RT Journal Article SR Electronic T1 Smart Beta: The Good, the Bad, and the Muddy JF The Journal of Portfolio Management FD Institutional Investor Journals SP jpm.2020.1.126 DO 10.3905/jpm.2020.1.126 A1 James White A1 Victor Haghani YR 2020 UL https://pm-research.com/content/early/2020/01/09/jpm.2020.1.126.abstract AB The authors describe the background of factor investing in its smart beta form and discuss why factor investing has become a popular investing style. They also discuss a number of reasons for skepticism regarding ex ante expected factor returns.TOPICS: Portfolio management/multi-asset allocation, factors, risk premia, style investingKey Findings• Factor investing is typically discussed using the language and machinery of efficient-markets models, yet investors are primarily expecting anomalous excess returns.• There is reason to be skeptical of claims that factor investing is delivering gross investment returns similar to that of traditional active managers but with lower fees.• For factors with risk-based explanations, even in the presence of significant factor premiums, the market portfolio is still likely to be the optimal portfolio for most investors.