The Smart Beta Mirage
研究发现智能贝塔指数在对应的交易所交易基金上市后业绩急剧恶化，从纸面年超额收益约3%降至-0.50%至-1%，证据指向数据挖掘而非因子溢价变化。
Abstract We document and explain the sharp performance deterioration of smart beta indexes after the corresponding exchange-traded funds (ETFs) are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about 3% “on paper” before ETF listings to about −0.50% to −1% after ETF listings. This performance decline cannot be explained by variation in factor premia, strategic timing, or diminishing returns to scale. Instead, we find strong evidence of data mining in the construction of smart beta indexes, which helps ETFs attract flows, as investors respond positively to backtests.