Do Smart Beta Portfolios Outperform the Market?
碩士 === 國立彰化師範大學 === 財務金融技術學系 === 104 === Smart Beta portfolios grow tremendously in recent years. This study constructs Smart Beta portfolios by drawing on stock selections (such as market cap, price to market ratio, volatility and return on assets) and weighting schemes (such as equal weighted, max...
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| Format: | Others |
| Language: | zh-TW |
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2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71330955590329798610 |
| Summary: | 碩士 === 國立彰化師範大學 === 財務金融技術學系 === 104 === Smart Beta portfolios grow tremendously in recent years. This study constructs Smart Beta portfolios by drawing on stock selections (such as market cap, price to market ratio, volatility and return on assets) and weighting schemes (such as equal weighted, max diversification ratio, minimum variance, and risk parity). Comparing market portfolio, this study finds out that there are higher returns by selecting stocks with risk premium and weighting with non-market cap-weighted.
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