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How Can “Smart Beta” Go Horribly Wrong?
by Rob Arnott, Noah Beck, Vitali Kalesnik, John West of Research Affiliates, 11/2/23

In smart beta, we find that factor returns—net of changes in valuation levels—are much lower than recent performance suggests. In fact, many of the most popular new factors (some 458 at last count) have succeeded solely because they have become more expensive.

How Can "Smart Beta" Go Horribly Wrong?
by Rob Arnott, Noah Beck, Vitali Kalesnik, John West of Research Affiliates, 2/19/16
If investors don’t wise up soon that rising valuations are responsible for most of the “alpha” produced by smart beta, the inevitable mean reversion to historical valuation norms threatens to unleash a smart beta crash.
2 results found.