TY - JOUR T1 - Practical Applications of Evaluating the Efficiency of “Smart Beta” Indexes JF - Practical Applications SP - 1 LP - 4 DO - 10.3905/pa.2015.3.2.127 VL - 3 IS - 2 AU - Michael R. Hunstad AU - Jordan Dekhayser A2 - Jackson, Hillary Y1 - 2015/10/31 UR - https://pm-research.com/content/3/2/1.8.abstract N2 - Evaluating the Efficiency of “Smart Beta” Indexes Michael R Hunstad Jordan Dekhayser If you are engaged in factor-based investing and utilizing one of the many so-called smart beta indices, you may not be getting the exposure you hoped for. To find out, compare the ratio of active risk derived from your intended factor exposures with the total active risk exposures in the smart beta index you are using, advise Michael Hunstad and Jordan Dekhayser of Northern Trust Asset Management .They offer a new tool to accomplish this. By applying it to various indices, the authors determine that few smart beta indices are particularly efficient and many are mislabeled.TOPICS: Passive strategies, analysis of individual factors/risk premia, portfolio theory ER -