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How Robust is a Smart Beta Strategy?

Thu, 15 Oct 2015 19:16:45 GMT

According to one scholarly count, there are no fewer than 314 factors that might be used in selecting a portfolio, each with a positive historical risk premium. A strategy construction could be produced through more-or-less arbitrary fishing in this large pond. Smart beta produced that way might not be smart -- or, at least, not robustly smart.

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