Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...

Although the Exchange Traded Fund (ETF) business has grown in popularity with investors over the last decade, it remains a shadowy sector with certain technicalities. This research piece will discuss the origins of this notion and its subsequent trends by explaining its primary characteristics...

The Exchange Traded Fund (ETF) industry has gained much attractivity among investors in the last decade but remains still a shady market with some technicities. This research article aims to address the origin of this concept and its recent tendencies by describing the main features and...

The phrase long-term investing in triple leveraged ETFs is somewhat of an anathema for investment academicians. As a result of daily rebalancing and so-called beta slippage or “the constant leverage trap” it is highly likely over the long term to significantly deviate from the targeted...

In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the...