Investors Care about the Purity of Factor Indexes: A Reply

Abstract

In “Who Cares about Purity of Factor Indexes?” Amenc and Goltz (JII, Summer 2016) question the relevance of the factor efficiency ratio and the ultimate need for efficiency in factor index construction. This comment is intended to address their issues. So, “Who cares about purity of factor indexes?” Any investor that has to choose among the growing number of smart beta indexes should certainly care.