Thursday, March 6, 2014

“Smart Beta” Investing

“Smart beta” strategies are a class of investment strategies based on company fundamentals.  In the FTS "Smart Beta Investing"project, students:
  • Learn what these strategies are
  • Construct and manage their own “smart beta” portfolio
  • Compare its performance to a market index.
For background information, we refer you to this general article by the originators of these strategies, Research Affiliates, and to this academic paper describing the methodology.
The project uses
  • Valuation Tutor and/or the Financial Statement Analysis Module to select companies based on fundamentals and to construct portfolio weights.
  • The FTS Real Time Client for managing the portfolio.  The built in Equity Portfolio Rebalancer allows the automatic implementation of a large portfolio, as well as the rebalancing of the portfolio.

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