Do Smart Beta ETFs Deliver Persistent Performance?
30 Pages Posted: 29 May 2020
Date Written: May 2, 2020
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: Suggested Citation