Performance of smart beta ETFs in the U.S. market: 2009–2019
Purpose: This paper empirically analyses the performance of smart beta exchange traded funds (ETFs) through the absolute return, relative return, and risk-adjusted return over the decade from 2009 to 2019.Methodology: Using a sample of smart beta ETFs in the U.S. stock market, we examine the compone...
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| Main Authors: | , , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2022
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/7074 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8073/viewcontent/249218613_PERFORMANCE_OF_SMART_BETA_ETFS.pdf |
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| 總結: | Purpose: This paper empirically analyses the performance of smart beta exchange traded funds (ETFs) through the absolute return, relative return, and risk-adjusted return over the decade from 2009 to 2019.Methodology: Using a sample of smart beta ETFs in the U.S. stock market, we examine the components of the risk factors in a smart beta strategy. Results: Our results show that a smart beta strategy is not able to maintain a persistent performance over the period examined. Moreover, there is not a single year that smart beta ETFs could generate an abnormal return that is statistically significant. The evidence illustrates that returns of smart beta ETFs do not significantly beat the S&P 500 market benchmark on an absolute, relative, and risk-adjusted return basis. |
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