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The smart beta family tree

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  • The smart beta family tree

The range of new forms of ‘beta’ can leave investors bewildered. Martin Steward’s illustrative taxonomy offers a flavour of how these solutions might be categorised and how they relate to one another, and lists the key research papers that first described each methodology.

The smart beta family tree


 

Volatility and Sharpe ratio


Maximum drawdown and Sordino ratio


Beta and tracking error


Portfolio turnover

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