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Thursday, January 20, 202211:00 AM - 12:30 PM (Pacific Time)
The relationship between the profits of smart beta and macro-economic and market cycles, considering that responses of factors of smart beta to the phases of the cycles are different from each other, thereby provide profits at different points in time. This presents a heuristic and rule-based factor allocation framework which properly utilizes the profit opportunities and examines the theoretical and practical implications. A wide range of macroeconomic and financial indicators are tested on the explanatory power of the indicators on the systematic factors. It shows a significant improvement of return & risk. As this simple heuristic strategies can be transformed in various ways, thereby better fitting investors’ preferences, these results shed light on the prospects of Korean smart beta strategies.
In this colloquium, Professor Yoon will discuss the smart beta strategy in the Korean stock market. * If you are interested in attending this talk, please email the Center (koreanstudies@international.ucla.edu) for a Zoom invitation.
koreanstudies@international.ucla.edu
Sponsor(s): Center for Korean Studies
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