Performance of smart beta ETFs in the U.S. market: 2009–2019

• Main Authors: CHIRAPHOL, Chiyachantana N., CHIYACHANTANA, Chiraphol N., DING, Kuan Yong David, LIKITAPIWAT, Tanakorn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Smart betas; Exchange traded funds; Excess returns; Risk-adjusted returns; Finance and Financial Management
• Online Access: 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
• Institution: Singapore Management University

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.