The Surprising Alpha from Malkiel's Monkey and Upside-Down Strategies

摘要

Investors are piling into alternative equity products that use non-market-capitalization methods to weight securities. These strategies are often labeled smart beta. Sure, these strategies have delivered higher risk-adjusted returns, but they may also create hidden exposures that can lead to unintended risks. The article highlights that all the strategies have common sources of return. Turn your smart beta strategy upside down and you are likely to find a surprise! Given this surprise, the authors suggest that practical considerations become a defining issue. Another surprise? Some of the co-authors are among the best-known proponents of these strategies.