Do smart beta ETFs deliver persistent performance?

Cesario Mateus (), Irina B. Mateus () and Marco Soggiu ()
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Cesario Mateus: Aalborg University
Irina B. Mateus: Aalborg University
Marco Soggiu: eVestment, Nasdaq

Journal of Asset Management, 2020, vol. 21, issue 5, No 3, 413-427

Abstract: 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 persist in the year ahead. The persistence in performance was documented in seven out of nine peer categories.

Keywords: Exchange-traded fund; Performance; Persistence; Portfolio management; Benchmark (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/s41260-020-00174-1

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