The Performance of Smart Beta Funds in Financial Markets with Regime Switching
碩士 === 國立臺灣師範大學 === 管理研究所 === 106 === In recent years, factor-based investing has become one of the mainstreams in portfolio management. In particular, specific stocks are selected or portfolio weights are adjusted to enlarge the exposure of a portfolio to some specific factors. The purpose of this...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/2q2z9u |
| Summary: | 碩士 === 國立臺灣師範大學 === 管理研究所 === 106 === In recent years, factor-based investing has become one of the mainstreams in portfolio management. In particular, specific stocks are selected or portfolio weights are adjusted to enlarge the exposure of a portfolio to some specific factors. The purpose of this study is to examine the performance of smart beta strategies in various financial states. Since investors’ sentiment indicators have been widely used by financial advisors and fund managers to predict phases of the financial cycle after the global financial crisis in 2008. This thesis uses these indicators to identify the turning points of financial market in a Markov switching framework and examines the performance of smart beta strategies in different financial states.
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