Smart Beta: The Good, the Bad and the Muddy
Journal of Portfolio Management, Vol. 46, No. 4, 2020, https://jpm.pm-research.com/content/46/4/11
Posted: 17 Jul 2019 Last revised: 3 Nov 2020
Date Written: July 9, 2019
This note describes the background of Factor investing in its Smart Beta form, and discusses the reasons Factor investing has become a popular investing style. We also discuss a number of reasons for skepticism regarding forward-looking expected returns.
Keywords: smart beta, factor investing, market inefficiencies, efficient-market hypothesis
JEL Classification: B12, B16, B20, C00, C10, C11, C50, C57, C73, D03, D81, D83, E00, G00, G02, G11, G12, G14, G17, G23
Suggested Citation: Suggested Citation