To capture yield and mitigate risk, investors have embraced smart beta strategies. Rules-based and transparent, they reweight traditional cap-weighted indexes by a variety of specific factor exposures.
| SPECIAL REPORT 关于智能测试版使用智能测试到超越市场SEPTEMBER 2014因子多样化：高盛资产管理的ActiveBeta股权战略SEPTEMBER 2014How Advanced Beta Is Changing the GameSEPTEMBER 2014Smart Beta Not New, Not Beta, Still AwesomeSEPTEMBER 2014 |
A number of smart beta providers describe the growing awareness, adoption and implementation with a look forward to sophisticated applications that are changing how risk is measured and returns are achieved.
虽然智能测试版的概念达到了几十年，但其六年前金融危机的后果植根了相对近期的上升和加速的收养。在较长的零利率环境下，投资者仍处于困境。债券收益率是不温顺的，屈服导师正在稳步发展拓展风险的信贷。强劲的股票市场对经济增长不成比例地升高。
Pension funds, endowments, insurance companies and other institutions are seeking new ways to drive returns, but, still smarting, they want them on a risk-adjusted basis. “We’re in a world of scarcity of returns, and it’s difficult to beat the benchmark by sector and country allocations alone,” says Francois Millet, ETF and indexing product line manager at Lyxor Asset Management. “Smart beta strategies are based on rewarded risk factors and provide higher and more stable returns.” Smart beta has stepped into the spotlight.
Traditionally, institutions have engaged active managers to achieve alpha, the selection of assets, strategies, and tactics that will outperform a market benchmark. Beta is the return achieved from the overall market itself. The returns of a broad index fund, such as an exchange-traded fund (ETF) based on the S&P 500, is a good example, and investors often use such passive investments as a core element to maintain market exposure. The key here is that the components of a traditional index are selected in proportion to their market value, or market capitalization, which puts more emphasis on the largest companies. Investors have found that this does not drive returns and can introduce unwanted risks.
智能测试版是混合动力车的东西。基于学术理论和严格的分析，思想是在透明，基于规则的方法中获得更大的特定投资因素。它保持了被动，简单的指数投资策略，但它努力通过偏离市场上限偏离传统的资产加权来增强回报。相反，证券通过相对价格/盈利价值，相对波动，动量，质量和其他基于风险或市场分部标准的加权。
这可以实现投资组合,减少风险enhance overall returns.
“In 2008, many institutional investors were disappointed with their active managers’ response to the financial crisis, and losses were often greater than common benchmarks,” says Lynn Blake, CIO, global equity beta solutions at State Street Global Advisors (SSgA). Many ultimately decided that active managers had made negligible contributions to investment performance and increased their allocations to passive strategies. Cost was another factor. Between 2009 and 2013, the portion of assets under active management by UK pension funds fell to 53.6 percent from 66.8 percent, according to the Investment Management Association.
执行
“增加了对被动策略的拨款只是解决方案的一部分，”布莱克说。Cap-Proceding自动对最大的股票产生最大的影响 - 这可能会被高估。集中风险也是一个问题：这些最大的股票可能集中在特定部门或由少数非常大公司组成。在固定收益指标中，市场加权可以提高欠债公司或国家。
Smart Beta类似于因素投资，这是一段时间已经存在的概念。但他们是两件不同的东西。“以传统的基于因子的方法，有更多的股票风险暴露;伊世科学测试版的全球产品专家Eric Shirbini说，您没有多样化其他风险。“ERI科学测试版智能测试版或称为智能因子'时，将识别所有股票在特定的基于因子的索引中，但使用基于多样化的权重方案。“这就是市场上缺少的东西，”他说。现有的智能测试策略可以通过利用基本或因素驱动，加权方法，但这种方法忽视多样化，实现特定的智能测试策略，例如限制波动性或产生收入。“作为投资方法的基础，传统的CAP加权指数存在巨大差距，”邀请国会ETF的董事总经理Dan Draper说，Invesco Powershares资本管理。
“作为替代测试版的概念和对因素的系统暴露发展和扩大，在投资组合中实施它的方法数量正在增长。“这是一个频谱，”罗恩以色列说，校长，AQR资本管理。在一端，只有在单一资产类别，通常股票，使用单一风格。另一端，长/短，在多资产类和多种式投资组合中使用。“你仍然在一个捕获系统的回报层面，”他说，“你沿着频谱移动的越多，你的巴克越爆炸你正在达到风格的风格。”
活跃或被动？
有很多关于智能测试版是一个活跃或被动策略的讨论，真相介于两者之间。“聪明的Beta坐在两者之间，”Eri Scientific Beta的Shirbini说。它既不是100％的活跃也没有100个被动。“这是规则驱动的，所以这是一种被动的风格，但它没有被动地追随市场，也没有曝光某些因素，”他补充道。出现一个重要的问题：随着智能测试版的增长，投资者是否更换了加权投资，或者他们更换了积极管理吗？投资者认识到，加权投资过于集中，令人担忧的是大量增长股中的超重，但更重要的是，他们也开始意识到智能测试人员做的是活动经理所做的：价值倾斜，市场分部倾斜，动量倾斜，“他补充道。
Sara Shores, managing director and head of strategic beta at BlackRock, says she had expected new allocations to smart beta strategies to come predominantly from market cap-weighted indexed investments, but that wasn’t necessarily the only case. “It’s also a potential replacement for active management, because of the lower cost, lower governance, and need for less oversight, but we see it funded from both sides,” she says. She observes that the general trend is to streamline the investment lineup by reducing the number of active managers and giving higher allocations to index funds and smart beta. Her colleague Ronald Kahn, managing director and global head of scientific equity research at BlackRock, says, the impact is on active management,” pointing out that strategic beta takes what active management does and puts it into a transparent, low-cost product. “Now active managers can focus on driving alpha,” he says.
“轶事，它是一个有效管理的替代品，”SSGA的Blake表示，64％的受访者对SSGA的调查称，Smart Beta是一个可行的积极管理的可行替代品。答案都是。当智能测试版应该是主动或被动股权分配的一部分时，russell指数的受访者将平等分开。“我们看到从积极长期的管理人员来拨款到唯一的”智能测试版“策略，”AQR的以色列说，即长/短策略的人经常来自替代和对冲基金拨款。他指出，投资者目前正在承认他们目前正在接触这些经典的回报来源，而是以更糟糕的方式和更有效率的方式。
许多投资者具有核心卫星方法，通常使用市场上加权指数作为核心，并利用许多积极的管理者来追求卫星策略。“In this strategy, we’ve found that the risk exposures from active managers tend to cancel each other out,” says Matt Peron, global head of equities, Northern Trust., noting that there usually unintended exposures that need to be mitigated in the indexes as well.
“投资者可能持有积极的组合managed strategies, cap-weighted indexed strategies and smart beta strategies within a diversified global multi-asset portfolio,” says Rolf Agather, managing director of global research and innovation at Russell Investments. Determining which strategies are preferable will depend on the investor’s individual beliefs, objectives, tolerance for risk and time horizon. Integrating smart beta strategies within a broader portfolio requires a high degree of assessment and ongoing analysis and review, similar to those of any active strategy. “For example, smart beta strategies that target the same factor, such as low volatility, can differ in their construction, and can have significant differences in market exposures and performance,” he says. Investors need to have a thorough understanding of the objectives and the construction methodology of a smart beta index, and how the index can be expected to perform in a range of market cycles.
添加优于表现
将智能测试策略集成到投资组合中的过程被认为是有效的，如任何投资决策。“它需要广泛的尽职调查，这可以类似于选择活动管理器时使用的过程，”SSGA的Blake说。也许最重要的是，高级测试版涉及对内部团队的风险转移，这必须对投资业绩负责，因此，她解释说，与活跃经理相同的方式判断。但是，其执行的系统，透明和规则，其执行本质上是被动的，并且一旦实施，就没有大量的有效干预需要。
“虽然有积极的经理，但在适当的基础上以纯粹的alpha擅长市场的积极管理人员，有许多其他相对于市场（传统alpha）的表现优于这一点，这主要可以通过暴露于一个或多个普遍因素来解释，”高盛资产管理（GSAM）的Activebeta股权战略负责人Kal Ghayur。因此，寻求提供有效捕获共同因素的智能测试策略，因此可以被视为基于因子的主动管理的被动替代。此外，对于在市场上的广泛指数曝光的投资者，智能测试策略可能会增加优惠来源，同时与积极管理相比，通常提供更多透明度，简单性和更低的费用。
“It’s the third pillar, in addition to active and passive, of a dynamic institutional portfolio,” says Lyxor’s Millet. Smart beta is intended to be integrated into the core portfolio of institutional investors, weighing generally between 10 and 40 percent of their passive management. “In some European pension funds, sometimes smart beta indices exceed 40 percent of their core portfolio,” he explains. More traditional investors allocate it to their active asset management.
由于对投资组合的决定性因素和有目的的融合，美国投资者通常会看到智能测试版，因为更多的积极战略与其他积极管理人员竞争，在Eri Scientifc测试版中解释了Shirbini。欧洲投资者将其与较低成本实现相对退货的基于规则和半被动方法。在这种情况下，有两个应用程序。“如果Active Manager没有表演，资产所有者通常可以更有效地重复策略，并且以较低的成本更高，”他说。此外，在查看整体风险和评估风险时，资产所有者可以在一个特定区域中有太多的情况添加一个因素来平衡和缓解。“例如，如果您的价值超重，则可以将增长智能测试策略添加为资产分配决策的一部分，”他说。
Integration
智能测试版应该设置为提供您想要实现目标的曝光。“在改变”如何击败基准“到”我如何达到我的目标“时，它可以效果最佳，”北方信任佩顿说。“你怎么知道你的基准甚至是正确的人，”他问道，“他要求加入投资者需要走出风格的箱子。
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成功的可能性取决于周到的因素。“市场正在努力努力集中积极管理，传统索引和工程战略的问题，但每个都可以补充另一个，”佩罗说。再次，这取决于投资目标。低成本索引可以提供广泛的市场曝光，并且具有值倾斜的工程策略可以驱动返回和减轻风险，但需要相当大的分配来移动针。他说，建议的分配取决于投资目标，哲学，测量和许多其他因素，但通常在20-30％的范围内或更多。“具有高信念的一个或两个活跃的管理者，可以用来捕获与α策略相关的保费，”他补充道。“它在那里！”
智能测试策略在更广泛的组合结构中提供了两种多种多样化，这直接影响整体风险返回概况。首先，个人因素投资组合具有独特的风险返回特性，导致低或负面的相对相关性。“因此，因素多样化策略旨在提供实现重大风险减少以及回报增强效益的机会，并促进某些投资目标”，“GSAM的Ghayur解释道。
Second, investors that explicitly allocate to smart beta strategies to capture factor returns, and separately allocate to active managers with demonstrated uncorrelated excess returns, have added an additional layer of diversification, he says.
“虽然传统的定量股权alpha策略与智能测试策略共同分享，但他们投资的方法存在重要差异，由此产生的投资组合的特征以及投资者提供的灵活性，”Ghayur说。最终，投资者将需要决定是否相信普通，理解和奖励因素的能力，以提供长期优惠，或者利用经验丰富的投资经理的专有技能和能力是否可以提供优势。“我们认为，这些策略也可以一起用于那些想要结合共同因素的益处的投资者与熟练的量化股权阿尔法经理的洞察力相结合的投资者，”他说。
执行
“聪明的前两名使用β是减少风险and return enhancement.” Says Russell’s Agather. After the financial crisis, many pension plans were severely underfunded. To improve funding ratios, they needed to maintain significant allocation to equities, he explains, and defensive/low volatility strategies enabled them to benefit from exposure to the growth in equities while reducing volatility. “There is an inverse relationship: lower risk has meant higher returns in a down market,” he says, and allocations to low volatility index funds lowered the overall volatility of a fund. Today, with equities at record highs and most pension plans at 100 percent funded levels, the same strategy is used for derisking.
Over the past three years, more investors have embraced a strategic combination of factors. “The greatest demand is the multi-beta-approach,” says ERI Scientific Beta’s Shirbini, pointing out that combining them gives smoother performance over time. Factor returns are quite cyclical, but the timing of cycles can vary, so the idea is to invest in a range of indices that aren’t correlated. “Smart factor investing isn’t a short-term strategy even when investing in multiple factors,” he says. “You have to think over the long term, and at least through one complete cycle but by investing in multiple factors relative drawdowns are reduced.” Many investors combine low volatility, which performs well in a falling market, with value, which performs better in a rising market. “In our current bull market, low volatility has become slightly less popular now, so some investors are combining value with momentum,” he says, “but the key to smart beta investing is to think of the investment over the long term.”
许多投资者从单一因素开始，以实现特定的目标和进展到多个运动策略。“当您利用孤立因素时，风险返回配置文件可以长期引人注目，但可能有显着表现不大，”SSGA的布莱克解释说。“有时候因子移动不同，所以这个想法是将它们结合起来。”好处是良好的多样化，但不适用于高回报，并取出时间的元素。诀窍是如何结合，需要显着的研究和评估来确定包括哪些因素。
Identifying Objectives
Implementing smart beta is about problem solving and addressing specific investment issues strategically. “Investors want to capture smart beta in relation to their risk budgets,” says GSAM’s Ghayur. “The idea is to provide a framework for investing in smart beta, within the context of an overall portfolio. It’s not a specific product -push solution.”
Low volatility and fundamental indexes dominate the smart beta strategies being evaluated and used by asset owners, according to Russell Indexes’ survey. However, there are regional differences. Fundamental index usage is much greater in the US and UK, while low volatility is the dominant strategy in continental Europe and Canada.
据Cogent Research / Invesco Powershares表示，低波动性资金确实经历了最大的增长，几乎在2013年倍增。目前未使用智能测试etf的三分之二的受访者表示，在未来三年内，他们可能会使用低波动性资金。在近年来，管理波动性的需要变得更加重要，并且正在推动这种趋势。“投资者需要收入，但利率接近零，许多人正在分配给低挥发性ETF，”Powershares'Draper说。“没有人愿意通过毫无准备的另一个金融困境生活。”进入高股息的基本加权和股票回购ETF也预计也会显着增长。
“我们看到的一种趋势是投资者通过将具有风险因素的基本指标与危险因素相结合的基本指标，并结合抵消的风险来避免单一的风险，”Lyxor的小米说。在高达2008年的牛市中，质量趋于表现不佳，而宽阔的市场，而价值趋于表现优势。在2008年之后，这是相反的。“没有人知道如何在风险因素中分配。欧洲市场的许多投资者按规模，价值和低波动构建平等的加权组合，但这还不够，“他说，注意到需要通过风险因素构建投资组合。基于每个客户的策略对话，它始终是定制解决方案。“这些是智能测试版的积木，”他说。
根据投资目标的不同,有可能be a number of combinations and strategies. For example, an asset owner may wish to lower the total volatility and potential drawdown of an equity portfolio. “A low-volatility plus quality diversification strategy may help achieve that objective,” says GSAM’s Ghayur. Similarly, a value plus low-volatility diversification strategy’s objectives are return enhancement as well as risk reduction, and is designed to help improve risk-adjusted returns. Another investment objective might be to outperform the policy benchmark, while managing the risk and magnitude of potential underperformance. A momentum plus value diversification strategy might help achieve this objective, he explains.
“In the early days of 2010-2011, the question was how to apply this way of thinking,” says Shores at BlackRock. Institutions tend to be quite siloed with separate groups devoted to equities, fixed income, alternatives, and others. “It’s often hard for them to be holistic,” she says. But factor investing is becoming more of an accepted concept. Now the larger investors are beginning to think in terms of risk premia and the idea that there may be better ways to allocate among them. “Three or four years ago, we heard ‘I want one factor,’ like low volatility or equal weight,” she says. Now it’s about allocation to combinations of risk factors. “It’s powerful to create a custom portfolio that allocates among them, and it highlights the best attributes of strategic beta,” she adds. Kahn adds, “A custom strategic beta strategy coupled with index and active strategies will together likely deliver a more consistent performance than just index and active strategies by themselves.”
Looking broadly, it’s best to integrate as many factors as possible. “You want to capture as many proven and diversifying styles as you can and have them work together, not in siloes, but interactively,” says AQR’s Israel. The issue is how the various portfolios net out. “Say there’s a stock that may not quite meet the criteria for the value portfolio and also may not quite meet the criteria for the momentum portfolio,” he says. “That’s potentially the cheap, outperforming stock that you might want to own the most.” The idea is to put together a rules-based portfolio that takes into account the interaction of styles, which can also save on trading costs and taxes for a taxable investor. “It’s about craftsmanship—a thoughtful selection of those elements that work best in combination,” he says.
超越股票
虽然智能测试版通常在股票的背景下讨论，但它在固定收益和其他资产类别中具有相同的应用。在SSGA调查的受访者中，56％的表达对智能测试的兴趣是智能测试策略。它的工作方式与众不同：传统的市场价值固定收入指数将投资者暴露给最债务最负债的发行人，无论是公司，政府还是其他实体。浓度风险也是这里的问题，也可以通过默认值触发显着的损失。智能测试版策略可以通过基本因素来重量积分，例如由高速增长和超重增长的国内主权债务的GDP增长，例如高增长的国家。额外的因素也可以内置，例如潜在的波动性或定价波动性。
The idea is to achieve a more balanced allocation of risk within fixed income. “We ask, ‘What are the risk factors that are driving returns?’ and we treat rate risk and credit risk in a more balanced fashion,” says BlackRock’s Shores. It’s the same process of asset allocation, but through a risk-factor lens. Other fixed income strategies customize a parent index or portfolio of assets to reduce downside credit risk. It might underweight or eliminate downgraded securities or those with the highest risk of default, reinvesting those proceeds in a thoughtful and risk-controlled manner to retain the same broad risk and return characteristics of the benchmark. The expectation is that the strategy will outperform in down markets.
还有其他技术也是如此。如果发行人被各自的传播分类为减法，则在中间发现最佳风险调整的返回。“以最低的差价为安全，不提供足够的回报，最高的风险，最高，是风险的，”Quoniam Asset Management在赫尔穆特Paulus，CIO，CIO和管理合作伙伴解释道。“我们喜欢中间的甜蜜点。”并违反直觉，他解释说，持续时间风险取得了不奖励。“这是每单位风险的最大回报的短期性能，”他说。“通过对利率的敏感性来排序发行人表明，比短期纸张更少的回复更长的债券更加挥发。按照持续时间和发行人的多样化和发行人信誉进行分类，可以将锐利的比例提高30％以上，但它需要严格的定量研究和数据评估，发行人选择和定期重新平衡，以保持市场的风险和返回动态。
The development of multi-asset strategies that predominantly use passive implemented exposures reflect broad factor asset allocation views is another dimension in the broadening beta toolkit. “This requires effective diversification across asset classes that achieves the best results for a strategic portfolio. One version focuses on rewarded risk factors, the drivers of return that underlie each asset class,” says BlackRock’s Kahn. Risk factor-based allocation strategies aim to deliver attractive risk-adjusted returns by focusing on the drivers of return, as opposed to asset class views, to achieve more efficient diversification.
Examples of risk factors include macro factors like interest rates, inflation, credit, political, liquidity and economic risk, in addition to style factors including value, momentum, quality and volatility. For example, an investor holding high-yield debt will expect to be compensated for all the risks to which they are exposed to such as interest rates, inflation, credit and liquidity risk, over the long term. To create a portfolio diversified by risk factors, the manager identifies which combination of asset classes gives the best exposure to each. Passive holdings are then combined to provide better balanced exposure allowing for capital growth with limited volatility. “This could change the landscape of investing,” says BlackRock’s Shores.
虽然典型的智能测试版已经以单人类长期的股权战略形式，但更多的投资者正在将基于规则的概念应用于多种式，长/短，多资产投资组合。当你拓宽它时，同样的概念适用。“你不必专注于一个资产类别，”AQR的以色列说。投资者可以以多元化和不相关的方式在多种资产类别和风格中实施长/短策略，这是投资者可能已经持有的方式。“更多投资者在这个方向迁移，”他说。N
Is it Smart, Strategic or Advanced?
Smart beta has become the term accepted by the marketplace for indexes that are not cap weighted, or more specifically, for alternative ways to gain exposure to the market based on risk factors or market segmentation techniques. However, the tag remains a controversial choice. “We don’t believe there’s an industry standard,” says Sara Shores at BlackRock. “The term ‘strategic beta’ better describes the products and strategies we’ve developed that seek to deliver exposure to the factors that are long-term drivers of asset class returns.”
Other terms include advanced beta, engineered equity, factor indexes, alternatively weighted indexes, and many others. “Smart beta is an unfortunate and provocative term,” says Lynn Blake at SSgA. “We call it advanced beta, or alternative beta, which are true to what these strategies represent.” She explains that it implies that anything other than a non-cap weighted approach isn’t smart. “The term smart beta suggests that a cap-weighted portfolio is not relevant, and it very much is,” says Lyxor’s Francois Millet. Cap-weighted beta forms the basis of most benchmarks, it remains central to many investing strategies, and is the only portfolio that everyone can hold. “We prefer the term ‘engineered equity,’” says Matt Peron at Northern Trust. It captures what we’re trying to do with compensated risk factors—engineer them in or engineer them out.” n
美国vs欧洲
由于它们的低成本，灵活性，透明度和实施方便，智能测试型ETF在过去一年中经历了巨大的增长。根据Invesco Powershares的调查，他们现在在4个机构决策者中由4名机构决策者使用。此外，2013年美国ETF股票流量超过四分之一进入了智能的Beta ETF，即使这一类别占ETF行业的19％的资产。
According to several surveys, most institutional investors have a high level of awareness of smart beta. More than two-thirds say their awareness of advanced beta as a concept is excellent or good, while a similar portion say the same about their understanding of different advanced beta strategies. Investors in Europe, where advanced beta strategies are better established, are more familiar with the concept: 70 percent describe their awareness of advanced beta as excellent or good, compared with 57 percent in the US, according to SSgA’s “Beyond Active and Passive: Advanced Beta Comes of Age.” Knowledge about advanced beta also varies between different investor types. Public and private pension funds report high levels of awareness about advanced beta as an investment concept, while endowments and foundations say they are less familiar.
智能测试版采用正在发生并发生广泛。根据Russell Indexes的“Smart Beta的”智能测试版，32％的资产所有者目前调查的资产所有者具有智能的测试版分配：更深入地了解资产所有者感知。“最大资产业主的采用最高，管理层（AUM）资产超过100亿美元的人，已有46％已经进行了智能的β拨款。此外，他们更有可能在未来18个月内评估智能测试版或计划。在10亿美元至100亿美元的人中，77％的响应类似，而这些一半的人数不到10亿美元。
根据Cogent Research / Invesco Powershares的说法，机构专业人士使用智能Beta ETF的主要原因源于他们的信念，即这些资金普遍优于市场。此外，这些ETF为投资专业人员提供了更有效的方法，可以多样化其投资组合和减少整体组合波动性。那些尚未纳入智能Beta ETF的人融入他们的策略引用普遍缺乏熟悉程度。有34％的受访的机构决策者是不熟悉的。其他受访者引用缺乏轨道记录（12％）和积极管理的偏好（9％）。
欧洲机构投资者在意亚博赞助欧冠识和采用先进的Beta战略中突出了北美同行。在欧洲，40％的资产业主通过了智能测试版;根据Russell指数的说法，在北美，24％。只有15％的欧洲投资者不希望在未来18个月内评估智能测试版，而北美投资者的全部34％。此外，据SSGA的说法，超过10名欧洲受访者的欧洲受访者的强烈意识与北美有关的投资理念。几乎四分之一的欧洲受访者已经分配了20％或更多的投资组合股票到高级测试版，而北美的4％相比，欧洲投资者比来自北美的人更有可能应用低波动，低价，势头和平等的策略。Russell索引报告欧洲资产所有者更常见的是将智能测试版索引视为可能的基准，而北美资产所有者倾向于将智能测试版视为控制不需要的暴露或在投资组合中引入想要的曝光的工具。