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An Anatomy of Smart Beta Value ETFs

Can Value Investors Capture Factor Returns via Smart Beta?

Nicolas Rabener
10 min read
5 Jan 2019

SUMMARY

  • Smart beta Value ETFs are relatively homogenous
  • Some show high exposures to other equity factors, which may represent risk
  • Excess returns from smart beta are significantly lower than long-short factor returns

INTRODUCTION

The last ten years can be viewed as a lost decade for Value investors as excess returns were almost consistently negative. Although ETF investors have allocated more capital to the Growth factor as of the end of 2018, the top five smart beta ETFs by assets under management still contain two products focused on Value (VTV & IWD).

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