Exchange-traded funds as an alternative investment option

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2019
Outros Autores: Cardoso, Pedro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25507
Resumo: We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined 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 PPA Índice PSI20, and the equity mutual fund BPI Portugal.
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spelling Exchange-traded funds as an alternative investment optionExchange-traded funds como uma opção alternativa de investimentoExchange-Traded FundMutual FundPerformance EvaluationTracking ErrorPrice EfficiencyExchange-Traded FundFundos de investimentoReplicação de benchmarkIneficiência de preçoWe conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined 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 PPA Índice PSI20, and the equity mutual fund BPI Portugal.Foi conduzida uma análise a Exchange-traded Funds (ETFs), Fundos de Investimento mobiliário de Índice, Fundos de Investimento mobiliário de ações e respetivo índice de referência (benchmark) no período 2010-2015 para a indústria de fundos portuguesa. Para o período 2010-2017 foi testada a ineficiência de preço para os ETFs (existência de desvios entre os preços de negociação e o valor intrínseco da unidade de participação) e a sua persistência. Concluiu-se que o ETF analisado nem sempre supera os fundos de investimento mobiliários de índice na replicação das variações do Índice PSI 20, não obstante exibir uma melhor capacidade de replicação das variações negativas do benchmark e uma melhor capacidade de alisar os desvios da replicação. Em relação à eficiência de preços dos ETFs e à sua persistência, o estudo revela que os preços do ETF examinado apresentam um valor médio inferior (embora baixo) face seu valor intrínseco, com evidência de persistência de desvios de pelo menos dois dias. Os organismos de investimento analisados com maior capacidade de acompanhar o Índice PSI 20 foram o PSI20 (ETF), o BBVA PPA Índice PSI20 e o fundo de investimento mobiliário de acções BPI Portugal.Faculdade de Economia - Universidade de CoimbraRepositório da Universidade de LisboaAfonso, AntónioCardoso, Pedro2022-09-15T11:01:31Z20192019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25507engAfonso, António and Pedro Cardoso. (2019). "Exchange-traded funds as an alternative investment option” .Notas Económicas, nº 48 : 7-37info: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:RCAAP2023-03-06T14:55:04ZPortal AgregadorONG
dc.title.none.fl_str_mv Exchange-traded funds as an alternative investment option
Exchange-traded funds como uma opção alternativa de investimento
title Exchange-traded funds as an alternative investment option
spellingShingle Exchange-traded funds as an alternative investment option
Afonso, António
Exchange-Traded Fund
Mutual Fund
Performance Evaluation
Tracking Error
Price Efficiency
Exchange-Traded Fund
Fundos de investimento
Replicação de benchmark
Ineficiência de preço
title_short Exchange-traded funds as an alternative investment option
title_full Exchange-traded funds as an alternative investment option
title_fullStr Exchange-traded funds as an alternative investment option
title_full_unstemmed Exchange-traded funds as an alternative investment option
title_sort Exchange-traded funds as an alternative investment option
author Afonso, António
author_facet Afonso, António
Cardoso, Pedro
author_role author
author2 Cardoso, Pedro
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Cardoso, Pedro
dc.subject.por.fl_str_mv Exchange-Traded Fund
Mutual Fund
Performance Evaluation
Tracking Error
Price Efficiency
Exchange-Traded Fund
Fundos de investimento
Replicação de benchmark
Ineficiência de preço
topic Exchange-Traded Fund
Mutual Fund
Performance Evaluation
Tracking Error
Price Efficiency
Exchange-Traded Fund
Fundos de investimento
Replicação de benchmark
Ineficiência de preço
description We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined 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 PPA Índice PSI20, and the equity mutual fund BPI Portugal.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-01-01T00:00:00Z
2022-09-15T11:01:31Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/25507
url http://hdl.handle.net/10400.5/25507
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Pedro Cardoso. (2019). "Exchange-traded funds as an alternative investment option” .Notas Económicas, nº 48 : 7-37
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.publisher.none.fl_str_mv Faculdade de Economia - Universidade de Coimbra
publisher.none.fl_str_mv Faculdade de Economia - Universidade de Coimbra
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
repository.mail.fl_str_mv
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