Research and publications

Covid-19 and Smart-Beta

Authors 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) a ...

Author(s) :

Milot Hasaj, Bernd Scherer

Summary :

Authors 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 a historically unique COVID-19 related industry rotation, rather than to long term structural causes.

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Type : EDHEC Publication
Date : 19/10/2020