U.S. securities regulators have issued an investor alert about a trendy investment product, so-called “smart beta” index funds.

The U.S. Financial Industry regulatory Authority (FINRA) published a new alert Wednesday, on “smart beta” funds, which aims to help investors understand these products. The regulator notes that: “Recently, there has been significant growth in the number of financial products, primarily ETFs [exchange traded funds], which are linked to and seek to track the performance of alternatively weighted indices.”

The alert indicates that, while investors may be familiar with traditional market cap-weighted indexes, smart beta indexes are constructed using other methodologies, including equal weighted indexes, or methodologies that use measures such as volatility or earnings.

“While there are potential advantages, including diversification through exposure to non market-cap weighted indexes, products tracking smart beta indices can also carry investment risks and returns for these products may be very different from investments that track market-cap-weighted indices,” it says. Moreover, the alert says that products that track these sorts of indices may be complex or unfamiliar for retail investors, and they may entail higher expenses.

Some smart beta strategies are relatively straightforward, the alert notes, but others are based on more complex methodologies. “For example, there are products linked to fundamentally weighted indices, in which the index components are determined based on companies’ revenues, dividends or other corporate metrics,” it says. Other products may utilize combinations of factors or exposures.

FINRA stresses that it’s important to understand how the underlying index is constructed, the factors that the index claims to capture, and whether it helps meet overall investment objectives.

“Products tracking smart beta indices can in some cases be more difficult to analyze because their methodologies for attempting to achieve returns may not be straightforward. Using smart beta products as direct substitutes for products tracking more well-known, market-cap indices can be risky, as exposure offered by a smart beta product could differ significantly from that provided by product tracking a market-cap-weighted index,” it says.

In addition to added complexity, these products tend to be more costly, and the underlying methodologies may entail greater concentration risk and more liquidity risk, it says.

“Be smart when evaluating smart beta products. Such products are by no means guaranteed to outperform more traditional index products. And as with all securities products, they carry risks and costs. The more you know about a given product, the more equipped you will be to make informed choices about whether smart beta investments should be part of your portfolio,” the alert concludes.