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
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2022
• 主題: Smart betas; Exchange traded funds; Excess returns; Risk-adjusted returns; Finance and Financial Management
• 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
• 機構: 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 compone...