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The Journal of Index Investing

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Smart Beta ETFs: A Bird’s-Eye
View of the Market and Analysis of Its Performance Trends

Seddik Meziani
The Journal of Beta Investment Strategies Summer 2014, 5 (1) 146-157; DOI: https://doi.org/10.3905/jii.2014.5.1.146
Seddik Meziani
is a professor of finance at Montclair State University in Montclair, NJ.
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  • For correspondence: meziania@mail.montclair.edu
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Abstract

A new category of exchange-traded funds, which can arguably be referred to as “smart beta ETFs,” has lately issued a meaningful challenge to traditional, market-value-oriented ETFs. Although the concept seems new, a review of the relevant academic literature shows that most of these new ETFs find their roots in traditional ETFs.

After having divided smart beta ETFs into three distinct categories, a thorough review shows that their share of the overall ETF market is rapidly expanding. In particular, factor and fundamental smart beta ETFs have established themselves as the dominant duo relative to low-volatility ETFs. But in terms of risk-adjusted performance, this study shows that investors in smart beta ETFs have, on average, not been appropriately compensated for the risks they have taken in comparison to investors who put their money into more traditional, cap-weighted ETFs.

TOPICS: Exchange-traded funds and applications, factor-based models

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The Journal of Index Investing: 5 (1)
The Journal of Beta Investment Strategies
Vol. 5, Issue 1
Summer 2014
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Smart Beta ETFs: A Bird’s-Eye
View of the Market and Analysis of Its Performance Trends
Seddik Meziani
The Journal of Beta Investment Strategies May 2014, 5 (1) 146-157; DOI: 10.3905/jii.2014.5.1.146

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Smart Beta ETFs: A Bird’s-Eye
View of the Market and Analysis of Its Performance Trends
Seddik Meziani
The Journal of Beta Investment Strategies May 2014, 5 (1) 146-157; DOI: 10.3905/jii.2014.5.1.146
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  • Article
    • Abstract
    • SMART BETA AND THE MODERN PORTFOLIO THEORY
    • SMART BETA INVESTMENT STRATEGIES AND THE ETF MARKET
    • SMART BETA ETFS AND MARKET PERFORMANCE
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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