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 …

The growing number of institutions exploiting factor-investing strategies raises concerns that
crowding may increase price-impact costs and erode profits. We identify a mechanism that …

By analyzing portfolio holdings, we find that a significant subset of hedged mutual funds
(HMFs) and smart‐beta exchange‐traded funds (ETFs) tilt their portfolios toward well‐known …

Smart beta ETFs have gained tremendous prevalence among investors in recent years. This
study provides empirical evidence that a proportion of this fast-paced growth can be …

By analyzing portfolio holdings, we find that a significant subset of Hedged Mutual Funds
(HMFs) and smart-beta Exchange-Traded Funds (ETFs) tilt their portfolios towards well …

We decompose the variance of mutual funds' active returns into its idiosyncratic and
systematic components, and introduce idiosyncratic activeness (IDA) as a novel measure of …