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Covid-19 and smart beta

Milot Hasaj () and Bernd Scherer ()
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Milot Hasaj: Lampe Asset Management
Bernd Scherer: EDHEC Risk Institute

Financial Markets and Portfolio Management, 2021, vol. 35, issue 4, No 3, 515-532

Abstract: Abstract We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.

Keywords: Smart beta; sector performance; Covid-19; ESG (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11408-021-00383-7

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