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Browsing by Author "Santos, Ana Filipa Costa dos"

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  • Exchange traded funds: uma análise do desempenho de rastreamento e persistência
    Publication . Santos, Ana Filipa Costa dos; Mota, Carlos Filipe Magalhães Bastos da
    This study assesses the tracking performance and persistence of a set of Exchange Traded Funds (ETF) created to track a benchmark equity index. Starting from a selected sample of 11 international ETFs, it analyzes performance and performance persistence, tracking error and its persistence in the period between 2013 and 2020. The methodology consisted of calculating performance evaluation measures such as logarithmic profitability, standard deviation, tracking error, excess return and a set of indicators that includes Sharpe, Treynor, Sortino and Jensen's alpha ratios. Cross-sectional regressions are also performed to assess the persistence of performance and tracking error. Overall, the results suggest that most ETFs underperform their benchmark. Evidence shows that Jensen's ratio observes many negative and statistically significant alphas in most cases. The estimates of the Sharpe measure and the Treynor and Sortino ratios confirm an underperformance under the benchmark. Only in two of the eleven ETF funds analyzed did the performance surpass the respective benchmark. Evidence of performance persistence in the gross return of ETFs is found only between 2019 and 2020, but also in the context of the use of ratios, in several pairs of years. The analyzed ETFs present tracking errors in almost all periods, positive and significant beta coefficients showing temporal persistence. The magnitude of the tracking error appears to be low, although the t test indicates that this difference is statistically significant. The two funds that replicate the American indices have lower tracking error, with the opposite occurring in the ETF that tracks the Chinese stock market. Tracking accuracy tended to change over the years with no definite trend in replication discrepancies.
    2021-11-19Master thesis Open access Show more