My smart beta ETF premised on cats rang up an 849,751% return

I was rich. Right?

I mean, that's what my Bloomberg said. I'd just entered in an index built from companies with "cat" in their names - yes, the furry felines - hit a button and watched it back-test to an 849,751 per cent return. Forget the Internet, I thought. Cats are about to take over smart beta.

This is the story of the time I designed my own factor fund as a way of learning about one of Wall Street's hottest trends - and its pitfalls. There are already ETFs that focus on themes, such as "biblically responsible" companies or ones popular with millennials. Quants have hundreds of style tilts, and their exploding popularity has created a gold rush for creators. I wanted in.