{"id":"https://openalex.org/W4403982686","doi":"https://doi.org/10.3905/jpm.2024.1.640","title":"How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta","display_name":"How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta","publication_year":2024,"publication_date":"2024-11-01","ids":{"openalex":"https://openalex.org/W4403982686","doi":"https://doi.org/10.3905/jpm.2024.1.640"},"language":"en","primary_location":{"id":"doi:10.3905/jpm.2024.1.640","doi":"https://doi.org/10.3905/jpm.2024.1.640","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2024.1.640","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017478083","display_name":"Bruce I. Jacobs","orcid":"https://orcid.org/0000-0002-5617-9885","observed_orcids":["https://orcid.org/0000-0002-5617-9885"]},"institutions":[{"id":"https://openalex.org/I4210153584","display_name":"Jacobs Levy Equity Management","ror":"https://ror.org/05n6vhy89","country_code":"US","type":"other","lineage":["https://openalex.org/I4210153584"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Bruce I. Jacobs","raw_affiliation_strings":["is principal and co-chief investment officer of Jacobs Levy Equity Management in Florham Park, NJ. bruce.jacobs@jlem.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is principal and co-chief investment officer of Jacobs Levy Equity Management in Florham Park, NJ. bruce.jacobs@jlem.com","institution_ids":["https://openalex.org/I4210153584"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5006211024","display_name":"Kenneth N. Levy","orcid":"https://orcid.org/0000-0002-4670-4631","observed_orcids":["https://orcid.org/0000-0002-4670-4631","https://orcid.org/0000-0002-2375-9496"]},"institutions":[{"id":"https://openalex.org/I4210153584","display_name":"Jacobs Levy Equity Management","ror":"https://ror.org/05n6vhy89","country_code":"US","type":"other","lineage":["https://openalex.org/I4210153584"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Kenneth N. Levy","raw_affiliation_strings":["is principal and co-chief investment officer of Jacobs Levy Equity Management in Florham Park, NJ. ken.levy@jlem.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is principal and co-chief investment officer of Jacobs Levy Equity Management in Florham Park, NJ. ken.levy@jlem.com","institution_ids":["https://openalex.org/I4210153584"]}]},{"author_position":"last","author":{"id":null,"display_name":"Sangwoo Lee","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210153584","display_name":"Jacobs Levy Equity Management","ror":"https://ror.org/05n6vhy89","country_code":"US","type":"other","lineage":["https://openalex.org/I4210153584"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Sangwoo Lee","raw_affiliation_strings":["is senior quantitative research analyst at Jacobs Levy Equity Management in Florham Park, NJ. sangwoo.lee@jlem.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is senior quantitative research analyst at Jacobs Levy Equity Management in Florham Park, NJ. sangwoo.lee@jlem.com","institution_ids":["https://openalex.org/I4210153584"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I4210153584"],"apc_list":null,"apc_paid":null,"fwci":0.6273,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.72990344,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":"51","issue":"3","first_page":"10","last_page":"21"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.989300012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.989300012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0015999999595806003,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/smart-beta","display_name":"smart beta","score":0.7760000228881836},{"id":"https://openalex.org/keywords/factor-models","display_name":"factor models","score":0.9559999704360962},{"id":"https://openalex.org/keywords/factor-investing","display_name":"factor investing","score":0.7129999995231628},{"id":"https://openalex.org/keywords/portfolio-construction","display_name":"portfolio construction","score":0.46700000762939453}],"concepts":[{"id":"https://openalex.org/C2776174256","wikidata":"https://www.wikidata.org/wiki/Q830842","display_name":"BETA (programming language)","level":2,"score":0.8059624433517456},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.5648698210716248},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4890178143978119},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.48326927423477173},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3430343270301819},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3245723247528076},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2526983618736267},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.07061326503753662}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/jpm.2024.1.640","doi":"https://doi.org/10.3905/jpm.2024.1.640","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2024.1.640","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2049936874","https://openalex.org/W2597267277","https://openalex.org/W2771175639","https://openalex.org/W7052525983","https://openalex.org/W2065310656","https://openalex.org/W4406535818","https://openalex.org/W4407719632","https://openalex.org/W2514871261","https://openalex.org/W4405701644","https://openalex.org/W2785340578"],"abstract_inverted_index":{"The":[0],"poor":[1],"performance":[2],"of":[3,37,107],"some":[4],"smart":[5,48,84],"beta":[6,49,85],"strategies":[7,25,86],"in":[8,58],"recent":[9],"years":[10],"should":[11],"not":[12],"be":[13],"surprising.":[14],"After":[15],"all,":[16],"the":[17,24,93],"standard":[18,94],"factor":[19,53,95],"pricing":[20],"models":[21,96],"from":[22,75],"which":[23],"draw":[26],"their":[27],"well-known":[28],"factors":[29,32,109],"inevitably":[30],"include":[31],"that":[33],"may":[34],"fall":[35],"out":[36],"favor,":[38],"sometimes":[39],"for":[40],"extended":[41],"periods,":[42],"as":[43],"market":[44],"conditions":[45],"change.":[46],"Some":[47],"providers":[50],"are":[51],"exploring":[52],"timing":[54],"and":[55,67,79,110],"multifactor":[56,131],"portfolios":[57],"an":[59],"effort":[60],"to":[61,89,113],"provide":[62],"more":[63,81],"consistent":[64],"return":[65],"premiums":[66],"assuage":[68],"investor":[69],"disappointment.":[70],"Despite":[71],"this":[72],"move":[73],"away":[74],"largely":[76],"passive":[77],"management":[78],"toward":[80,126],"active":[82],"management,":[83],"remain":[87],"subject":[88],"limitations":[90,122],"imposed":[91],"by":[92],"underpinning":[97],"them,":[98],"including":[99],"a":[100,105,111,127],"relatively":[101],"narrow":[102],"focus":[103],"on":[104],"handful":[106],"generic":[108],"failure":[112],"take":[114],"into":[115],"account":[116],"correlations":[117],"between":[118],"factors.":[119],"Overcoming":[120],"these":[121],"requires":[123],"further":[124],"steps":[125],"fully":[128],"active,":[129],"dynamic,":[130],"approach":[132],"(aka":[133],"\u201csmart":[134],"alpha\u201d).":[135]},"counts_by_year":[{"year":2025,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2024-11-02T00:00:00"}
