Advisors wondering which smart beta strategies yield the best results may be disappointed to hear that there are none that consistently outperform others.

A report from Schwab on “The Elegance of Indexing,” released at this week’s Inside ETFs conference shows that none of five smart beta strategies — equal weight, fundamental, low volatility, momentum or quality — consistently outperformed over the past five years ended 2016, and the same rather random pattern continued over the most recent 11 years.

“There is a natural rotation of the best and worst performing strategy from one period to the next,” according to the report. “In 2015 momentum was the best performing strategy and in 2016 the worst. Low volatility performed well recently (2014-2015) but lagged in 2012 and 2013.”

Smart beta strategies are often grouped together, but the reality is they are very different from each other because of how they weight securities and screen them.

“All strategies have their day in the sun,” said Tony Davidow, alternative beta and asset allocation strategist at the Schwab Center for Financial Research. “You can’t really time the market or know which factor does best,” which is why he cautions advisors against moving from one smart beta strategy to another. Timing market factors is “a loser’s game,” Davidow said.

Source: Schwab

Davidow is a fan of fundamental strategy, which tends toward value, combined with a traditional market cap weight, which tends toward growth, as a core portfolio strategy. That combination “provides better diversificationand cost advantages because the market cap is typically your lowest cost solution and you get alpha, the ability to have that excess return which we find in the fundamental index strategies,” Davidow said.

The fundamental smart beta strategy chooses stocks based on measures such as price to sales, cash flow, dividends and buybacks. Farhan Sharaff, senior managing director of equities for Guggenheim Partners, prefers equal weight for a core portfolio strategy. Each component of an index such as the S&P 500 has the same weight, unlike traditional indexes which weight stocks according to their market caps. Sharaff appeared on a panel at the Inside ETFs conference on smart beta as a core investment strategy.

“Since 2003 equal weight has outperformed market weight,” said Sharaff whose firm pioneered the concept of with the creation of the Guggenheim S&P 500 Equal Weight ETF (RSP) in April 2003. It rebalances every quarter.

According to five and 10-year data from the Schwab Center for Financial Research, an equal weight strategy led for both time periods followed by a fundamental strategy. Both strategies outperformed market cap for five and 10 years. That was not the case for other smart beta strategies for the five-year period although quality and low volatility did outperform market cap over the 10-year period.

“Equal weight does better because it’s not a large-cap portfolio,” said Davidow, noting that about half the stocks in such a strategy are mid-caps. “It has higher performance but substantially higher risk.”

Rob Nestor, head of iShares Strategic Product Segments at BlackRock’s iShares who sat on the same panel as Sharaff, prefers multi-factor smart beta ETFs, which, according to the iShares website, provide exposure to multiple factors “while maintaining a similar level of market risk.”

Such strategies “in theory are trying to provide a better outcome,” said Davidow. “But they have to prove it … We haven’t really seen if they can generate enough excess return to justify a more expensive structure.”

The Schwab core equity strategy uses a market cap and a fundamental strategy for each of five asset classes: large cap, small cap, international, international small cap and emerging market. “We have different allocation percentages to each one of those, but in all of those, fundamental will have a larger weight than market cap.”

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