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Authors
Advisor(s)
Abstract(s)
A presente dissertação pretende evidenciar o comportamento de 16 Exchange Traded Funds, físicos e sintéticos, cotados na Europa, aplicados à classe dos mercados emergentes, tendo como benchmark o índice MSCI Emerging Markets. O período em análise compreende 7 anos, de 2015 a 2021, tendo sido dividido em dois subperíodos de forma a captar o impacto da crise causada pela pandemia da COVID-19. Com recurso a medidas como os rácios de Sharpe, Treynor e Sortino, a medida de Jensen e o cálculo do tracking error, os resultados permitem aferir que os ETFs apresentam um desempenho reduzido e que a sua precisão de replicação face ao índice de referência é fraca, condição que se agrava durante a pandemia. Comparando o tipo de exposição física com o tipo de exposição sintética, determina-se que esta acarreta mais risco, mas consegue normalmente obter um desempenho superior.
Através da análise aos determinantes do tracking error, com base no modelo de dados em painel de efeitos fixos, conclui-se que das variáveis selecionadas, apenas a idade do fundo e o risco são estatisticamente significativas para qualquer nível de significância e apresentam uma relação positiva com a variável dependente, e o coeficiente beta da variável dummy COVID indica uma associação negativa entre esta e o tracking error.
Este tipo de investimento não constitui uma mais-valia para os investidores, mas aquando da aquisição destes ativos é imprescindível uma análise ao método de replicação dos mesmos.
This dissertation aims to demonstrate the behavior of 16 equity Exchange Traded Funds, physical and synthetic, traded on European exchanges that track the MSCI Emerging Markets Index. The period analyzed comprises 7 years, from 2015 to 2021, having been divided into two subperiods in order to capture the impact of the crisis caused by the COVID-19 pandemic. Using measures such as Sharpe, Treynor and Sortino ratios, Jensen’s alpha and the tracking error calculation, the results allow us to verify that ETFs have a weak performance and that the ETFs accuracy in replicating their benchmark is low, especially during the pandemic crisis. When comparing a physical exposure to a synthetic one it is determined that the latter carries more risk but usually achieves superior performances. When analyzing the tracking error determinants, based on panel data fixed effects model, we conclude that from the selected variables, only fund’s age and risk are statistically significant for any level of significance and show a positive relation with the dependent variable, and the beta coefficient for the dummy variable COVID indicates a negative association between this variable and the tracking error. This kind of investment does not bring added value for investors but when acquiring these assets, an analysis of their replication method is essential.
This dissertation aims to demonstrate the behavior of 16 equity Exchange Traded Funds, physical and synthetic, traded on European exchanges that track the MSCI Emerging Markets Index. The period analyzed comprises 7 years, from 2015 to 2021, having been divided into two subperiods in order to capture the impact of the crisis caused by the COVID-19 pandemic. Using measures such as Sharpe, Treynor and Sortino ratios, Jensen’s alpha and the tracking error calculation, the results allow us to verify that ETFs have a weak performance and that the ETFs accuracy in replicating their benchmark is low, especially during the pandemic crisis. When comparing a physical exposure to a synthetic one it is determined that the latter carries more risk but usually achieves superior performances. When analyzing the tracking error determinants, based on panel data fixed effects model, we conclude that from the selected variables, only fund’s age and risk are statistically significant for any level of significance and show a positive relation with the dependent variable, and the beta coefficient for the dummy variable COVID indicates a negative association between this variable and the tracking error. This kind of investment does not bring added value for investors but when acquiring these assets, an analysis of their replication method is essential.
Description
Mestrado em Análise Financeira
Keywords
COVID-19 Exchange Traded Funds Replicação física Replicação sintética Mercados emergentes Desempenho Physical replication Synthetic replication Emerging markets Performance
Citation
Silva, D. F. G. (2023) Exchange Traded Funds: replicação física e sintética em mercados emergentes. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/15804