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MARCH 2017


Rob Arnott on Forecasting Smart Beta

Rob Arnott

Rob Arnott explains why “history is worse than useless” in forecasting the alpha of smart beta strategies.


Forecasting Factor and Smart Beta Returns (Hint: History Is Worse than Useless)

By Rob Arnott, Noah Beck, Vitali Kalesnik, 

February 2017 | Read Time: 30 min

Understanding the role relative valuations play in factor investing and smart beta strategies is important. Putting that knowledge into practice in the real world of asset management is critical. We show how valuations can be applied in forecasting factor and smart beta returns.