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Smart beta: too good to be true?

Author

Listed:
  • Jacobs, Bruce I.

    (Jacobs Levy Equity Management)

  • Levy, Kenneth N.

    (Jacobs Levy Equity Management)

Abstract

Smart beta strategies promise to deliver market-beating returns with simplicity and low cost, but the reality is more complicated. Contrary to popular perception, smart beta strategies are neither passive nor well diversified. Nor can they be expected to perform consistently in all market environments. Perhaps most importantly, because of their focus on only a limited number of factors, smart beta strategies fail to exploit numerous potential profit opportunities.

Suggested Citation

  • Jacobs, Bruce I. & Levy, Kenneth N., 2015. "Smart beta: too good to be true?," Journal of Financial Perspectives, EY Global FS Institute, vol. 3(2), pages 155-159.
    • Handle: RePEc:ris:jofipe:0080
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    Cited by:

    1. Marielle de Jong & Lauren Stagnol, 2016. "A fundamental bond index including solvency criteria," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 280-294, July.
    2. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," EconomiX Working Papers 2015-39, University of Paris Nanterre, EconomiX.

    More about this item

    Keywords

    Smart; beta;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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