Abstract
If you are engaged in factor-based investing and utilizing one of the many so-called smart beta indices, you may not be getting the exposure you hoped for. To find out, compare the ratio of active risk derived from your intended factor exposures with the total active risk exposures in the smart beta index you are using, advise <b>Michael Hunstad</b> and <b>Jordan Dekhayser</b> of <b>Northern Trust Asset Management</b>. They offer a new tool to accomplish this. By applying it to various indices, the authors determine that few smart beta indices are particularly efficient and many are mislabeled.
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