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Covid-19 and smart beta: A case study on the role of sectors

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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Detalles Bibliográficos
Autores principales:	Hasaj, Milot, Scherer, Bernd
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2021
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8049398/ https://www.ncbi.nlm.nih.gov/pubmed/34765080 http://dx.doi.org/10.1007/s11408-021-00383-7

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