A smart beta exchange traded fund, the Invesco Dynamic Leisure and Entertainment ETF (PEJ) debuted on 06/23/2005, and offers broad exposure to the Consumer Discretionary ETFs category of the market.What Are Smart Beta ETFs?Products that are based on market cap weighted indexes, which are strategies designed to reflect a specific market segment or the market as a whole, have traditionally dominated the ETF industry.Market cap weighted indexes offer a low-cost, convenient, and transparent way of replicating market returns, and are a good option for investors who believe in market efficiency.However, some investors believe in the possibility of beating the market through exceptional stock selection, and choose a different type of fund that tracks non-cap weighted strategies: smart beta.Non-cap weighted indexes try to choose stocks that have a better chance of risk-return performance, which is based on specific fundamental characteristics, or a mix of other such characteristics.Even though this space provides many choices to investors--think one of the simplest methodologies like equal-weighting and more complicated ones like fundamental and volatility/momentum based weighting--not all have been able to deliver first-rate results.Fund Sponsor & IndexManaged by Invesco, PEJ has amassed assets over $1.29 billion, making it one of the larger ETFs in the Consumer Discretionary ETFs. PEJ, before fees and expenses, seeks to match the performance of the Dynamic Leisure & Entertainment Intellidex Index.The Dynamic Leisure & Entertainment Intellidex Index is comprised of stocks of U.S. leisure and entertainment companies. The Index is designed to provide capital appreciation by thoroughly evaluating companies based on a variety of investment merit criteria, including fundamental growth, stock valuation, investment timeliness and risk factors.Cost & Other ExpensesWhen considering an ETF's total return, expense ratios are an important factor. And, cheaper funds can significantly outperform their more expensive cousins in the long term if all other factors remain equal.Operating expenses on an annual basis are 0.55% for this ETF, which makes it on par with most peer products in the space.PEJ's 12-month trailing dividend yield is 0.34%.Sector Exposure and Top HoldingsEven though ETFs offer diversified exposure that minimizes single stock risk, investors should also look at the actual holdings inside the fund. Luckily, most ETFs are very transparent products that disclose their holdings on a daily basis.For PEJ, it has heaviest allocation in the Consumer Discretionary sector --about 54.40% of the portfolio --while Telecom and Consumer Staples round out the top three.Taking into account individual holdings, Booking Holdings Inc (BKNG) accounts for about 5.24% of the fund's total assets, followed by Mcdonald's Corp (MCD) and Sysco Corp (SYY).The top 10 holdings account for about 44.18% of total assets under management.Performance and RiskYear-to-date, the Invesco Dynamic Leisure and Entertainment ETF has lost about -1.68% so far, and is up roughly 16.53% over the last 12 months (as of 01/14/2022). PEJ has traded between $41.58 and $54.78 in this past 52-week period.The ETF has a beta of 1.36 and standard deviation of 32.84% for the trailing three-year period, making it a high risk choice in the space. With about 31 holdings, it has more concentrated exposure than peers.AlternativesInvesco Dynamic Leisure and Entertainment ETF is a reasonable option for investors seeking to outperform the Consumer Discretionary ETFs segment of the market. However, there are other ETFs in the space which investors could consider.Global X Video Games & Esports ETF (HERO) tracks SOLACTIVE VIDEO GAMES & ESPORTS INDEX and the VanEck Video Gaming and eSports ETF (ESPO) tracks MVIS GLOBAL VIDEO GAMING AND ESPORTS IND. Global X Video Games & Esports ETF has $377.83 million in assets, VanEck Video Gaming and eSports ETF has $534.92 million. HERO has an expense ratio of 0.50% and ESPO charges 0.55%.Investors looking for cheaper and lower-risk options should consider traditional market cap weighted ETFs that aim to match the returns of the Consumer Discretionary ETFs.Bottom LineTo learn more about this product and other ETFs, screen for products that match your investment objectives and read articles on latest developments in the ETF investing universe, please visit Zacks ETF Center. Want key ETF info delivered straight to your inbox? Zacks’ free Fund Newsletter will brief you on top news and analysis, as well as top-performing ETFs, each week.Get it free >>Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report Invesco Dynamic Leisure and Entertainment ETF (PEJ): ETF Research Reports McDonald's Corporation (MCD): Free Stock Analysis Report Sysco Corporation (SYY): Free Stock Analysis Report Global X Video Games & Esports ETF (HERO): ETF Research Reports Booking Holdings Inc. (BKNG): Free Stock Analysis Report VanEck Video Gaming and eSports ETF (ESPO): ETF Research Reports To read this article on Zacks.com click here.