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Research Affiliates-Why Factor Tilts Are Not Smart "Smart Beta"
May 12, 2017--Key Points
Not all features of smart beta strategies that add value for investors can be replicated with simple factor tilts.
Whereas factor-replicated portfolios can match the short-run returns of smart beta strategies, they have higher turnover, much larger trading costs, smaller capacity, more frequent and prolonged benchmark underperformance, larger drawdowns, higher residual risk, and lower long-run returns.
Implementation matters! Really smart smart beta strategies should be designed to optimally capture factor return premiums and be able to deliver them to investors after trading costs.
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Source: Research Affiliates
DECPG Global Weekly-May 12, 2017
May 12, 2017--TAKING STOCK
U.S. consumer prices rose moderately in April; retail sales improved; jobless claims fell
Euro Area industrial production fell in March
China consumer price inflation edged up in April, producer prices decelerated further
The CBOE market volatility index (VIX) ticked up after falling to its lowest level in more than two decade
South Africa's mining sector strengthened at the end of Q1
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Source: World Bank
CFTC.gov Commitments of Traders Reports Update
May 12, 2017--he current reports for the week of May 9, 2017 are now available.
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Source: CFTC.gov
There Are Now More Indexes Than Stocks
May 12, 2017--This chart shows how on Earth that happened.
The number of market indexes now exceeds the number of U.S. stocks.
Traditional ones such as the S&P 500 are collections of securities weighted by market value, and index funds mimic them as a low-cost way to deliver the market's performance. Many new indexes are different: They include stocks based on custom criteria, such as having low volatility or high dividends.
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Source: Bloomberg
Hartford Funds Expands Multifactor ETF Product Suite with Launch of Two Low Volatility Multifactor ETFs
May 11, 2017--Hartford Funds today announced the launch of two low volatility multifactor exchange-traded funds (ETFs), Hartford Multifactor Low Volatility US Equity ETF (ticker: LVUS) and Hartford Multifactor Low Volatility International Equity ETF (ticker: LVIN).
Both multifactor ETFs are designed to deliver market-like equity returns while reducing portfolio volatility to help investors achieve their long-term financial goals.
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Source: Hartford Funds
Goldman Sachs to launch new 'dark pool' for stocks on Friday
May 11, 2017--Goldman Sachs Group Inc will launch a new private stock-trading venue, known as a "dark pool" on Friday, that is run by exchange operator Nasdaq Inc, according to a note to clients obtained by Reuters.
Goldman has been refreshing its trading technology to become more competitive in its electronic stock execution business, and hired Nasdaq last year to revamp its dark pool, known as Sigma X.
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Source: Reuters
CBO-The 2017 Budget and Economic Outlook
May 11, 2017--In fiscal year 2016, for the first time since 2009, the federal budget deficit increased in relation to the nation's economic output.
The Congressional Budget Office projects that over the next decade, if current laws remained generally unchanged, budget deficits would eventually follow an upward trajectory-the result of strong growth in spending for retirement and health care programs targeted to older people and rising interest payments on the government's debt, accompanied by only modest growth in revenue collections. Those accumulating deficits would drive debt held by the public from its already high level up to its highest percentage of gross domestic product (GDP) since shortly after World War II.
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Source: Congressional Budget Office (CBO)
Gender inequality is holding back US economy, Yellen warns
May 5, 2017--Fed chair says policies to promote work-life balance would add to GDP.
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Source: FT.com
CBO-The 2017 Budget and Economic Outlook
May 5, 2017--In fiscal year 2016, for the first time since 2009, the federal budget deficit increased in relation to the nation's economic output.
The Congressional Budget Office projects that over the next decade, if current laws remained generally unchanged, budget deficits would eventually follow an upward trajectory-the result of strong growth in spending for retirement and health care programs targeted to older people and rising interest payments on the government's debt, accompanied by only modest growth in revenue collections. Those accumulating deficits would drive debt held by the public from its already high level up to its highest percentage of gross domestic product (GDP) since shortly after World War II.
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Source: Congressional Budget Office (CBO)
CBO-Monthly Budget Review for April 2017
May 5, 2017--The federal budget deficit was $348 billion for the first seven months of fiscal year 2017, the Congressional Budget Office estimates-$5 billion less than the shortfall recorded during the same span last year.
But that result was affected by shifts in the timing of certain payments that otherwise would have been due on a weekend. If not for those shifts, the deficit for the first seven months of fiscal year 2017 would have been $77 billion larger than the one recorded for the same period last year.
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Source: Congressional Budget Office (CBO)
