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1、Thebuckstopshere:AnevaluationofsmartbetaVanguardmoneymarketfundsandotherrules-basedactivestrategiesVanguardResearchAugust2015ChristopherB.Philips,CFA;DonaldG.Bennyhoff,CFA;FrancisM.KinniryJr.,CFA;ToddSchlanger,CFA;andPaulChin■Followingsignificantlossesbylarge-capandgrowthstocks
2、duringthe2000–2002bearmarket,investorinteresthasincreasedinnon-market-capitalizationindex-weightingstrategiesthatintentionallydivorceasecurity’sindexweightingfromitsprice.Suchrules-basedalternativestomarket-cap-weightedindexesarestrategieslabeledalternativeindexing,fundamentali
3、ndexing,or,themorecommonlyused,smartbeta.■Vanguardbelievesstronglythat,bydefinition,smart-betaindexesshouldbeconsideredrules-basedactivestrategiesbecausetheirmethodologiestendtogeneratemeaningfulsecurity-leveldeviations,ortrackingerror,versusabroadmarket-capindex.Thispaper’sana
4、lysisshowsthatthe“excessreturn”ofsuchstrategiescanbepartly(andinsomecaseslargely)explainedbytime-varyingexposurestovariousriskfactors,suchassizeandstyle.■Consequently,therelativeperformanceofsmart-betastrategiesversusthebroadmarkethasdeviatedmeaningfullyovertime,andshouldbeexpe
5、ctedtodoso,given(1)therelativeperformanceofvariousequitymarketfactorsversusthebroadmarketand(2)theinconsistentordynamicexposuretosuchriskfactorsbasedoncertainrules-basedstrategies.■Forinvestorsseekingtooutperformthebroadmarket,wediscussviablealternativestonon-market-capindex-we
6、ightingstrategies.Note:TheauthorswouldliketothankRaviG.TolaniandDavidC.Pakula,bothcolleaguesinVanguard’sInvestmentStrategyGroup.Whatis“smartbeta”?TheanswertothisquestionWhatevertheirmakeup,alternativeweightingschemesdependsonwhomyouask.Muchoftheinterestinthedisplaycharacteristi
7、csthatshouldleadtoperformancemonikerseemstostemfromthe2000–2002globalbearthatdiffersfromthemarket’srisk–returncharacteristicsmarket—theso-calledTMT(“tech,media,andtelecom”)(ormarketbeta).Figure1providesavisualizationofthebubble.Thisglobalequitymarketdeclinefeaturedsignificant(C
8、ontinuedonpage4)equitylossesbylargecompaniestheworldov
