| Keywords [eng] |
Smart beta, Factor investing, Alternative beta, Value factor, Momentum factor, Dividend yield factor, Low-volatility factor, Quality factor, portfolio construction, Hurst coefficient, ETF |
| Abstract [eng] |
Smart Beta Strategies Application and Assessment The purpose of this work is to conduct a comprehensive study of the development and application of key actual Smart Beta investment strategies in various sectors of US stock market using NASDAQ stock exchange constraints. Smart Beta, also known as a “Strategic Beta", "Alternative Beta", and "Factor Investing", is a set of investment strategies based on alternative rules that determine the weight of the portfolio rather than the traditional strategies weighted by capitalization. Such strategies may allow to gain an advantage over market inefficiency that are not available for traditional capitalization weighted strategies. Smart beta strategies, as a partly passive investment representative, are cheaper than active management, hence portfolio managers does not require daily decision-making, but require only to recalculate weights according to predefined rules. This study provides an empirical research of Smart Beta strategies what are capable to generate excessive return. In the course of this study, 4 hypotheses were confirmed what smart beta strategies allows to get a higher return while maintaining a fairly acceptable risk level in relation to the market adjusted to total trading and custodian fess. Portfolios based on these strategies were measured against the return on profitability compared to the market portfolio benchmark SPDR S&P 500 ETF Trust as broadly used benchmark in industry. For this purpose, 9 single factor portfolios were formed and tested on historical data using on NASDAQ exchange traded stocks from 1999-01-01 to 2020-12-02. All portfolios were analyzed and compared against each other, additional ratios such as CAGR, standard deviation, maximum drawdown, Sharpe, Sortino, tracking error, information ratio profit/loss ratio, standard annualized deviation and total fees were calculated for additional comparable analysis. |
