How Smart are'Smart Beta'ETFs? Analysis of Relative Performance and Factor Exposure

D Glushkov - Analysis of Relative Performance and Factor …, 2015 - papers.ssrn.com
Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-
2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to …

[BOOK][B] Quantifying backtest overfitting in alternative beta strategies

A Suhonen, M Lennkh, F Perez - 2017 - community.portfolio123.com
Alternative beta strategies seeking to extract factor returns beyond directional market beta,
or to exploit apparent market anomalies, have been one of the major new investment trends …

151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

ESG as a performance factor for smart beta indexes

G Giese, A Ossen, S Bacon - The Journal of Index Investing, 2016 - search.proquest.com
Although traditional financial factors, such as value, growth, and momentum, have become
common practice in the construction of smart beta indexes, the question whether …

A comprehensive study on smart beta strategies in the A-share market

L Cai, Y Jin, Q Qi, X Xu - Applied Economics, 2018 - Taylor & Francis
In this article, we explore how smart beta strategies are applied in the Chinese A-share
market. Specifically, we empirically examine several popular smart beta strategies, including …

Factor investing in Brazil: Diversifying across factor tilts and allocation strategies

AA Rodrigues, F Casalin - Emerging Markets Review, 2022 - Elsevier
We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the
Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and …

Spillover and leverage effect in Smart Beta Exchange Traded Funds: Evidence from India

C Vijaya, M Thenmozhi - DECISION, 2024 - Springer
This study is unique in examining the spillover and leverage effect of Smart Beta Exchange
Traded Funds (SB ETFs) and their underlying indices and Cap-Weighted (CW) indices. We …

[PDF][PDF] Equity factor-based investing: A practitioner's guide

DM Grim, SN Pappas… - Valley Forge …, 2017 - obj.portfolioconstructionforum.edu …
■ Equity factor-based investing is a form of active management that aims to achieve specific
risk or return objectives through systematic, rules-based strategies. It can be used in a …

Globalization and the Reach of Multinationals Implications for Portfolio Exposures, Capital Flows, and Home Bias

C Bertaut, B Bressler, S Curcuru - Journal of Accounting and …, 2021 - articlearchives.co
The growing use of low-tax jurisdictions as locations for firm headquarters, proliferation of
offshore financing vehicles, and growing size, number, and geographic diversity of …

Exploring new frontiers in indexing strategies: an optimization-based risk-efficient solution

R Monga, D Aggrawal, J Singh - International Journal of System …, 2022 - Springer
This paper examines various risk-efficient solutions that enable investors to optimize their
risk-return profile in comparison to the traditional market-capitalization index. Investment …