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Savvy Investor Awards: Best Smart Beta Paper 2015

Savvy Investor

WINNER: Research Affiliates 

A Framework for Assessing Risk Factors and Implementing Smart Beta Strategies

Published in the Journal of Index Investing, this article argues that the academic literature is littered with a "zoo" of apparently smart risk factors, which in practice will go unrewarded, being the result of spurious and unwarranted data-mining. The authors suggest a methodology whereby robust, investable, risk factors can be identified, which make intuitive sense and are supported by empirical research which spans geographies and time-frames, and which are not undermined by small changes to definition.


Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad? by EDHEC-Risk Institute

In this comprehensive 220-page report, the authors examine the relative efficiency of traditional forms of how the factor investing paradigm is practically implemented. Their research is based on commonly-used used factors in the commodity, fixed-income, and equity universes.

The Persistence of Smart Beta by S&P Dow Jones Indices

As Smart Beta and factor strategies become increasingly popular, will this impact their performance? Certainly, persistent outperformance from systematic strategies seems to run contrary to efficient markets theory. In this 18 page document, the authors from S&P Dow Jones Indices examine the arguments.

The Equity Imperative: Choosing a 'Smart Beta' Factor - Not Which, But When by Northern Trust

Recent research shows that rather than asking about which factor should be chosen, investors should ask about when they should favor each factor in order to reap the benefits of factor-based investing.

Alternative Beta by bfinance

Factor models are very much the trend at present;"smart beta" strategies in particular are proving popular. This 12-page paper by bfinance explores ‘alternative beta’, which carries beta investing into an alternative investment space.

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About the Savvy Investor Awards

Savvy Investor is the world’s fastest growing resource hub for institutional investors. Since launch in early 2015, more than 8200 members have registered for the site, with 200 new members joining every week.

We curate the best pensions and investment white papers from around the world, and having uploaded more than 12,000 white papers in 2015, have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to our institutional investor audience.

To find out how you can partner with Savvy Investor in 2016 to enhance your thought leadership credentials in the institutional investor marketplace, please contact our CEO Andrew Perrins by email

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