RT Journal Article
SR Electronic
T1 Smart Beta is the Gateway Drug to Risk Factor Investing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 130
OP 134
DO 10.3905/jpm.2017.43.5.130
VO 43
IS 5
A1 Eugene Podkaminer
YR 2017
UL https://pm-research.com/content/43/5/130.abstract
AB The most common strategies using risk factor approaches are found on the opposite ends of the complexity spectrum: simple, long-only equity factor strategies (i.e., smart beta) and multiasset class long/short risk premia approaches that often employ leverage and derivatives. The space between these two poles is just starting to be explored, as risk factors become a more common feature of both portfolio attribution and portfolio construction. Today’s simple factor smart beta portfolios can be extended across multiple asset classes, coupled with shorting, in order to approach a diluted risk premia approach.TOPICS: Analysis of individual factors/risk premia, style investing, risk management