Monkey portfolio proponents argue that all smart beta strategies generate performance that is similar to results obtained by any random portfolio strategy. We analyze these claims using test portfolios that follow commonly employed methodologies for explicit factor-tilted indexes. Our results show that smart beta strategies display exposure to a variety of factors, and there are pronounced differences in factor exposures across different strategies. An important implication of our results is that a careful assessment of investment philosophy and index design is indeed relevant as such strategies do not behave like monkey portfolios.
Overview
Monkey portfolio proponents argue that all smart beta strategies generate performance that is similar to results obtained by any random portfolio strategy. We analyse these claims using test portfolios that follow commonly employed methodologies for explicit factor-tilted indices. Our results show that smart beta strategies display exposure to a variety of factors, and there are pronounced differences in factor exposures across different strategies. An important implication of our results is that a careful assessment of investment philosophy and index design is indeed relevant as such strategies do not behave like monkey portfolios.
Slides
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Host
The webinar was hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta. Dr. Goltz carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.
Date/Time
29 March, 2016 at 5.00pm CET / 11.00am EST.