RT Journal Article
SR Electronic
T1 European ETF Factor Exposures: <em>Evidence from a Regression- and Holdings-Based Analysis</em>
JF The Journal of Index Investing
FD Institutional Investor Journals
SP jii.2019.1.067
DO 10.3905/jii.2019.1.067
A1 Philipp Alexander Dirkx
YR 2019
UL https://pm-research.com/content/early/2019/04/14/jii.2019.1.067.1.abstract
AB 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