Skip to main content

2015 | OriginalPaper | Buchkapitel

Analyzing the Influence of Market Conditions on the Effectiveness of Smart Beta

Aktivieren Sie unsere intelligente Suche um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors’ behavior. These results are significant from both practical and academic viewpoints.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Anhänge
Nur mit Berechtigung zugänglich
Fußnoten
1
I built a virtual financial market on a personal computer with i7 2600 K 3.4 GHz, RAM16 GB. The simulation background is financial theory [5, 10].
 
2
‘Buy-and-hold’ is an investment method to hold shares for the medium to long term.
 
3
This analysis covers the major types of investor behavior [16].
 
4
When market prices coincide with fundamental value, both passive investors behave in the same way.
 
5
The value of objective function \(f(w^i_t)\) depends on the investment ratio \((w^i_t)\). The investor decision-making model here is based on the Black/Litterman model that is used in securities investment [4, 11, 12].
 
6
In the actual market, evaluation tends to be conducted according to baseline profit and loss.
 
7
Selection pressures on an investment strategy become higher as the value of the coefficient a increases.
 
Literatur
1.
Zurück zum Zitat Arnott, R., Hsu, J., Moore, P.: Fundamental indexation. Fin. Anal. J. 61(2), 83–99 (2005)CrossRef Arnott, R., Hsu, J., Moore, P.: Fundamental indexation. Fin. Anal. J. 61(2), 83–99 (2005)CrossRef
2.
Zurück zum Zitat Axelrod, R.: The Complexity of Cooperation—Agent-Based Model of Competition and Collaboration. Princeton University Press, Princeton (1997) Axelrod, R.: The Complexity of Cooperation—Agent-Based Model of Competition and Collaboration. Princeton University Press, Princeton (1997)
3.
Zurück zum Zitat Black, F., Scholes, M.: Pricing of options and corporate liabilities. Bell J. Econ. Manage. Sci. 4, 141–183 (1973)CrossRef Black, F., Scholes, M.: Pricing of options and corporate liabilities. Bell J. Econ. Manage. Sci. 4, 141–183 (1973)CrossRef
4.
Zurück zum Zitat Black, F., Litterman, R.: Global portfolio optimization. Fin. Anal. J. September–October, 28–43 (1992) Black, F., Litterman, R.: Global portfolio optimization. Fin. Anal. J. September–October, 28–43 (1992)
5.
Zurück zum Zitat Brealey, R., Myers, S., Allen, F.: Principles of Corporate Finance, 8th edn. The McGraw-Hill (2006) Brealey, R., Myers, S., Allen, F.: Principles of Corporate Finance, 8th edn. The McGraw-Hill (2006)
6.
Zurück zum Zitat Fama, E.: Efficient capital markets: a review of theory and empirical work. J. Fin. 25, 383–417 (1970)CrossRef Fama, E.: Efficient capital markets: a review of theory and empirical work. J. Fin. 25, 383–417 (1970)CrossRef
7.
Zurück zum Zitat Goldberg, D.: Genetic Algorithms in Search, Optimization, and Machine Learning. Addison-Wesley (1989) Goldberg, D.: Genetic Algorithms in Search, Optimization, and Machine Learning. Addison-Wesley (1989)
8.
Zurück zum Zitat Grossman, S.J., Stiglitz, J.E.: Information and competitive price systems. Am. Econ. Rev. 66, 246–253 (1976) Grossman, S.J., Stiglitz, J.E.: Information and competitive price systems. Am. Econ. Rev. 66, 246–253 (1976)
9.
Zurück zum Zitat Ingersoll, J.E.: Theory of Financial Decision Making. Rowman & Littlefield (1987) Ingersoll, J.E.: Theory of Financial Decision Making. Rowman & Littlefield (1987)
10.
Zurück zum Zitat Luenberger, D.G.: Investment Science. Oxford University Press (2000) Luenberger, D.G.: Investment Science. Oxford University Press (2000)
11.
Zurück zum Zitat Martellini, L., Ziemann, V.: Extending Black-Litterman analysis beyond the mean-variance framework: an application to hedge fund style active allocation decisions. J. Portfolio Manage. 33(4), 33–45 (2007)CrossRef Martellini, L., Ziemann, V.: Extending Black-Litterman analysis beyond the mean-variance framework: an application to hedge fund style active allocation decisions. J. Portfolio Manage. 33(4), 33–45 (2007)CrossRef
12.
Zurück zum Zitat Meucci, A.: Beyond Black-Litterman in practice. Risk 19, 114–119 (2006) Meucci, A.: Beyond Black-Litterman in practice. Risk 19, 114–119 (2006)
13.
Zurück zum Zitat O’Brien, P.: Analysts’ forecasts as earnings expectations. J. Account. Econ. January, 53–83 (1988) O’Brien, P.: Analysts’ forecasts as earnings expectations. J. Account. Econ. January, 53–83 (1988)
14.
Zurück zum Zitat Sharpe, W.F.: Capital asset prices: a theory of market equilibrium under condition of risk. J. Fin. 19, 425–442 (1964) Sharpe, W.F.: Capital asset prices: a theory of market equilibrium under condition of risk. J. Fin. 19, 425–442 (1964)
15.
Zurück zum Zitat Shiller, R.J.: Irrational Exuberance. Princeton University Press, Princeton (2000) Shiller, R.J.: Irrational Exuberance. Princeton University Press, Princeton (2000)
16.
Zurück zum Zitat Shleifer, A.: Inefficient Markets. Oxford University Press, Oxford (2000) Shleifer, A.: Inefficient Markets. Oxford University Press, Oxford (2000)
17.
Zurück zum Zitat Takahashi, H., Terano, T.: Agent-based approach to investors’ behavior and asset price fluctuation in financial markets. J. Artif. Soc. Soc. Simul. 6, 3 (2003) Takahashi, H., Terano, T.: Agent-based approach to investors’ behavior and asset price fluctuation in financial markets. J. Artif. Soc. Soc. Simul. 6, 3 (2003)
18.
Zurück zum Zitat Takahashi, H., Takahashi, S., Terano, T.: Analyzing the influences of passive investment strategies on financial markets via agent-based modeling. In: Edmonds, B., Hernandes, C., Troitzsch, K (eds.) Social Simulation Technologies: Advances and New Discoveries (Representing the Best of the European Social Simulation Association conferences). Idea Group Inc. (2007) Takahashi, H., Takahashi, S., Terano, T.: Analyzing the influences of passive investment strategies on financial markets via agent-based modeling. In: Edmonds, B., Hernandes, C., Troitzsch, K (eds.) Social Simulation Technologies: Advances and New Discoveries (Representing the Best of the European Social Simulation Association conferences). Idea Group Inc. (2007)
19.
Zurück zum Zitat Takahashi, H.: An analysis of the influence of fundamental values’ estimation accuracy on financial markets. J. Prob. Stat. 17 (2010). doi:10.1155/2010/543065 Takahashi, H.: An analysis of the influence of fundamental values’ estimation accuracy on financial markets. J. Prob. Stat. 17 (2010). doi:10.​1155/​2010/​543065
20.
Zurück zum Zitat Takahashi, H., Takahashi, S., Terano, T.: Analyzing the validity of passive investment strategies employing fundamental indices through agent-based simulation. In: The Proceeding of KES-AMSTA 2011 (LNAI6682), pp. 180–189, Springer (2011) Takahashi, H., Takahashi, S., Terano, T.: Analyzing the validity of passive investment strategies employing fundamental indices through agent-based simulation. In: The Proceeding of KES-AMSTA 2011 (LNAI6682), pp. 180–189, Springer (2011)
21.
Zurück zum Zitat Takahashi, H.: An analysis of the influence of dispersion of valuations on financial markets through agent-based modeling. Int. J. Inf. Technol. Decis. Making 11, 143–166 (2012)CrossRef Takahashi, H.: An analysis of the influence of dispersion of valuations on financial markets through agent-based modeling. Int. J. Inf. Technol. Decis. Making 11, 143–166 (2012)CrossRef
Metadaten
Titel
Analyzing the Influence of Market Conditions on the Effectiveness of Smart Beta
verfasst von
Hiroshi Takahashi
Copyright-Jahr
2015
DOI
https://doi.org/10.1007/978-3-319-19728-9_35