How Smart Beta Strategies Work in the Hong Kong Market

26 Pages Posted: 20 Oct 2017

See all articles by Liyu Zeng

Liyu Zeng

S&P Dow Jones Indices

Priscilla Luk

S&P Dow Jones Indices

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

Suggested Citation

Zeng, Liyu and Luk, Priscilla, How Smart Beta Strategies Work in the Hong Kong Market (September 29, 2017). Available at SSRN: https://ssrn.com/abstract=3054594 or http://dx.doi.org/10.2139/ssrn.3054594

Liyu Zeng

S&P Dow Jones Indices ( email )

55 Water Street
Fl 27
New York, NY 10041
United States

Priscilla Luk (Contact Author)

S&P Dow Jones Indices ( email )

55 Water Street
New York, NY 10041
United States

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