PT - JOURNAL ARTICLE AU - Philipp Alexander Dirkx TI - European ETF Factor Exposures: <em>Evidence from a Regression- and Holdings-Based Analysis</em> AID - 10.3905/jii.2019.1.067 DP - 2019 May 31 TA - The Journal of Index Investing PG - 37--50 VI - 10 IP - 1 4099 - https://pm-research.com/content/10/1/37.short 4100 - https://pm-research.com/content/10/1/37.full AB - The article analyzes factor exposures of European equity exchange-traded funds (ETFs) according to 10-year regressions and a holdings-based analysis. While smart beta ETFs target certain factors explicitly, they and conventional market-capitalization-weighted ETFs (conventional ETFs) both can carry implicit exposures, too. The analysis shows that especially various sector ETFs carry strong regression-based factor exposures, which are only partially mirrored from a holdings-based view. Collectively, the conventional and smart beta ETFs show various significant factor loadings, which are mostly backed by the holdings-based analysis. Translating the flows in smart beta ETFs into a form of factor timing of market participants, the asset-weighted smart beta aggregate outperformed the market on an absolute and risk-adjusted basis.TOPICS: Analysis of individual factors/risk premia, exchange-traded funds and applications, developed, performance measurement