Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to
their supposed ability to offer a better risk–return trade-off than traditionally structured …

This study is unique in examining the spillover and leverage effect of Smart Beta Exchange
Traded Funds (SB ETFs) and their underlying indices and Cap-Weighted (CW) indices. We …

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor
premiums, such as the size, value, momentum, and low-volatility effects. Other ETFs …

This paper fundamentally looks at the novel concept of Smart Beta investing in constructing
a more efficient and well-diversified alternative investment. Smart beta has been a popular …

Investment funds marketed as “sustainable” or “ESG”(Environmental, Social and
Governance) have proliferated in recent years. In the wake of this trend, skepticism is …

In this empirical study, we provide evidence on how predictive information can be utilized to
profitably allocate a cross-asset factor portfolio, covering various well-known factors over the …

This study explores the relationship between market volatility and momentum profitability.
This study indicates that market state volatility has significant power to forecast momentum …

We investigate the factor exposure of smart beta ETFs under model uncertainty using
Bayesian variable selection. We find that smart beta ETFs have exposures to several factors …

The focus of this paper is on smart beta ETFs, which promise enhanced returns to investors.
The ability of smart beta ETFs to beat the market and offer material excess returns is …

This article examines the characteristics and performance of active and smart beta equity
exchange traded funds (ETFs) listed in the United States since 2000. Using a sample of 95 …