Measuring the relative performance of ETFs

Han, Qiao

dc.contributor.advisor	Boabang, Francis
dc.coverage.spatial	United States
dc.creator	Han, Qiao
dc.date.accessioned	2013-09-11T17:59:35Z
dc.date.available	2013-09-11T17:59:35Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25157
dc.description	1 online resource (iv, 28 p.) : ill.
dc.description	Includes abstract.
dc.description	Includes bibliographical references (p. 26-28).
dc.description.abstract	This paper measures the relative performance of ETFs in the US market. The historical data on four ETFs and four Mutual Funds are collected through 2011 to 2013. To examine the relative performance of ETFs compared to the Mutual Funds, this paper employs the methodology of Jensen’s Alpha and Tracking Error. According to the regression, Jensen’s Alphas of the ETFs and Mutual Funds are very close, while the Tracking Error of the ETFs is larger than that of the Mutual Funds. The results of the empirical study show that ETFs do not outperform the Mutual Funds. However, ETFs have several advantages over the Mutual Funds, such as on the aspect of management cost.	en_CA
dc.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2013-09-11T17:59:35Z No. of bitstreams: 1 han_qiao_mrp_2013.pdf: 717963 bytes, checksum: 0cc65fb1dc80d88a3418436a942e7917 (MD5)	en
dc.description.provenance	Made available in DSpace on 2013-09-11T17:59:35Z (GMT). No. of bitstreams: 1 han_qiao_mrp_2013.pdf: 717963 bytes, checksum: 0cc65fb1dc80d88a3418436a942e7917 (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	Measuring the relative performance of ETFs	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)