APPLIED RESEARCH WHITEPAPER
Arrow_Blue_Orange.pngWhat’s in a Name? Part 2: Stress-Testing Smart Beta ETFs


In this paper, we show results of stress tests on a number of different Smart Beta ETFs. As we noted in our first paper on this topic, even portfolios with similar investment philosophies (and seemingly identical names) can have quite different exposures. We look at reactions to various types of stresses and show once again how results can differ substantially from one fund to the next. We also show how stress-test results can vary widely over time.



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Arrow_Blue_Orange.pngWhat’s in a Name?
Part 2: Stress-Testing Smart Beta ETFs



In this paper, we show results of stress tests on a number of different Smart Beta ETFs. As we noted in our first paper on this topic, even portfolios with similar investment philosophies (and seemingly identical names) can have quite different exposures. We look at reactions to various types of stresses and show once again how results can differ substantially from one fund to the next. We also show how stress-test results can vary widely over time.



Authors:
 Melissa-Brown_cir.png Melissa-Brown_cir.png  
Melissa R. Brown, CFA
Managing Director
Applied Research
Sebastian Ceria, PhD
Founder & CEO