RT Journal Article
SR Electronic
T1 Practical Applications of The Triumph of Mediocrity: <em>A Case Study of Naïve Beta</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 5
DO 10.3905/pa.2015.3.sb.137
VO 3
IS SB
A1 Edward Qian
A1 Nicholas F. Alonso
A1 Mark A. Barnes
A1 Gauri Goyal
YR 2015
UL https://pm-research.com/content/3/SB/1.10.abstract
AB The Triumph of Mediocrity: A Case Study of Naïve Beta Edward Qian Nicholas F Alonso Mark A Barnes Overview Investors who still believe that a bold market cap-weighted portfolio always beats the less sexy quantitative approach to passive, diversified investing may be surprised by the results of new research showing that diversification-based beta, or “naïve beta,” outperforms the S&amp;P 500 Index .Authors Edward Qian , Nicholas Alonso and Mark Barnes (Director), all of PanAgora Asset Management , examine four types of naïve beta—equally weighted, minimum variance, maximum diversification and risk parity—and find that the risk-parity portfolio offers the best diversification and the lowest turnover.“We’d like to remind people that in investing, ‘smart’ doesn’t always mean ‘good performance’, and ‘naïve’ can be a winning strategy,” says co-author Edward Qian.