smart beta 2 - s&p dow jones indices · 2016-05-20 · smart beta expansion – new domiciles...

Rise of Smart Beta ETFs

Dr. Abdelhamid Bizid

Director, Head of Products and Investment Strategy APAC, iShares BlackRock

FOR PROFESSIONAL AND INSTITUTIONAL INVESTOR USE ONLY –

NOT FOR PUBLIC DISTRIBUTION (PLEASE READ IMPORTANT

DISCLOSURE)

S&P ダウ・ジョーンズ・インデックス主催『第8回ETFコンファレンス』用資料

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What is Smart Beta?

A transparent and rules-based style of investing that seeks to capture rewarded investment factors

• Exploits economically intuitive and well-understood

investment themes such as Value or Quality

• Seeks to improve upon traditional cap-weighted benchmarks while retaining many benefits of passive

strategies

Typically lower cost and higher capacity compared to

traditional active management

How does Smart Beta work?

Rewrites index rules to isolate or combine factors to create deliberate, diversified outcomes that traditional

index investing cannot achieve

Why invest in Smart Beta?

To deliver exposure to ideas that drive investment

performance

To achieve a desired outcome, such as:

• Enhance returns

• Reduce unwanted risks

• Improve diversification along factor dimensions

Traditional

Passive

β

Smart Beta Rules-based and transparent

Based on intuitive, academic evidence

Liquid with high capacity

Traditional

Active

α

Smart Beta sits between Active and Passive Management

Introduction to Smart Beta

当資料は、S&Pダウジョーンズ・インデックス主催の『第8回ETFコンファレンス』にご参加の機関投資家、金融商品取引業者等の方を対象に、資産運用のご参考となる情報提供を目的として作成されたものです。当資料をもって個別の金融商品取引を勧誘するものではありません。当資料は個人投資家向けに作成されたものではなく、当資料の複製、転載及び再配布等は堅くお断り致します。特定の金融商品取引のご検討に際しては、当該金融商品にかかる目論見書、契約締結前書面等の法定開示書類を十分お読み頂き、ご自身の判断と責任でなさるようお願い致します。

Is Smart Beta ETFs new? NO

› Concepts implemented and tested since the mid 60s for factors such as Value.

› iShares launched the first listed Factor ETFs (Value & Growth) in 2000

› Today iShares offers over 90 Smart Beta ETFs across the globe

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Relative Performance vs. S&P 500 AUM Growth US$MN*

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115

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S&P 500 Value Index / S&P 500 Index

S&P 500 Growth Index / S&P 500 Index

-

20,000

40,000

60,000

80,000

100,000

120,000

140,000

2009 2010 2011 2012 2013 2014 2015

Value Growth

Source: BlackRock, Bloomberg

*AUM of S&P Value ETFs and S&P 500 Grow th ETFs are aggregated AUM of respective ETFs that are provided by BlackRock, Vanguard and SSgA and are listed on the US stock

exchanges.

Past performance is not indicative of future performance and is no guide to future returns.


S&P 500 Value ETFs S&P 500 Growth ETFs

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Smart Beta strategies may help investors achieve a variety of investment outcomes

Solutions Provides diversification and potential for enhanced risk -adjusted returns

Tools Express investment views, control exposures along factor dimensions

Get more out of beta

Seek incremental

returns

Improve the expected

risk-adjusted return while

retaining the transparency

and efficiency of beta

e.g. Income strategies, Equi-

weighted strategies, Multi-

Factor strategies

Cost efficient alternative to

some strategies

Lower fees & costs,

improve transparency

A transparent and low cost

alternative to diversified

active or systematic risk-

controlled strategies

e.g. Multi-Factor strategies,

Minimum Volatility strategies

Implement investment

views

Seek incremental returns

or reduced risk

Implement tactical and macro

views along various factor

dimensions

e.g. Single-Factor strategies

Completion strategies

Diversify and reduce

unwanted risks

Complement the factor

exposures of the existing

manager line up while

increasing diversification

e.g. Single-factor strategies

How do investors use Smart Beta?


Growth of Smart Beta ETPs

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Global Smart Beta ETP Assets (US$BN) Global ETP Assets (US$BN)

Source: BlackRock, As of December 2015


-

50

100

150

200

250

300

350

400

450

500

2011 2012 2013 2014 2015

Dividend Equal Weight Low Volatility

Multi-Factor Single Factor Fixed Income

-

500

1,000

1,500

2,000

2,500

3,000

3,500

2011 2012 2013 2014 2015

Equity Fixed Income Commodities Other

› Smart Beta ETP assets have grown 185% since 2011 vs. 90% for all ETP assets

› In 2011 13% of new launches were Smart Beta ETPs vs. 25% in 2015

Factors for different macro environments

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Real GDP Growth Risk Outperform when economic

growth is strong

› Equal Weighted / Small Cap

(or “Size”)

› Momentum

› Risk Weighted

› Value

Outperform when economic

growth is weak

› High Dividend Yield

› Quality

› Minimum Volatility

Inflation Risk Outperform when inflation is

rising

› Equal Weighted / Small Cap

(or “Size”)

› Momentum

› Risk Weighted

› High Dividend Yield

› Quality

Outperform when inflation is

falling

› Minimum Volatility

Source: MSCI


Current market conditions privilege earning quality and low volatility products.


High Dividend, Minimum Volatility and Quality (1/2)

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Source: MSCI, calculations in USD terms. Data as of February 12, 2016


YTD, High Dividend, Minimum Volatility and Quality have outperformed market-cap weighted indices


High Dividend, Minimum Volatility and Quality (2/2)

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95

100

105

110

115

120

Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15

MSCI World High Dividend MSCI World Quality

MSCI World Min Vol

Relative Factor Performance vs. MSCI World

The recent out-performance was translated in terms of AUM, e.g. we saw Quality strategies doubling

in AUM in 2015

(500)

1,500

3,500

5,500

7,500

9,500

11,500

Dividend Quality Minimum Volatility

Flow 2015 Flow YTD

Flows 2015 and YTD (US$MN)

Source: Bloomberg, BlackRock, all calculations in USD terms



Smart Beta expansion – New Domiciles and Localized Methodologies (1/2)

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• iShares launched the first two cost-effective Japan-domiciled Smart Beta ETFs in 2015.

• The two Japanese equity smart beta methodologies that have been adjusted to the Japanese clients by excluding REITS from the investment universe and looking at local currency-based

screening.

MSCI Nihonkabu Minimum Volatility

Index (M5NKMV Index)

MSCI Japan High Dividend Yield Index

(M5JPDY Index)

Factor Exposure Minimum Volatility High Dividend

Goal Provides a low volatility exposure on

Japanese stocks (ex-REITS), with

diversification constraints in terms of sector

exposure and market capitalization

Selects high dividend-paying Japanese

companies (excluding REITS), through a method

that emphasizes sustainability and quality of

earnings.

Rationale A minimum volatility strategy with less

expected market risk, and built to outperform

during volatile times, without unwanted

sector or style risk.

Innovative screening focusing on earning quality,

sustainability and persistence of dividend flows.

Methodology focuses on attractive metrics when

growth is weak, but may generate sectorial bias.


Smart Beta expansion – New Domiciles and Localized Methodologies (2/2)

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Absolute Performance over 10Y Absolute Performance since ETF inception

Source: Bloomberg and BlackRock as of February 2016 – all calculations in JPY, since 17 Feb 2006. Using Net Total Returns. For indicative purposes only.


Return Volatility Max Drawdown Dividend Yield

MSCI Japan Index -0.56% 21.98% -61.45% 1.71%

MSCI Japan Min Vol Index 3.08% 17.18% -50.35% 1.70%

MSCI Japan High Dividend Index 3.64% 19.88% -54.63% 2.63%

TOPIX Index -0.29% 21.89% -53.36% 1.86%

MSCI Japan High Dividend

MSCI Japan Min Vol

MSCI Japan

MSCI Japan High Dividend

MSCI Japan Min Vol

MSCI Japan


Smart Beta expansion – Japan Minimum Volatility Design

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Minimum Volatility Factor: Importance of the design

› Covariance-based solution: diversification generates better risk-adjusted returns (a “self-fulfilling” methodology)

› Purity of the style compromises “investibility” and generates active tilts, these active tilts may generate unwanted bias

› Size, Sectorial and Liquidity exposure risk: need to limit Country/Style/Sector bias and active weight

discrepancies

› Japanese Minimum Volatility Indices tend to have a positive REITS systematic bias due to low

correlation. As Japanese investors invest in REITS as a stand-alone product, we removed the REITS exposure from the product design.

Return Volatility Correlation

TOPIX Index -0.15% 20.46%

TSE REITS Index

6.22% 22.44% 61%

MSCI Japan Min Vol Index

3.28% 16.52% 95%

Source: Bloomberg and BlackRock as of February 2016 – all calculations in JPY, since 17

Feb 2006. Using Net Total Returns. For indicative purposes only.


TSE REIT

MSCI Japan Min Vol

TOPIX


Smart Beta expansion – New Propositions, New Asset Classes

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Fixed Income Smart Beta

› Three major types of risks: Currency, Rates and Credit

› Various strategies can generate returns: Fallen Angels, Economic Value, FX Momentum…

› Important to isolate the source of return and prove its consistency

Getting more granular

› Leveraging on Quantitative Analysis Research to find sources of return

› More targeted factor exposures (country-based, sector-based, etc.)

› Important to closely monitor risks (market depth, liquidity, etc.)

Getting more efficient

› Improvement in design (Crowding effect, Information Ratio analysis, Turnover, etc.)

› Framework for allocating between factors (Timing? Correlation?)

› Selecting “good” stocks by combining Factors to reduce market cyclicality (Multi-Factors Approach)


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Dr. Abdelhamid Bizid

Director, Head of Products and Investment Strategy APAC,

iShares

BlackRock

Dr. Abdel Bizid is the Head of the iShares Products and Investment Strategy Team in Asia Pacific. He is responsible for driving the product strategy, delivery and range management in the region, leveraging on the iShares Investment Strategy and Insights initiative and working in partnership with the Model Portfolios and Solutions team.

Abdel has an engineering degree from Ecole Centrale de Paris, a Masters in Probability and Finance from University Paris VI, a Masters and a PhD in Applied Mathematics from University Paris Sorbonne.


Disclaimer

This material is prepared by BlackRock for informational or educational purposes only for professional and institutional investors attending the 8th S&P ETF Conference hosted by S&P Dow Jones. This is prepared for professional and institutional investors only and does not constitute an offer or solicitation to purchase or sell in any securities or iShares Funds, nor shall any securities or units be offered or sold to any person in any jurisdiction in which an offer, solicitation, purchase or sale would be

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© 2016 BlackRock Inc. All rights reserved


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Disclaimer

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The TOPIX Index Value and the TOPIX Marks are subject to the proprietary rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock Exchange, Inc. owns all rights and know-how relating to the TOPIX such as calculation, publication and use of the TOPIX Index Value and relating to the TOPIX Marks. The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the TOPIX Index Value or to

change the TOPIX Marks or cease the use thereof. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of the TOPIX Index Value and the TOPIX Marks or as to the figure at which TOPIX Index Value stands on any particular day. The Tokyo Stock Exchange,

Inc. gives no assurance regarding accuracy or completeness of the TOPIX Index Value and data contained therein. Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the TOPIX Index Value. No Licensed Product is in any way sponsored, endorsed or promoted by the Tokyo Stock Exchange, Inc. The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the Licensed Product

or an advice on investments to any purchaser of the Licensed Product or to the public. The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the Licensed Product, for calculation of the TOPIX Index Value. Including but not limited to

the foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the issue and sale of the Licensed Product.

The Tokyo Stock Exchange REIT Index Value and the Tokyo Stock Exchange REIT Index Marks are subject to the proprietary rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock Exchange, Inc. owns all rights and know-how relating to the Tokyo Stock Exchange REIT Index such as calculation, publication

and use of the Tokyo Stock Exchange REIT Index Value and relating to the Tokyo Stock Exchange REIT Index Marks. The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the Tokyo Stock Exchange REIT Index Value or to change the

Tokyo Stock Exchange REIT Index Marks or cease the use thereof. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of the Tokyo Stock Exchange REIT Index Value and the Tokyo Stock Exchange REIT Index Marks or as to the figure at which Tokyo Stock Exchange REIT Index Value stands on any particular day. The Tokyo Stock Exchange, Inc. gives no assurance regarding accuracy or completeness of the Tokyo

Stock Exchange REIT Index Value and data contained therein. Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the Tokyo Stock Exchange REIT Index Value. No Licensed Product is in any way sponsored, endorsed or promoted by the Tokyo

Stock Exchange, Inc. The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the Licensed Product or an advice on investments to any purchaser of the Licensed Product or to the public. The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the Licensed Product, for calculation of the Tokyo Stock Exchange REIT Index Value. Including but not limited to the

foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the issue and sale of the Licensed Product.

Disclaimer

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BlackRock is a global leader in investment management, risk management and advisory services for institutional and retail clients. At December 31, 2015, BlackRock’s AUM was $4.645 trillion. BlackRock helps clients around the world meet their goals and overcome

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As of December 31, 2015, the firm had approximately 13,000 employees in more than 30 countries and a major presence in global markets, including North and South America, Europe, Asia, Australia and the Middle East and Africa.

THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE

RECIPIENT.

iShares® and BlackRock® are registered trademarks of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks, service marks or registered trademarks are the property of their respective owners.

© 2016 BlackRock Inc. All rights reserved

About BlackRock

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BlackRock Japan Co., Ltd. Financial Instruments Business Operator The Kanto Regional Financial Bureau.

License No375

Association Memberships: Japan Investment Advisers Association,

The Investment Trusts Association, Japan, Japan Securities Dealers Association,

Type II Financial Instruments Firms Association.

http://www.blackrock.com/jp Marunouchi Trust Tower Main 1-8-3 Marunouchi Chiyoda-ku

Tokyo 100-8217

Tel. 03-6703-4100

MEMO

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MEMO

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smart beta 2 - s&p dow jones indices · 2016-05-20 · smart beta expansion – new domiciles...

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