스마트베타 ETF 자산배분

초록

This study evaluates the economic values of 7 types of smart beta ETFs (beta, size, value, quality, dividend, momentum, and low volatility) from the asset allocation using bootstrap simulation and resampled efficiency methodologies based on the Fama-French 5 factor model. The main results of the study are as follows. First, smart beta ETFs have economic value comparing with the existing traditional assets. Almost all types of ETFs can be added to risk-free assets and market portfolios to improve the performance of the portfolio. Second, beta, low volatility, and dividend ETFs significantly improve the performance of the portfolio. Third, the optimal investment weight depends on the risk aversion parameter. In the conclusion, we discuss implementation of asset allocation including smart beta ETFs on the perspectives of individual investors.

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