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Life-Cycle Investing and Smart Beta Strategies

Bill Carson, Sara Shores and Nicholas Nefouse
The Journal of Retirement Fall 2017, 5 (2) 66-82; DOI: https://doi.org/10.3905/jor.2017.5.2.066
Bill Carson
is an associate at BlackRock, Inc., in New York, NY
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Sara Shores
is a managing director at BlackRock, Inc., in New York, NY
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Nicholas Nefouse
is a managing director at BlackRock, Inc., in New York, NY
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Abstract

In traditional life-cycle models, the equity-bond glide path shifts investment allocation from riskier assets to relatively safer assets as investors approach retirement. In this article, we develop a smart beta glide path that seeks to take advantage of broad, persistent patterns within asset classes to identify securities with higher risk-adjusted returns than the market. Within equities, investors can shift from return-enhancing strategies—like value, momentum, size, and quality—to risk-reducing strategies like minimum volatility as they move through the life cycle. Adopting smart beta glide paths may improve Sharpe ratios by up to 20% over a standard equity-bond glide path.

TOPICS: Retirement, analysis of individual factors/risk premia, portfolio construction

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The Journal of Retirement: 5 (2)
The Journal of Retirement
Vol. 5, Issue 2
Fall 2017
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Life-Cycle Investing and Smart Beta Strategies
Bill Carson, Sara Shores, Nicholas Nefouse
The Journal of Retirement Oct 2017, 5 (2) 66-82; DOI: 10.3905/jor.2017.5.2.066

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Life-Cycle Investing and Smart Beta Strategies
Bill Carson, Sara Shores, Nicholas Nefouse
The Journal of Retirement Oct 2017, 5 (2) 66-82; DOI: 10.3905/jor.2017.5.2.066
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  • Article
    • Abstract
    • SMART BETA STRATEGIES
    • INTEGRATING SMART BETA STRATEGIES INTO THE GLIDE PATH
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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