Covid-19 and smart beta: A case study on the role of sectors.

Published in: Financial markets and portfolio management (2021)

We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.

Keyphrases

coronavirus disease
sars cov
cross sectional
public health
respiratory syndrome coronavirus
air pollution
health insurance