There is a consensus that equity factors are cyclical and depend on macroeconomic
conditions. To build well-diversified portfolios of factors, one needs to account for the fact …

We propose firm-level measures of exposures to macroeconomic risks that substantially
improve out-of-sample robustness compared to standard estimation approaches. Systematic …

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to
their supposed ability to offer a better risk–return trade-off than traditionally structured …

The authors argue that more attention should be paid to market exposure when conducting
analyses of smart beta strategies. They point out that most research proposing new …

Factor investing, rooted in the capital asset pricing model (CAPM), has evolved to
encompass many risk factors beyond the market factor. This paper explores the relationship …

Low volatility and minimum volatility indexes have been written about extensively in financial
literature, and their index-linked investment vehicles have grown to track a significant …

Increasing factor exposure is generally desirable, ceteris paribus, but it often comes at a
cost; those costs may include expenses arising from more regular rebalancing or purchasing …

This study compares the risk-adjusted performance of 10 single-factor (smart beta) and 75
multi-factor (advanced beta) portfolios over the period of 1992 to 2019. The emphasis is set …

This paper guides the reader through the Smart Beta “factor zoo” to unveil the notably
smartest strategy based on a risk-adjusted analysis. The strategies analysed are Dividends …

본 논문은 스마트베타 위험요인들이 각기 다른 시점에서 제공하는 수익기회를 활용하는
동태적포트폴리오의 한 가지 사례를 제시하고, 그 성과의 이론적, 실무적 함의를 검토하였다 …