Do smart beta ETFs deliver persistent performance?

Autor: Cesario Mateus, Irina B. Mateus, Marco Soggiu

Publikováno v: Mateus, I B, Mateus, C & Soggiu, M 2020, ' Do smart beta ETFs deliver persistent performance? ', Journal of Asset Management, vol. 21, no. 5, pp. 413-427 . https://doi.org/10.1057/s41260-020-00174-1

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-adju

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