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

• 发表时间: Apr 2021 15
• 来源期刊: Financ Mark Portf Mang
• DOI: 10.1007/s11408-021-00383-7
• PMID: 34765080
• 文章类型: Journal Article
• 作者列表: Hasaj M,Scherer B

关键词: Covid-19; ESG; Smart beta; sector performance

Abstract

We 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.