Editor’s Letter

This issue of the journal is focused on smart beta. We introduce the topic with Blitzer’s commentary. Amenc, Goltz, Sivasubramanian, and Lodh explore the robustness of the outperformance of smart beta strategies. Davis provides information on using “big data” to improve the performance of smart beta strategies. Bender and Wang propose a benchmark-centric framework for building advanced beta portfolios. Marchioni, Antropova, and McNaught promote the idea of beta as a range of complimentary tools and provide analysis of some benefits and limitations to enhance the process. Siu provides analysis of low-volatility strategies, examining them from a risk perspective. Hsu, Kalesnik, and Viswanathan examine equity factors and provide information to assist investors to determine which factors are most likely to be premium-bearing factors. Staal, Corsi, Shores, and Woida discuss the idea of smart beta in fixed income.

Hunstad and Dekhayser provide a metric for determining the amount of active risk a product derives from factor exposure versus unintentional bets.

We welcome your submissions. Please encourage those you know who have good papers or have made good presentations on indexing, ETFs, mutual funds, or related subjects to submit them to us. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

TOPICS: Passive strategies, big data/machine learning, portfolio theory

Brian Bruce

Editor-in-Chief

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