A performance analysis of conventional and fundamental exchange traded funds: ETFs and their risk-return characteristics in relation to building institutional investor’s passive portfolio

An exchange traded fund (ETF) is a financial instrument that tracks some predetermined index. Since their initial establishment in 1993, ETFs have grown in importance in the field of passive investing. The main reason for the growth of the ETF industry is that ETFs combine benefits of stock investing and mutual fund investing. Although ETFs resemble mutual funds in many ways, also many differences occur. In addition, ETFs not only differ from mutual funds but also differ among each other. ETFs can be divided into two categories, i.e. market capitalisation ETFs and fundamental (or strategic) ETFs, and further into subcategories depending on their fundament basis. ETFs are a useful tool for diversification especially for a long-term investor. Although the economic importance of ETFs has risen drastically during the past 25 years, the differences and risk-return characteristics of fundamental ETFs have yet been rather unstudied area. In effect, no previous research on market capitalisation and fundamental ETFs was found during the research process. For its part, this thesis seeks to fill this research gap. The studied data consist of 50 market capitalisation ETFs and 50 fundamental ETFs. The fundaments, on which the indices that the fundamental ETFs track, were not limited nor segregated into subsections. The two types of ETFs were studied at an aggregate level as two different research groups. The dataset ranges from June 2006 to December 2014 with 103 monthly observations. The data was gathered using Bloomberg Terminal. The analysis was conducted as an econometric performance analysis. In addition to other econometric measures, the methods that were used in the performance analysis included modified Value-at-Risk, modified Sharpe ratio and Treynor ratio. The results supported the hypothesis that passive market capitalisation ETFs outperform active fundamental ETFs in terms of risk-adjusted returns, though the difference is rather small. Nevertheless, when taking into account the higher overall trading costs of the fundamental ETFs, the underperformance gap widens. According to the research results, market capitalisation ETFs are a recommendable diversification instrument for a long-term investor. In addition to better risk-adjusted returns, passive ETFs are more transparent and the bases of their underlying indices are simpler than those of fundamental ETFs. ETFs are still a young financial innovation and hence data is scarcely available. On future research, it would be valuable to research the differences in risk-adjusted returns also between the subsections of fundamental ETFs.

Celso Furtado, o retorno à polêmica fundamental

Celso Furtado, the return to the basic controversy. A reading of the work of Celso Furtado in its completion opens an enriching view of the interaction between theoretical thinking and the unveiling of Latin-America history. Starting from an appraisal of the pre-Classic and Classic authors, Furtado outlined an approach of surplus theory. That would enable development theory to deal with the unevenly industrialized economies like Brazil. His thorough analysis of development and underdevelopment processes broke away from the initial ECLA experiences to build a planning proposal the uprising country. The French roots of his academic profile helped him to keep an orderly explanation of capital demand that kept him siding with Wicksell against the subjective theory of Schumpeter.

Qualidade do gasto público municipal em ensino fundamental no Brasil

Quality of municipal public spending on primary education in Brazil. The focus of this paper was to analyze the relationship between municipal public education spending and students' academic achievement, evaluated according to IDEB (Index of Basic Education Development) of 2005. The following databases were used: School Census 2005, Brazil Exam (mathematics evaluation applied to students from fourth grade of elementary school) and Finance of Brazil (FINBRA). A multilevel model was estimated and the results suggest that simply increasing the percentage of municipal expenditures on education or the percentage of spending on primary education in relation to municipal expenditures on education do not automatically guarantee improvements in the quality of education.

A verdade como um problema fundamental em Kant

O principal ponto de desacordo sobre a abordagem kantiana do problema da verdade é se ela pode ser compreendida nos moldes da filosofia contemporânea como coerentista ou como correspondentista. Primando por uma consideração sistemática da argumentação de Kant em confronto com a literatura existente sobre o problema, este trabalho defende a segunda alternativa. Sustenta-se a tese de que a definição da verdade como a "concordância do conhecimento com o seu objeto" é cogente em todo o percurso do pensamento kantiano e que, nessa acepção, a verdade culmina por ser abordada não a partir de uma teoria estabelecida, mas como um problema cuja solução não pode ser dada nos limites da filosofia crítico-transcendental. Pondera-se, primeiramente, a literatura que situa Kant quer como coerentista quer como correspondentista e sistematiza-se a segunda alternativa em quatro grupos: a leitura ontológica, a leitura isomórfica, a leitura "consequencialista" e a leitura regulativa. Num segundo momento, em atenção ao período pré-crítico, argumenta-se que a alternativa coerentista deixa de se confirmar já nessa mesma época e que, na década de 1750, Kant descarta uma suposta teoria correspondentista isomórfica. Num último momento, considera-se a argumentação crítica e defende-se que a mesma concebe a verdade como um problema fundamental que não cabe ao tratamento de uma teoria correspondentista concebida de modo "consequencialista" ou regulativo.

Icewine fermentation by Saccharomyces cervisiae : fundamental stress responses and comparative fermentation dynamics

Please consult the paper edition of this thesis to read. It is available on the 5th Floor of the Library at Call Number: Z 9999.5 B63 P54 2007

La satisfacción del empleado elemento fundamental en el nivel de productividad de una empresa por Erika Hernández Jaramillo

Tesis (Maestría en Ciencias de la Administración con Especialidad en Producción y Calidad) U.A.N.L.

El concepto de idea fundamental y su aplicación en la propuesta curricular para el curso de Física para Ingenieros I, de la Facultad de Ingeniería Civil de la Universidad Autónoma de Nuevo León por Víctor Manuel Aguilera Reyes.

Tesis (Maestría en Enseñanza de las Ciencias con Especialidad en Física) U.A.N.L.

Teoría del derecho electoral como conjunto de bloques normativos que configuran y garantizan el derecho fundamental de voto

Tesis (Maestro en Derecho Público) U.A.N.L.

La capacitación como presupuesto fundamental en el desarrollo organizacional.

Tesis (Maestría en Psicología Laboral y Organizacional) UANL, 2014.

Código Fundamental de los Estados Unidos Mexicanos

UANL

Desengaños mysticos a las almas detenidas ó engañadas en el camino de la perfeccion : discurso proemial, y fundamental de toda la obra en que se descubren las principales causas y razones por que siendo tantas las almas que tratan de oracion mental, son tan pocas las que llegan a ser perfectas.

UANL

Filosofía fundamental

UANL

Mistica fundamental de Christo Señor Nuestro, explicada por el glorioso y beato padre, San Juan de la Cruz, doctor mistico... y el religioso perfecto, conforme a los cien avisos y sentencias espirituales, quele mismo beato padre dexò escritos para religiosos y religiosas

UANL