Table 2.

Performance attribution Performance attribution as derived from Eqs. (4) to (6)

	Multi-factor	Minimum volatility	Value	Momentum	Quality	Size
	Panel (a): February 24, 2020, to June 30, 2020
$r_{\mathrm{active}}^{\mathrm{smart}-\beta }$	$-$ 5.65	$-$ 6.71	$-$ 10.84	3.58	3.23	$-$ 5.80
$r_{\mathrm{allocation}}^{\mathrm{smart}-\beta }$	$-$ 0.75	$-$ 3.51	$-$ 6.21	1.52	5.48	$-$ 3.52
$r_{\mathrm{selection}}^{\mathrm{smart}-\beta }$	$-$ 4.90	$-$ 3.19	$-$ 4.64	2.05	$-$ 2.25	$-$2.28
${\overline{R}}^2$	17.62%	63.15%	87.51%	77.07%	61.39%	62.68%

	Panel (b): February 24, 2019, to June 30, 2019
$r_{\mathrm{active}}^{\mathrm{smart}-\beta }$	$-$ 3.90	1.98	$-$ 2.37	2.08	1.60	$-$ 1.91
$r_{\mathrm{allocation}}^{\mathrm{smart}-\beta }$	$-$ 0.45	$-$ 0.16	$-$ 1.14	$-$0.22	1.50	$-$ 0.45
$r_{\mathrm{selection}}^{\mathrm{smart}-\beta }$	$-$ 3.45	2.13	$-$ 1.23	2.30	0.10	$-$ 1.46
${\overline{R}}^2$	10.36%	86.87	78.99%	66.45	60.75%	27.73

We use daily data for market weighted industry returns, smart beta sector weights and market sector weights for the period from 24th of February to the 30th of June in 2019 and 2020. All data are from MSCI, employing the GICS framework (11 industries)