Essays about: "smart beta strategy"

Showing result 1 - 5 of 6 essays containing the words smart beta strategy.

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

3. 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

4. 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

5. 4. Smart Beta ETFs. Smart Investment or Smart Marketing?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kristin Kjellberg; Catinka Träger; [2017]
   Keywords : Smart Beta; ETFs; Factor Investing; Portfolio Manage;

   Abstract : Smart Beta is a relatively new investment strategy that builds further on theses such as factor investing and fundamental indexation. As of now, there are conflicting views of this strategy. Hence, in this paper, we aim to find an answer to whether Smart Beta is indeed smart or not. READ MORE

6. 5. Factor Sensitivities to Alternative Macroeconomic Environments

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Olga Gladuniak; [2017]
   Keywords : smart beta; factor investing; Markov switching models; dynamic portfolios;

   Abstract : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. READ MORE