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Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...

Persistent link: https://www.econbiz.de/10012622400

Unleveraged portfolios and pure allocation return

Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11

proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …

Persistent link: https://www.econbiz.de/10012795929

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …

Persistent link: https://www.econbiz.de/10011961446

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

How the closure of a U.S. tax loophole may affect investor portfolios

Frei, Christoph; Welsh, Liam - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-10

In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the...

Persistent link: https://www.econbiz.de/10013273445

Performance dynamics of international exchange-traded funds

Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14

distress the performance of international ETFs. Despite the exponential growth of the ETF industry in general and international …

Persistent link: https://www.econbiz.de/10012322206

Herding in smart-beta investment products

Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 12 (2019) 1/47, pp. 1-14

We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...

Persistent link: https://www.econbiz.de/10012022287

The investment performance of ethical equity funds in Malaysia

Fadillah Mansor; Bhatti, Muhammad Ishaq; Rahman, Shafiqur; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/219, pp. 1-14

This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our...

Persistent link: https://www.econbiz.de/10012384341

Portfolio strategies to track and outperform a benchmark

Glabadanidis, Paskalis - In: Journal of risk and financial management : JRFM 13 (2020) 8/171, pp. 1-26

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark’s components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns´ first and second moments. The first...

Persistent link: https://www.econbiz.de/10012322201

Performance evaluation of utility exchange-traded funds : a super-efficiency approach

Tsolas, Ioannis E. - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-10

Choosing funds is a general issue for investors, with the aim of balancing potential risks and returns. The aim of this article is to use a super-efficiency approach to analyze and rank exchange-traded funds (ETFs) in order to find the best utility ETFs. The range-adjusted measure (RAM)-based...

Persistent link: https://www.econbiz.de/10013370995

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