FYI: Some exchange-traded funds (ETFs) are specifically
designed for harvesting factor premiums, such as the
size, value, momentum, and low-volatility effects. Other
ETFs, however, may implicitly go against these factors. This
paper analyzes the factor exposures of U.S. equity ETFs and
finds that, indeed, for each factor there are funds that offer a
large positive exposure and also funds that offer a large nega-
tive exposure toward that factor. On aggregate, all factor expo-
sures turn out to be close to zero, and plain market exposure
is all that remains. This finding argues against the concern
that factor premiums are being arbitraged away rapidly by
investors in ETFs
Regards,
Ted
https://investmentsandwealth.org/getattachment/ec1dd095-6901-45f3-bee7-1b1ecaf76584/JIC181-AreETFsHarvestingFactorPremiums.pdf
