Sökning: "Dylan Hawrami"

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  1. 1. Factor ETFs -  Risk Exposure and Diversification Benefits

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Bishar Rahym; Dylan Hawrami; [2020]
    Nyckelord :ETFs; risk factor; smart beta; factor diversification; asset pricing;

    Sammanfattning : This paper analyzes U.S. factor ETF risk exposures and diversification benefits relative to the ETFs’ academic factor portfolios. The purpose of the paper is to observe whether the factor ETFs’ correlations and risk exposures reflect that of their academic factor portfolios, the long-short and long-only portfolios. LÄS MER