Published Nov. 15, 2022, 10:26 a.m.
SEMINARIO 23-11-2022: “On the Anomaly Tilts of Factor Funds”
Mercoledì 23 novembre 2022 - ore 12.00 - Aula Seminari DESF
Il Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" è lieto di invitarvi al Seminario sul tema:
“On the Anomaly Tilts of Factor Funds”
Relatore: Prof. Fabio MONETA, Telfer School of Management, University of Ottawa
Data e Ora: mercoledì 23 novembre 2022 - ore 12.00
Luogo: Aula Seminari DESF, Cubo 0/C, piano terra, Università della Calabria
Abstract:
We find that a significant subset of Hedged Mutual Funds (HMFs) and smart-beta Exchange-Traded Funds (ETFs) tilt their portfolios towards well-known anomaly characteristics, especially on the short side, and that such tilts are highly predictable. Moreover, factor-based HMFs outperform ETFs with corresponding factor tilts, which is driven by short positions and higher factor-related returns. Perversely and in contrast to HMFs, large factor tilt ETFs underperform those with contrary tilts. Overall, our results demonstrate the importance of using portfolio holdings rather than stated objectives for benchmarking factor tilts, and indicate the superior factor replication ability of HMFs over ETFs.
In allegato il Working Paper e la locandina del Seminario.