Factor returns, net of changes in valuation levels, are much lower than recent performance
suggests. Value-add can be structural, and thus reliably repeatable, or situational—a …

Abstract In our paper—“How Can 'Smart Beta'Go Horribly Wrong?”—we show that
performance chasing can be as dangerous in smart beta as it is in stock selection, fund …

Abstract In our paper—“How Can 'Smart Beta'Go Horribly Wrong?”—we show, using US
data, that the relative valuation of a strategy (in comparison with its own historical norms) is …

Multifactor funds, which offer risk factor diversification, have several appealing
characteristics. They enable investing in factors, which has become a typical way to …

In this article, we explore how smart beta strategies are applied in the Chinese A-share
market. Specifically, we empirically examine several popular smart beta strategies, including …

This paper fundamentally looks at the novel concept of Smart Beta investing in constructing
a more efficient and well-diversified alternative investment. Smart beta has been a popular …

Ten Misconceptions about Smart Beta Page 1 Ten Misconceptions about Smart Beta
Analysing common claims on performance drivers, investability issues and strategy design …

Picture George Costanza screaming “FIRE! FIRE!” and barreling his way out the door,
knocking over old women and children, and you will have a very good visual idea of what a …

A guide to the popular and fast growing investment opportunities of smart beta Equity Smart
Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment …

Multifactor funds, which offer factor diversification neatly packaged in one product, have a
rather short but poor track record; these funds have largely underperformed widely-available …