Disclaimer

The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.

Decline
Ten misconceptions about smart beta investing

Ten misconceptions about smart beta investing

07-06-2017 | From the field

This paper* attempts to debunk no fewer than ten myths about smart beta. For instance, the authors challenge the view that any alternatively weighted strategy beats a cap-weighted market index, and the notion that it is rebalancing that drives the performance of smart beta strategies. They also address concerns about liquidity, turnover and crowding, and discuss good versus bad smart beta index construction.

  • David Blitz
    David
    Blitz
    PhD, Executive Director, Head of Quant Selection Research

We agree overall with their arguments, which help to provide clarity in an area where confusion can sometimes still reign. Another concern about smart beta indices that we would add is that all such indices have their limitations and pitfalls, so a more sophisticated approach is needed to unlock the full potential of factor premiums.

Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe
From the field
From the field

Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.

Read all articles
Subjects related to this article are: