What drives the returns of actively and passively managed ETFs? Analysis of relative performance and factor exposure

• Autor(a) principal: Jesus, Luís Miguel Teodoro de
• 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/10362/140575
• topic: Asset pricing; Asset management; Exchange-traded funds; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This master's thesis investigates the performance of Exchange-Traded Funds (ETFs) by conducting a comparative analysis between actively and passively managed ETFs. The research carried out throughout the paper has the purpose of testing the ability of ETFs to generate abnormal returns and understand what might motivate such performance. Performance-wise, it was concluded that, in general, actively managed ETFs fail to outperform passively managed ETFs and when risk is considered, they even performed worse than semi-active ETFs on a risk-to-reward basis The results were consistent with past literature on this topic supporting the inability of active ETFs to generate abnormal excess returns.