Bottomline Up FrontInvestors are probably unaware of the price they are paying for the "active" piece of Smart Beta.
Using a simple framework, we show that buying a Smart Beta product at 45bps is equivalent to paying 5bps for a generic passive exposure and 138.33 bps for the active exposure!
How many investors are aware that "low-cost" smart ...
Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013
- Gray, Vogel, and Xu
- A version of the paper can be found here.
- Want a summary of academic papers with alpha? Check out our
Private Equity Performance: What Do We Know?