Whitepaper - July 2018

What’s in a Name? Stress-Testing Smart Beta ETFs

In this paper, we show results of stress tests on a number of different Smart Beta ETFs. 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.

Part 1 of this series can be found here.


Melissa R. Brown, CFA

Managing Director of Applied Research