Tag: Smart beta

U.S. Smart Beta Crowding

U.S. Smart Beta Crowding

Rapid asset flows into smart beta strategies have led to concerns about froth and a vigorous debate among systematic portfolio vendors. At the same time, few discussions of smart beta crowding are burdened by data on the aggregate risk of smart […]

Smart Beta – Backtest vs. Live

Smart Beta – Backtest vs. Live

Key Points The outperformance observed before a typical smart beta index is launched virtually disappears once it’s live, yet most investors are making decisions on backtest results. Two traits common to backtests—overfitting (or data-snooping bias) and ignoring transaction costs—bias investors’ […]