欧洲ETF因子敞口：基于回归和持股的分析证据

Q4 Economics, Econometrics and Finance

Journal of Index Investing Pub Date : 2019-04-13 DOI:10.3905/jii.2019.1.067

Philipp A. Dirkx

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引用次数: 0

摘要

本文根据10年回归和基于持股的分析，分析了欧洲股票交易所交易基金（ETF）的因子敞口。虽然智能贝塔ETF明确针对某些因素，但它们和传统市值加权ETF（传统ETF）也都可能存在隐性风险。分析表明，尤其是各种行业的ETF都有很强的基于回归的因素敞口，而从基于持股的角度来看，这只是部分反映。总的来说，传统和智能贝塔ETF显示出各种显著的因子负载，这主要由基于持股的分析支持。将智能贝塔ETF的流量转化为市场参与者的一种因素时机，资产加权的智能贝塔综合指数在绝对和风险调整的基础上跑赢了市场。主题：分析个别因素/风险溢价、交易所交易基金和应用、发达市场、业绩衡量

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis

The article analyzes factor exposures of European equity exchange-traded funds (ETFs) according to 10-year regressions and a holdings-based analysis. While smart beta ETFs target certain factors explicitly, they and conventional market-capitalization-weighted ETFs (conventional ETFs) both can carry implicit exposures, too. The analysis shows that especially various sector ETFs carry strong regression-based factor exposures, which are only partially mirrored from a holdings-based view. Collectively, the conventional and smart beta ETFs show various significant factor loadings, which are mostly backed by the holdings-based analysis. Translating the flows in smart beta ETFs into a form of factor timing of market participants, the asset-weighted smart beta aggregate outperformed the market on an absolute and risk-adjusted basis. TOPICS: Analysis of individual factors/risk premia, exchange-traded funds and applications, developed markets, performance measurement

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来源期刊

Journal of Index Investing Economics, Econometrics and Finance-Finance

CiteScore

0.70

自引率

0.00%

发文量