We now have over 5 years of data of live trading from the ishares "smart beta/factor" ETFS VLUE(Value), MTUM (momentum),QUAL (quality) and USMV (minimum volatility).
Momentum has shown the most outperformance vs the S+P 500. But all of the ETFs have shown impressive results VLUE and QUAL have also outperformed the S+P 500 (SPY) with little or no increase in volatility and USMV has performed very much in line with its target : slightly lower return than SPY with considerably lower volatility. It is not surprising that in a market dominated by momentum, value would outperform.
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| 5 year return Mtum(black) qual(green) USMV(blue),Vlue(gold),SPY(S+P 500 red) |
An equal weighted portfolio of the smart beta ETFs outperformed the SPY.Although the volatility was higher the increased return was far in excess of the added volatility The portfolio generated "alpha" the most widely used measure of portfolio perfomance.
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| EQUAL WEIGH SMART BETA ETFS (green) S+P 500 (blue) |
Of course five years is too short a period to draw definitive conclusions and the results are someone skewed by the large outperformance of momentum during a massive bull market, yet the results are impressive.
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