How much do the rules used to create smart beta strategies matter?
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How much do the rules used to create smart beta strategies matter?

When: Tuesday, September 22nd
From 12pm until 1:30pm
Where: Russ Building Conference Center
235 Montgomery Street
7th Floor
San Francisco 94104
Presenter: Ralph Goldsticker, CFA

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Investors utilize Smart Beta strategies to provide exposure to factors such as Value, Size, Low Volatility, Quality and Momentum. However, the "true" factors cannot be observed, and the strategies target heuristics instead.  As a result, the strategies' performance will depend on how well the heuristics align with the "true" factor.


Despite that, most Smart Beta presentations can be summarized as "My Smart Beta backtests better than everyone else's".  Rather than engaging in the debate about which Smart Beta, we address the question "How much do the rules used to construct a Smart Beta portfolio matter?  Using alternative portfolio construction rules to simulate 25-year return histories for multiple versions of Low Volatility, Fundamental Indexing and Momentum strategies, we compare the holdings and performance of strategies that are intended to provide exposure to the same underlying factors.


Speaker Bio:

Ralph Goldsticker is a senior investment strategist at Goldsticker Investment Strategy.  He has more than 30 years of varied investment management and advisory experience.  Currently he is assisting asset owners, investment managers and consultants enhance their investment strategies.  In addition, he is conducting research from the perspective of asset owners.  The topics of smart beta, multi-dimensional risk management and asset allocation are of particular interest.

More recently he was a senior investment strategist in BNY Mellon’s Investment Strategies and Solutions Group (ISSG).  His role was to advise large institutional clients on issues related to investment policy and asset allocation, and to design solutions to address the topics.  He also led the research and thought leadership efforts, and was a member of the Investment Committee and Capital Markets Committee.

Prior to joining the ISSG, Mr. Goldsticker was managing director of research at Mellon Capital.  He was responsible for the asset allocation, equity and fixed income research and development efforts.  He also worked directly with clients on custom research topics and developing custom solutions. He also managed the risk parity strategy.

Prior to joining Mellon Capital, Mr. Goldsticker was director of research at Vestek Systems, responsible for all of their portfolio management tools including: valuation models, risk models, optimizers and performance attribution.  Previously he held the position of director of equity research at Van Kampen American Capital, responsible for both fundamental and quantitative security analysis.

Mr. Goldsticker earned his MBA with a concentration in finance from the University of California at Berkeley, and is a CFA charter holder.  He served on the board of the Q-Group, the continuing education committee of the CFA Society of San Francisco, and the steering committee of the local QWAFAFEW chapter.


Members: $25

Non-members:  $40


Lunch will be served.




September 22nd


12:00pm until 1:30pm


Russ Building Conference Room

235 Montgomery Street, 7th Floor

San Francisco, CA 94104


Continuing Education:

This event qualifies for 1 hour of continuing education credit for CFA Charter holders.


Cancellation Policy:

Please contact with at least 24 hours’ notice to receive a full refund


235 Montgomery Street, Suite 725 | San Francisco, CA 94104 | P: 415.814.7900 | E:

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