Artikel

Smart beta allocation and macroeconomic variables: The impact of COVID-19

Smart beta strategies across economic regimes seek to address inefficiencies created by market-based indices, thereby enhancing portfolio returns above traditional benchmarks. Our goal is to develop a strategy for re-hedging smart beta portfolios that shows the connection between multi-factor strategies and macroeconomic variables. This is done, first, by analyzing finite correlations between the portfolio weights and macroeconomic variables and, more remarkably, by defining an investment tilting variable. The latter is analyzed with a discriminant analysis approach with a twofold application. The first is the selection of the crucial re-hedging thresholds which generate a strong connection between factors and macroeconomic variables. The second is forecasting portfolio dynamics (gain and loss). The capability of forecasting is even more evident in the COVID-19 period. Analysis is carried out on the iShares US exchange traded fund (ETF) market using monthly data in the period December 2013-May 2020, thereby highlighting the impact of COVID-19.

Sprache
Englisch

Erschienen in
Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 2 ; Pages: 1-25 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
factor-based model
financial risk management
fintech risk management
market timing activity
smart beta

Ereignis
Geistige Schöpfung
(wer)
Foglia, Matteo
Recchioni, Maria Cristina
Polinesi, Gloria
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2021

DOI
doi:10.3390/risks9020034
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Foglia, Matteo
  • Recchioni, Maria Cristina
  • Polinesi, Gloria
  • MDPI

Entstanden

  • 2021

Ähnliche Objekte (12)