Active vs passive

Problems with smart beta – part 7.2: Factors work better in small caps

This is the second post in a mini-series on how factor returns from academia can be different to those from smart beta investing. For the previous post on how long only smart beta exposure compares to long/short factor exposure, click here. A sad truth for investors is that size really does matter. But contrary to …

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Problems with smart beta – part 5: It’s impossible to know when a factor stops working

This is the fifth post in a series discussing some of the problems associated with investing in “smart beta” strategies. For the previous post on how factors can decay after they become widely known, click here. We saw in a previous post that factors in the US have been providing pretty torrid returns since 2003. …

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