的最佳方式。这可能意味着在外部采购策略和产品，或在内部内部创建一个或两个。

Smart betarejects index or portfolio weighting by market capitalization in favor of a rules-based approach designed to outperform passive investments in traditional market-cap indexes. Although such strategies are typically viewed as passive, CalPERS — which prefers the term “alternative beta” — treats them as active investments.

美国养老金傅nd had $28 billion allocated to alternative beta at the end of 2014. Its targeted exposures can be fundamental company factors such as book value, earnings, revenue, sales, dividends and total number of employees, or share price pattern factors like low volatility or momentum, explains Dan Bienvenue, senior investment officer for global equity.CalPERS然后查看索引开发人员和模型设计师，看看它们是否可以捕获它所寻求的曝光。

“If we think we can hire a model provider at a competitive price and use our internal resources for other things, then we’ll do that,” Bienvenue says. “However, if all the products and providers just really weren’t designed and tailored to exactly what we want to achieve, that’s one we build for ourselves.”

The move into smart beta at $296 billion CalPERS and other institutions is partly driven by current market conditions, says Fabio Cecutto, senior investment consultant at Towers Watson Investment Services in New York: “With bond yields at all-time historical lows and equity markets being very high, hence yields very low, there is a compelling need to do something better with your portfolio.”

This has led investment officers to adopt smart beta strategies that can help their passive equity or bond allocations provide better risk-adjusted returns. At the same time, institutional investors are looking to reduce fees. “That really opens that door for smart beta,” Cecutto says. In a recent Towers Watson survey of 300-plus institutional investors, respondents said they allocated a combined $8 billion to smart beta last year, pushing their total to $40 billion, double the tally for 2012.

拥有10人组合的投资组合管理人员和股票策略贸易商的卡波斯，通过在内部运行替代测试，实现其超额回报的目标和降低的管理成本。“当您的股权投资组合超过1500亿美元时，规模经济就是我们可以在这里创造一个管理能力，这是一个非常引人注目的价值主张，”Bienvenue说。

CalPERS moved into alternative beta in 2006 by setting up its own version of the FTSE RAFI US 1000 Index. The idea grew out of conversations between Bienvenue and smart beta pioneer Rob Arnott, co-founder, chairman and CEO of Newport Beach, California–based Research Affiliates, that grew to include index provider FTSE in London. It was a logical move for CalPERS, which was already a major investor in FTSE’s traditional passive indexes. “Our perspective was that we have the internal management capability and FTSE’s got that index calculation methodology capability, so why not have everybody do where their expertise is?” recalls Bienvenue.

Calpers经营五个FTSE RAFI指数策略，包括由FTSE开发的基于FTSE多元化的投资指数系列策略，与纽约的QS投资者开发。其48.8亿美元的FTSE Rafi US 1000平均每年终止于12月份的五年，养老金基金报告，返回104个基点的超额返回，平均每年16.63％。FTSE RAFI开发了管理世界指数战略，该策略在同一时期返回3.77亿美元，以92个基点击败其基准。$ 121亿美元的富时富时新兴世界指数战略与过去五年平均相匹配了其基准。

More recently, CalPERS has ventured into newer alternative beta approaches such as low-volatility, momentum and risk-adjusted strategies, and further expanded its in-house capabilities. In the case of volatility, the fund couldn’t find what it wanted elsewhere, so it built its own model, Bienvenue says. A little over a year old, the $2.54 billion low-volatility strategy returned 14.03 percent in 2014, according to CalPERS, 134 basis points above its benchmark.

A proliferation of investment product offerings further complicates due diligence for newcomers to smart beta. Investors must be sure that a potential strategy makes sense, is well constructed and captures the risk premium it’s designed to achieve effectively without too many transaction costs, Towers Watson’s Cecutto says. “We prefer smart beta strategies that are not black boxes,” he adds. “There has to be a high level of transparency in what you get.”