Unit:
Κατεύθυνση ΧρηματοοικονομικήLibrary of the Faculty of Economics and of the Faculty of Business Administration
Supervisors info:
Νικόλαος Μυλωνάς, Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Εισαγωγή της έννοιας του “Smart Beta” και μελέτη της επίδοσης των “Smart Beta” ETFs
Translated title:
Introduction of "Smart Beta" concept and study of the performance of "Smart Beta" ETFs
Summary:
The purpose of this research is to introduce the basic idea of Smart Beta Strategies through theory and bibliography. Then may present Smart Beta ETFs' potential and progress, compared to traditional ETF and their indices, through various statistical, financial risk and performance measures. The research examines not only their performance compared to traditional ETFs and indices but also answers the question of whether they are adding value products in a potential investor portfolio.
Main subject category:
Social, Political and Economic sciences
Keywords:
Exchange Traded Funds ETFs, smart beta, cap-weighted index strategy, size, value, volatility, Value Investing Approach, Equal Weight Approach, Quality Investing Approach, Low Volatility Approach, Sharpe, Sortino, Treynor, Tracking Error, Tracking Error, Jensen’s Alpha, Gamma, Treynor-Mazuy Market Timing Model, Expense Ratio
File:
File access is restricted only to the intranet of UoA.
Ξερνού Ειρήνη ΔΕ2.pdf
1 MB
File access is restricted only to the intranet of UoA.
Presentation (1).pdf
2 MB
File access is restricted.
