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Roundtable: Looking under the hood: Smart betas, factor-based indexing, risk premia and IBM's Watson

 

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The academic literature of the last 30 years is filled with papers and research that support the existence of certain premia in various asset classes. Risk premia products are no longer a novelty; most bulge-bracket banks have successfully rolled out their suites of “risk premia” and “smart beta” indices, which has been of great interest to Nordic and US pension funds.

Risk premia such as value, momentum, carry, etc. provide very efficient portfolio building blocks, simply because the correlations among risk premia are generally low and relatively stable. Their use in portfolio construction can help achieve more efficient returns than those using the traditional geography or market cap building blocks that are commonly used in many portfolios.

Today, these new strategies are also called smart beta, smart systematic beta, factor-based indexing or systematic risk premia. But when the quintessential mechanical engineers and astrophysics PhDs start kicking the tires and looking under the hood, deeper questions open up...

Is it just a back test?

Obviously, risk parity seems to have worked in the past, so how different are the new products from, say, selling a back test? Moreover, when it comes to equity index beta, the beta that we have from, say, the S&P comes with a clear and uniform definition, and it's absolutely free. But, looking at other betas like say FX carry, what's the beta for that?

“What if you’ve got one and I have got one, and mine is different? It's not really a beta then. Maybe my beta is more beta than your beta. Maybe your beta has got more alpha in it than my beta...?”, asks Ewan Kirk. On top of that, there are costs associated with dynamic positions so, in a sense, it can’t be beta. So maybe a dynamic trading strategy can't be beta, maybe it's just a dynamic trading strategy. However, it is undisputed that risk premia can provide portfolio managers with a greater number of low-correlation portfolio building blocks than the more typical geography and market cap building blocks.

It's not about your model – it’s about your execution

Today, it's not a challenge anymore to write down a nice, simple trend model, which in gross terms looks great and appears statistically indistinguishable from the best CTAs in the world. However, that will be in gross terms. Owning a cap-weighted equity index is free because you don’t have to trade. On the other hand, if the rebalancing costs of a portfolio is only 1 BP a day, that will be 2.5% per annum, dwarfing the cost of management fees. Therefore, huge efforts go into saving tiny fractions of a basis point and executing at “lag 0”. Still, some offered risk parity strategies are quite stripped down in their substance and therefore appear to be inexpensive.

The Opalesque 2014 U.K. Roundtable was sponsored by Salus Alpha and Eurex and took place September 3rd 2014 at the London offices of Eurex with:

  1. Oliver Prock, CEO Salus Alpha Group and CIO of Salus Alpha Capital
  2. Ewan Kirk, CIO and Co-Founder, Cantab Capital Partners
  3. Antoine Haddad, Founder and CIO, Bainbridge Partners
  4. Stuart MacDonald, Managing Director, Aquila Capital
  5. Nacho Morais, CFA, FRM, CAIA, Pragma Wealth Management
  6. Akshay Krishnan, Head of Macro Strategies, Stenham Advisors
  7. Renaud Huck, Senior Vice President, Eurex Group
The roundtable participants also discussed:
  • Three years ago, IBM’s Watson beat Jeopardy experts in real time. Will something like Watson beat Warren Buffett three years from now?
  • Regulators unchained: How ESMA boycotted their own “Lamfalussy process”
  • How have discretionary trading strategies been faring lately?
  • How should investors be positioned once QE ends?
  • How should investors analyze and rate quants? Sharpe Ratio versus Conditional Drawdown at Risk
  • How do quants avoid the trap of concentration of risk? When do less liquid instruments get picked up by quants, and what is their process?
  • Why and how is the new Eurex FX future different from the CME product? Will repo futures open a whole new path for the buyside? How can active futures traders reduce quarterly roll costs?
  • How can investors benefit from the coming expansion in volatility
  • Why do more firms stop allocating assets to external managers and hire portfolio managers to run certain strategies in-house
  • Opportunities in real assets, agriculture and infrastructure
Enjoy!

Matthias Knab
Knab@Opalesque.com

Access the Opalesque Roundtable Series - U.K. 2014 | Download here

The Opalesque Roundtable Series offers unparalleled intelligence on the most important global hedge fund jurisdictions and their players. The Roundtable Series is a free publication from Opalesque and is continually updated. Please scroll down to view the full selection of our Roundtables - covering the globe!

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