| dc.description.abstract | This thesis investigates if smart beta ETFs in the US and/or Europe deliver excess return relative
to the world market and how performance compares between the two markets. We focus on nine smart
beta categories in our two-part analysis over a time period from January 2007 to June 2022. The
constructed smart beta ETF portfolios are evaluated using risk-adjusted performance measures and a
multi-factor benchmark model. The multi-factor benchmark model uses the MSCI World Index as the
market factor and additional well-documented risk factors, thus used as our proxy for the world
market. From this multi-factor model, we estimate alphas for the different categories in order to
evaluate performance. We find that all the US smart beta ETFs categories in our sample, except low
volatility, earn excess returns above the world market. The European portfolios do not perform as
well with only three categories earning abnormal returns, these are momentum, fundamentals
weighted, and equal weighted. These results are supported by the analysis of risk-adjusted returns,
where the performance measures suggest a higher performance than the MSCI World Index when taking
risk into account for most categories. | en_US |
