PERFORMANCE OF SMART BETA ETFS IN THE U.S. MARKET: 2009–2019
DOI:
https://doi.org/10.47941/ijf.935Keywords:
Smart betas, Exchange traded funds, Excess returns, Risk-adjusted returnsAbstract
Purpose: This paper empirically analyses the performance of smart beta exchange traded funds (ETFs) through the absolute return, relative return, and risk-adjusted return over the decade from 2009 to 2019.
Methodology: Using a sample of smart beta ETFs in the U.S. stock market, we examine the components of the risk factors in a smart beta strategy.
Results: Our results show that a smart beta strategy is not able to maintain a persistent performance over the period examined. Moreover, there is not a single year that smart beta ETFs could generate an abnormal return that is statistically significant. The evidence illustrates that returns of smart beta ETFs do not significantly beat the S&P 500 market benchmark on an absolute, relative, and risk-adjusted return basis.
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Copyright (c) 2022 David K. Ding, Angkawipa Kangsanarak, Chiraphol N. Chiyachantana, Tanakorn Likitapiwat
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