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Assessing smart beta risk factor performance

by Vincent Denoiseux on Apr 04, 2014 at 12:40

As the graph demonstrates, each Risk Premia Index registers positive absolute return over the last 10 years with limited volatility, while also comfortably outperforming a global equity benchmark, such as the MSCI World equity index, for example.

It is also worth noting there is an additional significant diversification benefit in combining the three strategies together.

The challenge for investment professionals now is not only to provide access to these factors, but to work out which factor to recommend to investors at different points in the business cycle, and how to optimally combine risk factor exposures in a single investment designed to perform well over the long term.

• Vincent Denoiseux is a director in Deutsche Asset & Wealth Management’s systematic funds business. The views expressed are his and do not reflect the views of Deutsche Asset & Wealth Management, or Deutsche Bank AG

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