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Exchange-Traded Funds : Sector Performance and Diversification
Luft, Carl F. - 2019
This paper compares the performance of sector ETFs to their respective S&P industry GICS sector index and to their identified benchmark. We have defined sector risk exposure as the sector specific risk that cannot be eliminated via the portfolio's diversification across the given sector. We...
Persistent link: https://www.econbiz.de/10012905492
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How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Exposure
Glushkov, Denys - 2015
Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to well-known factors such as size, value, momentum, quality, beta and volatility. I then test if Smart Beta funds...
Persistent link: https://www.econbiz.de/10013024323
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ETF Momentum
Li, Frank Weikai - 2020
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...
Persistent link: https://www.econbiz.de/10012847346
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Active Share and Bond Mutual Funds
Choi, Jaewon - 2020
performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the … average bond fund has an issue-level (issuer-level) active share of over 90% (60%). Funds with higher issuer-level active … share persistently earn higher alphas, which helps explain the relatively slow growth of passively managed bond funds …
Persistent link: https://www.econbiz.de/10012839159
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Macro-Active Bond Mutual Funds
Hong, Claire Yurong; Pan, Jun; Tian, Shiwen - 2022
We document significant outperformance by government bond funds on important macro announcement days such as FOMC and …
Persistent link: https://www.econbiz.de/10014239622
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Chapter 14. Investment Performance: A Review and Synthesis
Ferson, Wayne E. - 2013
This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...
Persistent link: https://www.econbiz.de/10014025364
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...
Persistent link: https://www.econbiz.de/10013007326
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The Performance of Passively-Managed Hedged ETFs
Cheng, Jason M. K. - 2020
This study provides early evidence on the performance of passively-managed hedged exchange-traded funds (HETFs) introduced rather recently in late 2006. The data covers surviving HETFs in 2017 under global macro and long-short classifications. Using Fung and Hsieh's (2004) 7-factor model and...
Persistent link: https://www.econbiz.de/10012845904
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112
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Investment Performance of Shorted Leveraged ETF Pairs
Jiang, Xinxin - 2013
We analyze trading strategies involving triple-leveraged and inverse triple-leveraged ETF pairs by simulating daily returns over a 48 year period. Our results show that many such strategies significantly outperform the S&P 500 on a risk-adjusted basis. The Sharpe ratio appears to be maximized...
Persistent link: https://www.econbiz.de/10013087345