Differences in performance between physical and synthetic exchange-traded funds

Detalhes bibliográficos
Autor(a) principal: Marto, Francisco Manuel Simões
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142021
Resumo: This work studies the main differences in performance between traditional and synthetic exchange traded funds, based on a sample of twenty-two ETFs. The tests performed throughout this study demonstrate the higher ability of synthetic replicated funds to track the underlying index. Additionally, despite the effects of COVID-19 pandemic in ETFs performance, funds that follow a synthetic replication strategy keep tracking better than physical funds, and, moreover, present higher return values than their own benchmark.
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spelling Differences in performance between physical and synthetic exchange-traded fundsAsset managementExchange-traded fundsEtfs performanceTracking errorSyntheticPhysicalDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work studies the main differences in performance between traditional and synthetic exchange traded funds, based on a sample of twenty-two ETFs. The tests performed throughout this study demonstrate the higher ability of synthetic replicated funds to track the underlying index. Additionally, despite the effects of COVID-19 pandemic in ETFs performance, funds that follow a synthetic replication strategy keep tracking better than physical funds, and, moreover, present higher return values than their own benchmark.Ottonello, GiorgioRUNMarto, Francisco Manuel Simões2022-07-18T15:11:10Z2022-01-122021-12-172022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142021TID:202997588enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-22T18:03:31Zoai:run.unl.pt:10362/142021Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:03:31Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Differences in performance between physical and synthetic exchange-traded funds
title Differences in performance between physical and synthetic exchange-traded funds
spellingShingle Differences in performance between physical and synthetic exchange-traded funds
Marto, Francisco Manuel Simões
Asset management
Exchange-traded funds
Etfs performance
Tracking error
Synthetic
Physical
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Differences in performance between physical and synthetic exchange-traded funds
title_full Differences in performance between physical and synthetic exchange-traded funds
title_fullStr Differences in performance between physical and synthetic exchange-traded funds
title_full_unstemmed Differences in performance between physical and synthetic exchange-traded funds
title_sort Differences in performance between physical and synthetic exchange-traded funds
author Marto, Francisco Manuel Simões
author_facet Marto, Francisco Manuel Simões
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
RUN
dc.contributor.author.fl_str_mv Marto, Francisco Manuel Simões
dc.subject.por.fl_str_mv Asset management
Exchange-traded funds
Etfs performance
Tracking error
Synthetic
Physical
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Asset management
Exchange-traded funds
Etfs performance
Tracking error
Synthetic
Physical
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work studies the main differences in performance between traditional and synthetic exchange traded funds, based on a sample of twenty-two ETFs. The tests performed throughout this study demonstrate the higher ability of synthetic replicated funds to track the underlying index. Additionally, despite the effects of COVID-19 pandemic in ETFs performance, funds that follow a synthetic replication strategy keep tracking better than physical funds, and, moreover, present higher return values than their own benchmark.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-07-18T15:11:10Z
2022-01-12
2022-01-12T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142021
TID:202997588
url http://hdl.handle.net/10362/142021
identifier_str_mv TID:202997588
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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