April 2021

Covid-19 and smart beta: A case study on the role of sectors

Financial Markets and Portfolio Management (FMPM) - Volume 35, Issue 4, December 2021. The authors investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry ...

Author(s)

Bernd Scherer, Milot Hasaj

Financial Markets and Portfolio Management (FMPM) - Volume 35, Issue 4, December 2021.

The authors investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.