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Where Is the “Meat” in Smart Beta Strategies?
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-3378-7543
2017 (English)In: Journal of Wealth Management, ISSN 1520-4154, Vol. 20, no 3, 24-32 p.Article in journal (Refereed) Published
Abstract [en]

In this study, the authors use principal component analysis (PCA) to address the relevance and style mix of four common smart beta strategy indexes: minimum volatility, momentum, fundamental value, and equal weight. They discover that the major proportion of equity smart beta beyond a market-cap-weighted index originates from the momentum smart beta strategy, while, for example, the value smart beta strategy has little relevance. The authors’ results show that returns to different smart beta strategies are partly driven by the same factor exposures related to multifactor models of asset pricing.

Place, publisher, year, edition, pages
2017. Vol. 20, no 3, 24-32 p.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-150537DOI: 10.3905/jwm.2017.20.3.024OAI: oai:DiVA.org:su-150537DiVA: diva2:1168933
Available from: 2017-12-21 Created: 2017-12-21 Last updated: 2017-12-22Bibliographically approved

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