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Article

European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis

Philipp Alexander Dirkx
The Journal of Index Investing Summer 2019, jii.2019.1.067; DOI: https://doi.org/10.3905/jii.2019.1.067
Philipp Alexander Dirkx
is a portfolio manager for ODDO BHF Group in Paris, France, and a PhD student at ZU University in Friedrichshafen, Germany
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Abstract

The article analyzes factor exposures of European equity exchange-traded funds (ETFs) according to 10-year regressions and a holdings-based analysis. While smart beta ETFs target certain factors explicitly, they and conventional market-capitalization-weighted ETFs (conventional ETFs) both can carry implicit exposures, too. The analysis shows that especially various sector ETFs carry strong regression-based factor exposures, which are only partially mirrored from a holdings-based view. Collectively, the conventional and smart beta ETFs show various significant factor loadings, which are mostly backed by the holdings-based analysis. Translating the flows in smart beta ETFs into a form of factor timing of market participants, the asset-weighted smart beta aggregate outperformed the market on an absolute and risk-adjusted basis.

TOPICS: Analysis of individual factors/risk premia, exchange-traded funds and applications, developed markets, performance measurement

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The Journal of Index Investing: 11 (3)
The Journal of Index Investing
Vol. 11, Issue 3
Winter 2020
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European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis
Philipp Alexander Dirkx
The Journal of Index Investing Apr 2019, jii.2019.1.067; DOI: 10.3905/jii.2019.1.067

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European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis
Philipp Alexander Dirkx
The Journal of Index Investing Apr 2019, jii.2019.1.067; DOI: 10.3905/jii.2019.1.067
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