Verdeel en beheers: een slimme manier van indexbeleggen in aandelen (Divide and Manage: A Smart Approach to Non-Market Cap Equity Index Strategies)

28 Pages Posted: 3 Feb 2016

See all articles by Philip A. Stork

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Philip Menco

VU University Amsterdam - Faculty of Economics and Business Administration

Date Written: April 1, 2015

Abstract

Dutch Abstract: Marktwaarde gewogen indexen mogen zich al jaren in grote belangstelling verheugen. Doordat actief beheerde aandelenmandaten regelmatig teleurstelden, gaven steeds meer professionele en particuliere beleggers de voorkeur aan goedkope beleggingsproducten die de traditionele, marktwaarde gewogen indices nauw volgen. De laatste jaren komen echter steeds meer alternatieve indexstrategieën op die de marktwaarde gewogen indexen verslaan met een systematische aanpak en een brede spreiding over individuele aandelen, sectoren en landen. Dit artikel gaat in op de verschillende alternatieve aandelenindexen, hun eigenschappen en voor- en nadelen. Na de eerste verkenning, onderzoeken we combinaties van strategieën die samen door de tijd en na kosten een duidelijk gunstiger rendement-risico verhouding realiseren dan hun marktwaarde gewogen tegenhangers. Wie bereid is om een hoger relatief risico – tracking error – te accepteren, wordt daarvoor beloond met een aantrekkelijk rendement en vaak ook nog met een lagere volatiliteit van de beleggingsportefeuille. Het artikel is geschreven in opdracht van Amundi Asset Management, maar weerspiegelt volledig de onafhankelijke mening van de auteurs.

English Abstract: As actively managed portfolios have often disappointed, an increasing numbers of both professional and private investors have switched to low-cost investment products that closely track market cap weighted indices. Over the past few years, however, alternative index strategies have steadily gained ground. These strategies oftentimes beat market cap weighted indices in risk-return ratio's by using a systematic approach and by implementing a broader diversification across individual stocks, sectors and countries. Much has already been written about alternative equity indices, also called smart beta strategies. Many providers claim that they offer the ultimate investment solution. Because of the multiplicity of possibilities, the investor runs the risk of losing the overview. Making the right investment choice has not become any easier. In this article we attempt to provide a frame of reference for the various equity indices. We discuss the main strategies' characteristics, as well as their individual advantages and disadvantages. First, while using a Dutch equity universe, we show how some of the main strategies historically would have performed. These examples provide a good feel for the intricacies of these strategies. Next, we study combinations of strategies. We show how certain combinations have historically succeeded in realizing more consistent return-risk numbers than their market value weighted peers. The investor willing to accept a higher relative risk, or tracking error, as compared to the market cap weighted index, tends to be rewarded by a relatively attractive return. Often, a lower absolute volatility of the investment portfolio returns accompanies this improved result. As a final note, the following serves to clarify our relation with Amundi Asset Management. This report is written by us on Amundi's request. The report however, contains only our own, independent analyses and conclusions. We hope you will enjoy reading it.

Note: Downloadable document available in Dutch.

Keywords: equity index strategies, risk-return comparisons, investment portfolio

JEL Classification: G10, G11, G14

Suggested Citation

Stork, Philip A. and Menco, Philip, Verdeel en beheers: een slimme manier van indexbeleggen in aandelen (Divide and Manage: A Smart Approach to Non-Market Cap Equity Index Strategies) (April 1, 2015). Available at SSRN: https://ssrn.com/abstract=2725740 or http://dx.doi.org/10.2139/ssrn.2725740

Philip A. Stork (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Philip Menco

VU University Amsterdam - Faculty of Economics and Business Administration ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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