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Do smart beta ETFs deliver persistent performance?

Author

Listed:
  • Cesario Mateus

    (Aalborg University)

  • Irina B. Mateus

    (Aalborg University)

  • Marco Soggiu

    (eVestment, Nasdaq)

Abstract

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-adjusted performance, about 40% of smart beta ETFs outperformed their related traditional ETFs after expenses. The analysis of performance persistence conducted based on the relative performance of smart beta ETFs showed that the performance of winners and losers does persist in the year ahead. The persistence in performance was documented in seven out of nine peer categories.

Suggested Citation

  • Cesario Mateus & Irina B. Mateus & Marco Soggiu, 2020. "Do smart beta ETFs deliver persistent performance?," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 413-427, September.
    • Handle: RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00174-1
    DOI: 10.1057/s41260-020-00174-1
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    References listed on IDEAS

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    1. Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic, 2019. "Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 250-250, May.
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    8. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
    9. Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic, 2019. "Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 15-30, February.
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    Cited by:

    1. Jordan Bowes & Marcel Ausloos, 2021. "Financial Risk and Better Returns through Smart Beta Exchange-Traded Funds?," JRFM, MDPI, vol. 14(7), pages 1-30, June.

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