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 beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations....

Dynamic beta is a program that dynamically allocates to beta assets based on formal rules. It contrasts with standard mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the fund — where risk includes volatility of returns...

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...