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I was checking out my portfolio returns this year and the returns of various Smart Beta / Factor ETFS and one really jumped out at me.  It was the iShares Edge MSCI USA Momentum Fctr ETF (MTUM), a momentum fund as the name implies.  It's one of the largest Smart Beta ETFs available with over $3.5 Bil under management... the expense ratio is also low at 15 basis points (0.15%).  Year to date, its total return is up over 23% compared…
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Regression Analysis To Tell You What Factors Are At Work Not all funds 'capture' the factor in fact some capture something else or a lot of the beta.  Its hard telling whats what.  Here we have a good look at regression analysis to decipher what is true factor premium and what is, well, randomness.  Its an interesting subject and one that I hope to cover thoroughly here. http://seekingalpha.com/article/4012925-smart-beta-strategy-job The Hidden Weaknesses Of Index Funds. If you read my post Investors…
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This Week In Smart Beta 10.08.2016

Posted on: 09.10.2016
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Gregg Fisher On Meb Faber's Podcast I'll just say it out Meb summarizes it on his site: "if you're a factor investor this episode is for you". http://mebfaber.com/2016/10/05/podcast-23-gregg-fisher-sometimes-best-investment-strategy-isnt-right-investment-strategy/ Larry Swedroe On Diversification and Factor Investing Swedroe takes a quantitative look at the under and out performance of factors over time, particularly small cap value.  We all know that no factor works 100% of the time, but his data tables reveal many interesting take aways with numbers.  He concludes that investors need…
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Smart Beta Doesn't Mean Smart Investor Patick O'Shaugnessy expressed some criticism at the Morningstar ETF Invest Conference a couple weeks back. He's a firm believer in factor alpha  and believes that too many Smart Beta ETfs are just  basically, funds with a tilt and too many holdings.   He also feels that ETFs are conducive to trading like stock thus highlighting another behavioral issue with investors.  I agree with him on this point and I admit to looking at my…
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