Covid-19 and smart beta
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 cau...
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Veröffentlicht in: | Financial markets and portfolio management 2021-12, Vol.35 (4), p.515-532 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | 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. |
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ISSN: | 1934-4554 2373-8529 |
DOI: | 10.1007/s11408-021-00383-7 |