Research.LeutholdGroup

Our recent commentary “1” For The Record Books noted that just one of seven S&P smart beta factors was able to outperform the S&P 500 last year, even though each style basket limits its holdings to constituents of the parent index.

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Dark energy makes up 68% of the universe, yet astrophysicists are having a devil of a time explaining what it is, why it is, or how it works. Quant investors are facing their own dark-energy mystery in understanding style returns of 2019.

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One of the virtues of quantitative investing is that it relies on measurable data points that fit smoothly into mathematical models.

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Executive Summary

• Factors are investment characteristics that represent anomalies under the Capital Asset Pricing Model (CAPM). Securities possessing these desirable traits earn excess risk-adjusted returns beyond those predicted by CAPM.

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Quantitative investing has become an integral component of professional investment management, and smart beta funds have become popular vehicles for advisors as they assemble actively-managed client portfolios.

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Also known as smart beta or strategic beta, factor investing has become the hottest portfolio management trend in the last five years. The smart beta space exceeds $600 billion in assets under management.

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