Smart Beta 2.0

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Average: 4.3 (12 ratings)

April 2013
Source: EDHEC-Risk Institute
Noël Amenc Felix Goltz Lionel Martellin

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Summary

This research, presented by EDHEC-Risk Institute, shows that existing “smart beta” market indexes have inherent systematic and specific risks that are neither documented nor explicitly controlled by their sponsors or promoters. Initial results of the research identifying and measuring the “specific” risk of smart beta strategies are also presented. A method for controlling the extreme tracking error of smart beta indexing strategies compared to their cap-weighted equivalents is also discussed.
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