Essays about: "Smart Beta"

Showing result 1 - 5 of 12 essays containing the words Smart Beta.

  1. 1. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

    University essay from Göteborgs universitet/Graduate School

    Author : Tommy Saliba; Philip Thulin; [2021-06-30]
    Keywords : Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

    Abstract : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. READ MORE

  2. 2. ESG-Based Factor Investing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martin Bergström; Jacob Svensson; [2020]
    Keywords : ESG; Smart Beta; Factor Investing; Business and Economics;

    Abstract : The purpose of this thesis is to examine if there is a cost, in terms of lower risk-adjusted returns, associated with using ESG factors in the portfolio creation process. The ability of using an ESG Smart Beta strategy, to outperform a passive cap-weighted index and a regular Smart Beta strategy in terms of risk-adjusted returns, was examined. READ MORE

  3. 3. Factor ETFs -  Risk Exposure and Diversification Benefits

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Bishar Rahym; Dylan Hawrami; [2020]
    Keywords : ETFs; risk factor; smart beta; factor diversification; asset pricing;

    Abstract : This paper analyzes U.S. factor ETF risk exposures and diversification benefits relative to the ETFs’ academic factor portfolios. The purpose of the paper is to observe whether the factor ETFs’ correlations and risk exposures reflect that of their academic factor portfolios, the long-short and long-only portfolios. READ MORE

  4. 4. Smart Beta Factor Investing

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan; Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Tommy Saliba; Philip Thulin; [2019]
    Keywords : ;

    Abstract : .... READ MORE

  5. 5. In search for the reputational investment factor

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Birger Myrberg; David Dreja; [2018]
    Keywords : Factor investing; Smart beta investing; Corporate reputation; Performance forecast; Risk-adjusted returns;

    Abstract : This paper looks at corporate reputation and its effect on future firm performance using the Reputation Quotient (RQ) produced by Harris Interactive Inc. as proxy for reputation. READ MORE