文章基本信息

标题：Smart Beta Allocation and Macroeconomic Variables: The Impact of COVID-19
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作者：Matteo Foglia ; Matteo Foglia ; Matteo Foglia 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：34
DOI：10.3390/risks9020034
语种：English
出版社：MDPI, Open Access Journal
摘要：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.