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
Citation
CHIRAPHOL, Chiyachantana N.; CHIYACHANTANA, Chiraphol N.; DING, Kuan Yong David; and LIKITAPIWAT, Tanakorn.
Performance of smart beta ETFs in the U.S. market: 2009–2019. (2022). International Journal of Finance. 7, (2), 83-109.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7074
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/https://doi.org/10.47941/ijf.935
