@article {Ung6, author = {Daniel Ung}, title = {Smart Beta Efficiency versus Investability: Introducing the Cost-Adjusted Factor Efficiency Ratio}, volume = {8}, number = {1}, pages = {6--18}, year = {2017}, doi = {10.3905/jii.2017.8.1.006}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Increasing factor exposure is generally desirable, ceteris paribus, but it often comes at a cost; those costs may include expenses arising from more regular rebalancing or purchasing less liquid stocks. For this reason, there is a necessary trade-off between increasing exposure and greater investability. In this article, the author focuses on the financial trade-off between achieving greater targeted exposure and ensuring investability. To this end, he introduces a new smart beta metric{\textemdash}the cost-adjusted factor efficiency ratio{\textemdash}as an adaptation to the metric Hunstad and Dekhayser proposed in order to acknowledge such a trade-off.TOPICS: Factor-based models, performance measurement}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/8/1/6}, eprint = {https://jii.pm-research.com/content/8/1/6.full.pdf}, journal = {The Journal of Beta Investment Strategies} }