Why your smart beta portfolio might not work
by Yongjae Lee; Woo Chang Kim
International Journal of Financial Engineering and Risk Management (IJFERM), Vol. 2, No. 4, 2018

Abstract: Smart beta, which accounts for rule-based factor-tilting strategies that fall between active and passive investment, has emerged as an alternative to active investment after its major decline since the global financial crisis. In spite of the smart beta's remarkable commercial prosperity, many experts in both industry and academia share some concerns. Some of them believe that the marketing hype might confuse investors while others are concerned about the exposure to unintended risks that smart beta products might bring. In this study, we provide a comprehensive review of diverse perspectives from both practitioners and researchers on smart beta and we perform empirical and theoretical investigations on the efficiency of smart beta (or factor-tilting) strategies as investment building blocks. We find that factor-based investment building blocks may cause inefficiency under the mean-variance framework.

Online publication date: Mon, 13-Aug-2018

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Engineering and Risk Management (IJFERM):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com