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Lack of robustness in smart beta strategies can be caused mainly by exposure to four different risks in the strategy construction process: factor fishing, model mining, nonrobust-weighting schemes, and strong factor dependencies. If the first three factors can have a major inf luence on the relative robustness, the last is at the heart of the issue of absolute All statistics are annualized and daily total returns in USD are used for the analysis. The "Secondary Market U.S. Treasury Bills (3M)" is the risk-free rate. Data source: www.russell.com and Bloomberg.Daily total returns in USD in the period from December 31, 1973 to December 31, 2013 are used in the analysis. Underlying investible universe consists of largest 500 USA stocks. Benchmark is the cap-weighted portfolio of all stocks in the investible universe. Maximum relative drawdown is the maximum drawdown of the long-short index whose return is given by the fractional change in the ratio of the strategy index to the benchmark index. Data source: www.scientificbeta.com.

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