How Smart Beta Strategies Work in the Hong Kong Market
26 Pages Posted: 20 Oct 2017
Date Written: September 29, 2017
Abstract
Factor-based investing shares some common characteristics with passive investing such as rules-based construction, transparency, and cost-efficiency, and it also shares features of active investing in that it aims to enhance return and reduce risk compared to market-cap-weighted indices. In this paper, we examined the effectiveness of six well-known factors including size, value, low volatility, momentum, quality, and dividend in the Hong Kong equity market, their investability in practice, as well as the behavior of these factors under different market regimes from June 30, 2006, to June 30, 2017.
Keywords: smart beta, macroeconomic, economic, risk premia, factor investing, quality, dividend, low volatility, size, small cap, momentum, value, economic regime
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