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

Abstract

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

White, James and Haghani, Victor, Smart Beta: The Good, the Bad and the Muddy (July 9, 2019). Journal of Portfolio Management, Vol. 46, No. 4, 2020, https://jpm.pm-research.com/content/46/4/11, Available at SSRN: https://ssrn.com/abstract=3417236 or http://dx.doi.org/10.2139/ssrn.3417236

James White (Contact Author)

Elm Partners ( email )

1630 Willow View Drive
PO Box 1417
Wilson, WY 83014

Victor Haghani

Elm Partners ( email )

1630 Willow View Drive
PO Box 1417
Wilson, WY 83014

HOME PAGE: http://www.elmfunds.com

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