Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Smart Beta or Smart Alpha?

Kenneth Lillelund Winther and Søren Resen Steenstrup
The Journal of Investing Spring 2016, 25 (1) 85-94; DOI: https://doi.org/10.3905/joi.2016.25.1.085
Kenneth Lillelund Winther
is senior vice president at Tryg’s Investment Department in Copenhagen, Denmark, and an external lecturer at Copenhagen Business School in Copenhagen, Denmark.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: kenneth.winther@tryg.dk kw.fi@cbs.dk
Søren Resen Steenstrup
is a financial analyst at Tryg’s Investment Department in Copenhagen, Denmark.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: soeren.steenstrup@tryg.dk
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Smart beta has become the flavor of the decade in the investment world with its low fees, easy access to rewarded risk premiums, and appearance of providing good investment results relative to both traditional passive benchmarks and actively managed funds. Although we consider it well documented that smart beta investing probably will do better than passive market capitalization investing over time, we believe many are coming to a conclusion too quickly regarding active managers. Institutional investors are able to guide managers through benchmarks and risk frameworks toward the same well-documented smart beta risk premiums and still motivate active managers to avoid value traps, too highly priced small caps, defensives, etc. By constructing the equity portfolios of active managers that resemble the most widely used risk premiums, we show that the returns and risk-adjusted returns measures are not only superior to the common capitalization weighted index but also to their smart beta benchmark, even after cost for value, size, and low volatility funds. We encourage investors to increase the use of smart beta as benchmarks while still obtaining extra performance through active management—a concept we call smart alpha.

  • © 2016 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Investing: 25 (1)
The Journal of Investing
Vol. 25, Issue 1
Spring 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Smart Beta or Smart Alpha?
(Your Name) has sent you a message from The Journal of Investing
(Your Name) thought you would like to see the The Journal of Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Smart Beta or Smart Alpha?
Kenneth Lillelund Winther, Søren Resen Steenstrup
The Journal of Investing Feb 2016, 25 (1) 85-94; DOI: 10.3905/joi.2016.25.1.085

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Smart Beta or Smart Alpha?
Kenneth Lillelund Winther, Søren Resen Steenstrup
The Journal of Investing Feb 2016, 25 (1) 85-94; DOI: 10.3905/joi.2016.25.1.085
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • INTUITION BEHIND ACTIVE MANAGEMENT WITHIN RISK PREMIUMS
    • RISK PREMIUMS AND SMART BETA
    • DATA
    • CONSTRUCTING THE ACTIVE RISK PREMIUM PORTFOLIOS
    • ANALYSIS
    • DISCUSSION
    • CONCLUSION
    • APPENDIX
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Entrepreneurs Breed ESG-Rich Companies: Reap Exceptional Returns as Harvest Byproduct
  • Leadership Matters: Crafting a Smart Beta Portfolio with a Founder-CEO Twist
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • COMMENTARY: Last Page
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy