A report by Quantilia found that large window sizes deliver the best mean rolling information ratios for portfolios.
A study on how transaction costs affect information ratio under different weight by Quantilia
One advantage of factor-based smart beta indices is that they are regularly rebalanced. This can lead to optimal returns without unnecessary fees.
Fixed-income indices have gained in popularity, boosted in part by the growth of the smart beta market. They are used as non-investable benchmarks.
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A selection of assessment tools to analyse the efficiency of risk premia indices, keeping in mind that they generally have no real benchmarks.
As there are no standards in the market regarding risk premia and smart beta strategy types, there are different names for the same thing. This is an overview.
Read here about how to build a risk premia portfolio and what factors to take into account. Such portfolios are good alternative for risk prone investors.
Investment portfolios can be separated by core and satellite strategies. The core is usually beta while the satellite adds alpha and diversification.
Quant strategies including risk premia have become popular alternatives to hedge funds, but as they become more complex, they need careful reviewing.
Exchange-traded funds (ETFs) have evolved dramatically since it was first introduced. Now, alternative ETFs are gaining popularity.
While risk premia products target stable and steady returns on a risk-adjusted basis, they can be more volatile than anticipated – here is the solution