Measuring the performance of leveraged and non-leveraged ETF'S
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F18%3A43914387" target="_blank" >RIV/62156489:43110/18:43914387 - isvavai.cz</a>
Výsledek na webu
<a href="https://doi.org/10.11118/actaun201866051357" target="_blank" >https://doi.org/10.11118/actaun201866051357</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201866051357" target="_blank" >10.11118/actaun201866051357</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Measuring the performance of leveraged and non-leveraged ETF'S
Popis výsledku v původním jazyce
This paper deals with exchange traded funds (ETFs) and valuation it's performance according to selected indicators. For empirical analysis 10 leveraged and non-leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010 - 2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and indicators like alfa (Jensen Alfa) and beta. Results are commented in a broader context in summary and discussion chapter as well as recommendations. Measured by classical Sharpe ratio, both groups bring to investor pretty same results, but e.q. by Information ratio by non-leveraged ETF shows very clearly the importance of work by ETF portfolio manager. Only a few leveraged ETF bring to the investor adequate ratio between profit and level of risk.
Název v anglickém jazyce
Measuring the performance of leveraged and non-leveraged ETF'S
Popis výsledku anglicky
This paper deals with exchange traded funds (ETFs) and valuation it's performance according to selected indicators. For empirical analysis 10 leveraged and non-leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010 - 2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and indicators like alfa (Jensen Alfa) and beta. Results are commented in a broader context in summary and discussion chapter as well as recommendations. Measured by classical Sharpe ratio, both groups bring to investor pretty same results, but e.q. by Information ratio by non-leveraged ETF shows very clearly the importance of work by ETF portfolio manager. Only a few leveraged ETF bring to the investor adequate ratio between profit and level of risk.
Klasifikace
Druh
J<sub>SC</sub> - Článek v periodiku v databázi SCOPUS
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
—
Svazek periodika
66
Číslo periodika v rámci svazku
5
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
11
Strana od-do
1357-1367
Kód UT WoS článku
—
EID výsledku v databázi Scopus
2-s2.0-85056283272