PT  - JOURNAL ARTICLE
AU  - Jarkko Peltomäki
AU  - Janne Äijö
TI  - Where Is the “Meat” in Smart Beta Strategies?
AID  - 10.3905/jwm.2017.20.3.024
DP  - 2017 Oct 31
TA  - The Journal of Wealth Management
PG  - 24--32
VI  - 20
IP  - 3
4099  - https://pm-research.com/content/20/3/24.short
4100  - https://pm-research.com/content/20/3/24.full
AB  - In this study, the authors use principal component analysis (PCA) to address the relevance and style mix of four common smart beta strategy indexes: minimum volatility, momentum, fundamental value, and equal weight. They discover that the major proportion of equity smart beta beyond a market-cap-weighted index originates from the momentum smart beta strategy, while, for example, the value smart beta strategy has little relevance. The authors’ results show that returns to different smart beta strategies are partly driven by the same factor exposures related to multifactor models of asset pricing.TOPICS: Analysis of individual factors/risk premia, statistical methods, performance measurement