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[Academic Events] Monday Lunch Seminars Fabio Moneta (Telfer School of Management)

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…