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Abstract
If you are engaged in factor-based investing and utilizing one of the many so-called smart beta indices, you may not be getting the exposure you hoped for. To find out, compare the ratio of active risk derived from your intended factor exposures with the total active risk exposures in the smart beta index you are using, advise Michael Hunstad and Jordan Dekhayser of Northern Trust Asset Management .
They offer a new tool to accomplish this. By applying it to various indices, the authors determine that few smart beta indices are particularly efficient and many are mislabeled.
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Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600