Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value …, momentum and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the … factor exposures of US equity ETFs and finds that, indeed, for each factor there are not only funds which offer a large …

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value …, momentum, and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the … factor exposures of U.S. equity ETFs and finds that, indeed, for each factor there are funds that offer a large positive …

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to … of SB ETFs benchmarked to traditional cap-weighted market indices remains relatively scarce. There is a lack of empirical … evidence enforcing this phenomenon. Extending the work of Glushkov ("How Smart are "Smart Beta" ETFs? …", 2016), we provide a …