In this study by EDHEC, the authors demonstrate that there has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform cap-weighted benchmarks in the long run.
Concerning actual investment decisions, it is relevant to question how robust the outperformance is. The paper makes a distinction between relative robustness and absolute robustness. A strategy is assumed to be ‘relatively robust’ if it is able to deliver similar outperformance under similar market conditions by aligning well with the performance of underlying factor exposure it is seeking and reducing unrewarded risks.
Absolute Robustness is the absence of pronounced state and/or time dependencies and a strategy shown to outperform irrespective of prevailing market conditions can be termed as robust in absolute terms The paper goes on to review the importance of robustness for smart beta strategies, it explains various methods by which smart beta strategies try to improve robustness, and discusses how to measure and assess robustness in the performance analysis of smart beta strategies.
Read the full study here