%0 Journal Article %A Daniel Ung %T Smart Beta Efficiency versus Investability: Introducing the Cost-Adjusted Factor Efficiency Ratio %D 2017 %R 10.3905/jii.2017.8.1.006 %J The Journal of Index Investing %P 6-18 %V 8 %N 1 %X 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—the cost-adjusted factor efficiency ratio—as an adaptation to the metric Hunstad and Dekhayser proposed in order to acknowledge such a trade-off.TOPICS: Factor-based models, performance measurement %U https://jii.pm-research.com/content/iijindinv/8/1/6.full.pdf