Research and publications

Smart Beta Replication Costs

This paper provides an explicit estimate of the costs applied to a range of smart beta strategies and analyses the impact of different implementation rules or stock universes. The objective is to a ...

Author(s) :

Mikheil Esakia, Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel

Summary :

This paper provides an explicit estimate of the costs applied to a range of smart beta strategies and analyses the impact of different implementation rules or stock universes. The objective is to assess transaction costs of smart beta strategies in order to contrast the gross returns of such strategies shown in backtests with estimates of net returns that are actually available to investors when considering transaction costs. 

Type : EDHEC Publication
Date : 16/03/2017
Keywords :

Indexes and Benchmarking