RT Journal Article SR Electronic T1 Practical Applications of Evaluating the Efficiency of “Smart Beta” Indexes JF Practical Applications FD Institutional Investor Journals SP 1 OP 4 DO 10.3905/pa.2015.3.2.127 VO 3 IS 2 A1 Michael R. Hunstad A1 Jordan Dekhayser A1 Hillary Jackson YR 2015 UL https://pm-research.com/content/3/2/1.8.abstract AB Evaluating the Efficiency of “Smart Beta” Indexes Michael R Hunstad Jordan Dekhayser 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.TOPICS: Passive strategies, analysis of individual factors/risk premia, portfolio theory