Research and publications

Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

That a new investment approach be debated should not be surprising. Such debate should be expected to further the understanding of potential benefits as well as risks and possible pitfalls of the new approach. In the area of Smart Beta investing however, an intense debate has also produced a certain number of beliefs which are accepted as conventional wisdom and impede progress towards the adoption of approaches that could add more value for end investors. The objective of this paper is to provide perspective on these beliefs by examining conceptual considerations and empirical evidence.

Author(s):

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Jakub Ulahel

Summary:

That a new investment approach be debated should not be surprising. Such debate should be expected to further the understanding of potential benefits as well as risks and possible pitfalls of the new approach. In the area of Smart Beta investing however, an intense debate has also produced a certain number of beliefs which are accepted as conventional wisdom and impede progress towards the adoption of approaches that could add more value for end investors. The objective of this paper is to provide perspective on these beliefs by examining conceptual considerations and empirical evidence.

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Type :	EDHEC Publication
Date :	13/06/2016
Keywords :	Indexes and Benchmarking

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