Smart Beta Factor Investing
(2017) NEKN01 20171Department of Economics
- Abstract
- In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. The strategies analyzed are Value, Size, Sharpe-Momentum, Quality and Low Volatility. Given that factor investing and various rules-based strategies have previously been studied in academia, we fill the gap in the literature by providing our own variables to each factor as well as testing their performance... (More)
- In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. The strategies analyzed are Value, Size, Sharpe-Momentum, Quality and Low Volatility. Given that factor investing and various rules-based strategies have previously been studied in academia, we fill the gap in the literature by providing our own variables to each factor as well as testing their performance across two geographical regions. The empirical analysis conducted in this thesis indicates that nine out of ten Smart Beta portfolios outperform their respective benchmark index on a risk-adjusted basis. We therefore conclude that Smart Beta strategies can serve as a superior alternative to passively investing in a cap-weighted index, which questions if markets are truly efficient from an asset allocation standpoint. (Less)
- Popular Abstract
- In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. The strategies analyzed are Value, Size, Sharpe-Momentum, Quality and Low Volatility. Given that factor investing and various rules-based strategies have previously been studied in academia, we fill the gap in the literature by providing our own variables to each factor as well as testing their performance... (More)
- In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. The strategies analyzed are Value, Size, Sharpe-Momentum, Quality and Low Volatility. Given that factor investing and various rules-based strategies have previously been studied in academia, we fill the gap in the literature by providing our own variables to each factor as well as testing their performance across two geographical regions. The empirical analysis conducted in this thesis indicates that nine out of ten Smart Beta portfolios outperform their respective benchmark index on a risk-adjusted basis. We therefore conclude that Smart Beta strategies can serve as a superior alternative to passively investing in a cap-weighted index, which questions if markets are truly efficient from an asset allocation standpoint. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8913529
- author
- Mikaelsson, Alex LU and Nilsson, Martin LU
- supervisor
- organization
- alternative title
- Enhancing risk-adjusted returns with exposure to risk factors and empirical evidence of market inefficiencies
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Smart Beta, Factor Investing, Efficient Markets, Asset Allocation
- language
- English
- id
- 8913529
- date added to LUP
- 2017-07-10 13:48:22
- date last changed
- 2017-07-10 13:48:22
@misc{8913529,
abstract = {{In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. The strategies analyzed are Value, Size, Sharpe-Momentum, Quality and Low Volatility. Given that factor investing and various rules-based strategies have previously been studied in academia, we fill the gap in the literature by providing our own variables to each factor as well as testing their performance across two geographical regions. The empirical analysis conducted in this thesis indicates that nine out of ten Smart Beta portfolios outperform their respective benchmark index on a risk-adjusted basis. We therefore conclude that Smart Beta strategies can serve as a superior alternative to passively investing in a cap-weighted index, which questions if markets are truly efficient from an asset allocation standpoint.}},
author = {{Mikaelsson, Alex and Nilsson, Martin}},
language = {{eng}},
note = {{Student Paper}},
title = {{Smart Beta Factor Investing}},
year = {{2017}},
}