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An efficient equity investing model using smart beta based on market phase information

Rei Yamamoto

International Journal of Portfolio Analysis and Management2021https://doi.org/10.1504/ijpam.2021.115631article
ABDC B
Weight
0.38

Abstract

Recently, smart beta has become popular and its exchange-traded funds (ETFs) are now sold by asset management companies. Therefore, by using low-cost smart beta ETFs, we can easily conduct factor investing. We propose a market phase classification method based on market directions and cross-sectional volatility to explain the rates of return of smart beta indices and a conditional portfolio optimisation model to use the characteristics of these rates of return. Empirical analyses show that the proposed model achieves better performance than both the market index and a normal portfolio optimisation model used in Japanese and global markets.

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https://doi.org/https://doi.org/10.1504/ijpam.2021.115631

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@article{rei2021,
  title        = {{An efficient equity investing model using smart beta based on market phase information}},
  author       = {Rei Yamamoto},
  journal      = {International Journal of Portfolio Analysis and Management},
  year         = {2021},
  doi          = {https://doi.org/https://doi.org/10.1504/ijpam.2021.115631},
}

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Evidence weight

0.38

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.09 × 0.4 = 0.04
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.