How to build an allocation model between investment types

How to build an allocation model between investment types (passive management, active management)

My research will focus on how to build a passive investment because passive funds, especially ETF, seem to have much lower fee charged and more advantages than active managed funds. The discussion with my supervisor was about mainly doing research on ETF, especially smart beta ETF because the ETFs with smart beta contains both the advantages of active and passive managed funds. What he said was about comparing the ETF (according to what it features) with index such as S&P, and use the CAPM or Fama French’s three factor models to run regression against the factors. He also told me to categorize the ETFs into different categories (for instant, value, growth, etc). The data of the three factors could be extract from Kenneth French’s online database. You can see


How to build an allocation model

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