Investments and Portfolio Management: Dividends and Smart Beta

The spreadsheet, Report 2.xlsx contains data on four Australian smart beta exchange traded

funds (ETFs) from June 2011 to April 2016. Each of these ETFs is passive as they attempt to

track their chosen benchmark index, but they also have an active element given the strategy

they are using. The four ETFs are using a ‘Dividend Screened’ strategy. The contents of each

worksheet in the spreadsheet are:

 ETFs: contains monthly returns for the four smart beta ETFs. All monthly returns

include both capital gains and dividend payments.

 Factor Returns: contains monthly returns on the risk-free rate (RF), the S&P/ASX300

index (ASX300), a size factor (SMB), a value factor (HML), and a dividend factor