Bringing you live news and features since 2006 

Paper finds that valuations matter in smart beta


To win with ‘Smart Beta’, ask if the price is right is the suggestion of Rob Arnott, Noah Beck, and Vitali Kalesnik, Ph.D in their latest paper on the subject for Research Affiliates. 

The paper reveals that over the past half-century, almost all of  the  eight  factors  and  eight smart   beta   strategies   they have studied exhibit    a    negative    relationship between   starting   valuation   and   subsequent five-year performance.

“Today,  valuations  of  many  of  the  most  popular  factors  and  smart  beta strategies are well above their historical norms, forecasting lower future returns,” the paper says. “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   US,   developed   ex-US, and emerging markets.

The practical implication for investors is simple: valuations matter, the authors conclude.

The paper can be found here: Research Affiliates.

Latest News

The August data from LSEG Lipper shows that the global ETF industry held USD10,547.4 billion in assets under management on..
HANetf has announced that their European Green Deal UCITS ETF (ticker: EUGD) has reached USD52 million (EUR49.9 million) in assets..
Legal & General Investment Management (LGIM) has announced the launch of the L&G Global Brands UCITS ETF. The firm writes..
Vienna Stock Exchange has launched three new thematic indices: CECE Reshoring, CECE Commodity Producers and CECE Clean Energy, writing that..

Related Articles

John Ciampaglia, Sprott Asset Management
Geo-political tensions and concerns about hitting clean energy targets have brought the focus back onto nuclear power in recent months,...
Nick King, Robeco
Europeam investment management giant Robeco has announced the appointment of Nick King as Head of Exchange Traded Funds (ETFs), in...
Kristof Gleich, Harbor Capital
Harbor Capital burst onto the ETF issuance world in 2021 and now has USD1.1 billion in assets in ETFs. But...
Europe’s thematic ETF provider, Rize ETF, has been acquired by ARK Invest LLC, the parent of ARK Investment Management LLC,...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by