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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.

ARTICLES

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.

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