We talk to Dimensional Fund Advisors about why index investing in the conventional sense raises a number of challenges that aren”t widely appreciated.

For more than two decades, the rise of “passive investing” has
been a strong wealth management theme. The idea of trying to
beat a market benchmark in the long term to earn “Alpha” by
picking stocks was regarded as a mug’s game, so the argument
went. Active management fell out of favour to some extent as
stocks were lifted on a tide of cheap money after 2008.
Exchange-traded funds are now an established portfolio building
block.

Starting with the likes of US asset management giant Vanguard,
led by its visionary founder,…