When choosing between the vanilla of indexing or the rocky road of active management, more and more investors are choosing a middle path—call it vanilla fudge swirl.

This year is on pace for a record influx of money into "smart" or "strategic" beta exchange-traded funds, which put some of the principles of active management into an index. There are already over 450 of these products, with swarms more on the way. But investors should be wary of too many odd flavours.