MAY 2017

 

Why Factor Tilts Are Not Smart “Smart Beta”
 

Rob Arnott, Mark Clements, Vitali Kalesnik
 

We challenge the common view that “smart beta” strategies and factor tilts are the same. In fact, factor-replicated portfolios are poor substitutes for their smart beta counterparts. Performance is poor, turnover is high, and capacity is terrible. Why? Implementation details matter—both for performance and for trading costs.

Why Factor Tilts Are Not Smart “Smart Beta”

Alice in Factorland and the Incredible Shrinking Factor Return

John West on How Not to Get Fired With Smart Beta Investing
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