FYI: Smart beta strategies weight their investment exposures to emphasize risk factors that have been “anomalous” in the past – that is, they’ve outperformed market cap-weighted indices. These anomalous risk factors include value, momentum, low volatility, small size, and many others that have been “discovered” through historical backtesting. But how much of this historical outperformance has been cherry picked from the data? And what impact, if any, has discovery of new factors had on their persistence?
Regards,
Ted
http://dailyalts.com/data-mining-arbitrage-impact-smart-beta/
