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Covid-19 and smart beta

Author

Listed:
  • Milot Hasaj

    (Lampe Asset Management)

  • Bernd Scherer

    (EDHEC Risk Institute)

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.

Suggested Citation

  • Milot Hasaj & Bernd Scherer, 2021. "Covid-19 and smart beta," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 515-532, December.
    • Handle: RePEc:kap:fmktpm:v:35:y:2021:i:4:d:10.1007_s11408-021-00383-7
    DOI: 10.1007/s11408-021-00383-7
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    References listed on IDEAS

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    6. Stefano Ramelli & Alexander F Wagner, 2020. "Feverish Stock Price Reactions to COVID-19," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 622-655.
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    Cited by:

    1. Ashraf, Dawood & Rizwan, Muhammad Suhail & Ahmad, Ghufran, 2022. "Islamic equity investments and the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).

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    More about this item

    Keywords

    Smart beta; sector performance; Covid-19; ESG;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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