Publication Type

Journal Article

Version

publishedVersion

Publication Date

7-2022

Abstract

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.

Keywords

Smart betas, Exchange traded funds, Excess returns, Risk-adjusted returns

Discipline

Finance and Financial Management

Research Areas

Finance

Publication

International Journal of Finance

Volume

7

Issue

2

First Page

83

Last Page

109

ISSN

1041-2743

Identifier

https://doi.org/10.47941/ijf.935

Publisher

Utex Corp

Additional URL

https://doi.org/https://doi.org/10.47941/ijf.935

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