Factor investing has attracted increasing interest in the investment industry because purely active and passive solutions have underperformed. Its success depends critically on identifying the factors involved and timing this well, but this is hard to do because there is such a zoo of factors, and those factors and their loadings are time-varying. We thus propose an investment rule that we call ‘Smart Alpha’, which avoids betting on a-priori factors but focuses instead on an active approach that minimises the exposure of the portfolio to systematic sources of risk while maximising its alpha. This means our choice is to bet on alphas instead of alternative betas. We use stocks in the European STOXX 600 universe to show empirically that the Smart Alpha portfolio dominates many popular European factor investing indexes and smart beta strategies.