Abstract
<h3>Practical Applications Summary</h3> With the rapid proliferation of equity smart beta products that seemingly track the same risk factors, it’s increasingly difficult for investors to select those most appropriate to their needs. In <b>Smart Beta Efficiency versus Investability: <i>Introducing the Cost-Adjusted Factor Efficiency Ratio</i></b>, author <b>Daniel Ung</b> (then <b>S&P Dow Jones</b>, now <b>State Street Global Advisors</b>) introduces a new, practical metric: the Cost-Adjusted Factor Efficiency Ratio (Ca-FER). His work builds on previous research by Hunstad and Dekhayser [2015], which established the Factor Efficiency Ratio as a way to measure the “factor purity” of different strategies, and incorporates a vital additional element: the cost of implementation.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
