Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation
“Moreover, after the implementation of alpha accumulation, the authors outperform the benchmark ETFs in terms of minimizing the TE but did not succeed in providing statistically significant returns better than the SPX Index.”
AssetMulti-assetETFs
StrategyFactor investing
ClaimAlphaexcess return
Also stated: out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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