RT Journal Article
SR Electronic
T1 Practical Applications of A New Metric for Smart Beta: <em>Factor Exposure per Unit of Tracking Error</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2016.4.2.170
VO 4
IS 2
A1 Jennifer Bender
A1 Xiaole Sun
A1 Taie Wang
A1 Howard Moore
YR 2016
UL https://pm-research.com/content/4/2/1.5.abstract
AB A New Metric for Smart Beta: Factor Exposure per Unit of Tracking Error Jennifer Bender Xiaole Sun Taie Wang What really makes a good smart beta portfolio? How can asset owners and institutional investors differentiate among the multitude of smart beta methodologies that have emerged over the last decade? Jennifer Bender , Xiaole Sun and Taie Wang of State Street Global Advisors set out to answer these questions in their article A New Metric for Smart Beta: Factor Exposure per Unit of Tracking Error in The Journal of Index Investing . They introduce a new metric—risk per unit of tracking error—to assess what how well smart beta strategies are helping institutional investors to meet their risk–return goals and provide guidance on how indices can be built with this measure in mind.