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'Robo Active': tracking the world’s top fund managers

Citywire's second 'Smart Alpha' special report reveals one way to build portfolios that track the world's top fund managers.

'Robo Active': tracking the world’s top fund managers

Around the world active fund managers are under pressure from the rise of passive investing. 'Tracker' funds offer lower costs and the apparent simplicity of not having to choose a manager - just the market will do!

Yet a varying proportion of active managers often beat their benchmark index, so we wondered: is it possible to devise a system that automates the manager selection process? Can you create an outperforming portfolio by tracking top fund managers in a sector?

In the second of our 'Smart Alpha' special reports Citywire reveals how its 'Robo Active' process worked and which sectors it succeeded in and also where it struggled.

Just as a heads up I can say the results look particularly good in the UK!

You can access the Smart Alpha 'Robo Active' report here.
If you have any problems please use this PDF version.

1 comment so far. Why not have your say?

ben ski

Jul 13, 2016 at 19:26

The fact so many regions/sectors produced negative alpha might suggest this is a very unstable/cyclical strategy

There's always a huge risk of back-fitting – if you've ever seen the results of hedge fund clone ETFs? ... When you've got most of these underperforming – and just a few outperformers which you're trying to rationalise somehow – that's really the definition of data-mining

The litmus test for a quant strategy is: does it work consistently out-of-sample, and is there a reliable explanation for why it works, and should continue to work? ... The results here have a strong whiff of having been designed by people who've not run quant strategies before

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