Smart Beta. Discovering the world of smart Beta
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comunitat-uji-handle3:10234/97664
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Title
Smart Beta. Discovering the world of smart BetaAuthor (s)
Tutor/Supervisor; University.Department
Salvador Aragó, Enrique; Universitat Jaume I. Departament de Finances i ComptabilitatDate
2018-11-14Publisher
Universitat Jaume IAbstract
The objective of this document is to conduct a study on the Smart Beta, a new investment strategy that aims to generate a higher return than the market index based on the analysis of the classical mean-variance theory ... [+]
The objective of this document is to conduct a study on the Smart Beta, a new investment strategy that aims to generate a higher return than the market index based on the analysis of the classical mean-variance theory of Markowitz. To demonstrate if the smart betas have generated better returns than their benchmarks, we will review the main academic models on which they are based and the evolution of the main smart betas available in the United States compared to its reference index. Finally, we also create our “homemade” portfolios of Smart Beta for the Spanish market for the period 2012-2017, all based on similar models that the ones used in the investment fund industry. After our analysis, we verify that most of the returns of smart beta strategies outperform the reference index, corroborating that the excitement about Smart Beta was justified. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2018-2019
Type
info:eu-repo/semantics/bachelorThesisRights
info:eu-repo/semantics/openAccess
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