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