Do Smart Beta ETFs Deliver Persistent Performance?

30 Pages Posted: 29 May 2020

See all articles by Marco Soggiu

Marco Soggiu

affiliation not provided to SSRN

Cesario Mateus

Aalborg University

Irina B. Mateus

Aalborg University

Date Written: May 2, 2020

Abstract

This paper analyses Smart Beta ETF performance and provides the first evidence on the funds’ performance persistence. Our sample is comprised of 152 US equity smart beta ETFs over the period June 2000 to May 2017. We found that as per the risk-adjusted performance about 40% of Smart Beta ETFs outperformed their related traditional ETFs after expenses. The analysis of performance persistence conducted based on the relative performance of Smart Beta ETFs showed that the performance of winners and losers does persists in the year ahead. The persistence in performance was documented in 7 out of 9 peer categories.

Keywords: ETF, Performance, Performance Persistence, Bench-marking

JEL Classification: G11

Suggested Citation

Soggiu, Marco and Mateus, Cesario and B. Mateus, Irina, Do Smart Beta ETFs Deliver Persistent Performance? (May 2, 2020). Available at SSRN: https://ssrn.com/abstract=3590995 or http://dx.doi.org/10.2139/ssrn.3590995

Marco Soggiu

affiliation not provided to SSRN

Cesario Mateus (Contact Author)

Aalborg University

Fredrik Bajers Vej 7E
Aalborg, DK-9220
Denmark

Irina B. Mateus

Aalborg University ( email )

Fredrik Bajers Vej 7E
Aalborg, DK-9220
Denmark

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