Smart beta is the Swiss Army knife of the investment world. Smart-beta products reorganize indexes in a variety of ways to tilt portfolios in multiple directions, trying to exploit volatility or capture value or ride momentum. But new research suggests that many of these vehicles may simply be dressed-up performance chasers. To succeed with smart beta, investors should focus more on what a product is actually doing and less on the popularity of a specific factor.

David Underwood, an assistant chief investment officer at the $33 billion Arizona State Retirement System, has been working on indexing for more than two decades. Like any strategy, it calls for discipline, he says. ASRS, which started doing its own indexing to help with risk management in its equity holdings, expanded that effort into building a broader multifactor smart-beta portfolio.

As a result of this work, the pension fund also seeded three low-cost factor-based exchange-traded funds offered by iShares. Those products, which track momentum, size and value factors, launched in 2013. In the U.S., smart-beta ETF products swelled from $61 billion to $377 billion in assets between 2009 and 2015, the Nasdaq Stock Market reports.

“What we wanted to address initially was risk-factor alignment across the total portfolio,” Underwood says. The multifactor approach allows Underwood to dial up or down certain factor exposures as market conditions change. It’s vital to be clear on what stocks underpin each factor product, he says: “You have to get under the hood with these products, which is a question of resources from the standpoint of the investor and what they are able to spend the time on and understand.”

Just ask Anthony Davidow, alternative-beta and asset allocation strategist at the New York office of Charles Schwab & Co. Davidow operates a think tank inside Schwab, which runs $11 billion in smart-beta strategies, aimed at showing investors how factors work. He too advocates a multifactor approach to smart beta but warns that to get results, investors may have to take steps like boosting their value exposure when everyone else is diving into quality.

“That’s not an easy conversation,” Davidow admits. “We often tell our clients that what seems like a bad idea on the surface is probably what you want to do. If you follow the crowd every time, it’s more likely you’ll be disappointed.”