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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

Actively Managed ETF versus Actively Managed Mutual Funds

Sherrill, Eli - 2017

Purpose: The purpose of this paper is to study if actively managed exchange-traded funds (AMETFs) and actively manager mutual funds (AMMFs) are complements or substitutes. It also tests if there are tax or liquidity clientele effects. Design/methodology/approach: The study investigates the...

Persistent link: https://www.econbiz.de/10012947483

Are Exchange-Traded Funds Harvesting Factor Premiums?

Blitz, David - 2017

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of US equity ETFs and finds that,...

Persistent link: https://www.econbiz.de/10012963707

Exchange-Traded Funds as an Alternative Investment Option : A Case Study

Afonso, António - 2018

(existence of deviations between prices and the Net Asset Value) and persistence. We find that ETF do not always outperform index … persistence, the study reveals that the analyzed ETF is priced at a low average discount with evidence of deviations persistence … of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA …

Persistent link: https://www.econbiz.de/10012931487

Are Exchange-Traded Funds Harvesting Factor Premiums?

Blitz, David - 2018

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum, and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of U.S. equity ETFs and finds that,...

Persistent link: https://www.econbiz.de/10012933051

Market Neutral Diversification for Individual European Investors : A Risk-Return Improving Strategy Under the Sand and an Appealing Niche for the ETF Industry

Pizzutilo, Fabio - 2013

interesting niche in the European exchange-traded fund (ETF) industry …

Persistent link: https://www.econbiz.de/10013086058

Benchmarking Benchmarks : Measuring Characteristic Selectivity Using Portfolio Holdings Data

Fong, Kingsley Y. L. - 2008

This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel et …

Persistent link: https://www.econbiz.de/10012773607

The Impact of Benchmark Choice on US Mutual Fund Benchmark-Adjusted Performance and Ranking

B. Mateus, Irina - 2017

This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives...

Persistent link: https://www.econbiz.de/10012950444

Hidden Gem or Fool's Gold : can passive ESG ETFs outperform the benchmarks?

Dumitrescu, Ariadna; Järvinen, Jesse; Zakriya, Mohammed - In: International review of financial analysis 86 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248926

Investigating Long-Term Short Pairing Strategies for Leveraged Exchange-Traded Funds Using Machine Learning Techniques

Khadivar, Hamed; Nikbakht, Elaheh; Walker, Thomas - 2023

This study examines the profitability of short-selling strategies of different portfolios with varying combinations of bull and bear Leveraged Exchange-Traded Funds (LETFs). We find that while short-selling the combination of both bull and bear LETFs does not yield significant positive returns...

Persistent link: https://www.econbiz.de/10014355425