> but cost 20X as much due to lower economies of scale, broadly because people don't want it.

For any existing fund manager who tracks an index (i.e. Vanguard), this shouldn't be too difficult or expensive. They're already buying/selling a TON of SP500 shares at the close of trading day. Now they just need to subtract some of those buys/sell for the overvalued companies that people do not want. Am I missing something?

EDIT: Oh, I guess the (SEC?) would require a different fund management and prospectus for every index "smart beta" permutation, and therefore wouldn't be realistic.