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The Nordic Exchange-traded funds performance
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2019 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The paper focuses on the performance of the Nordic ETFs presented in Sweden, Norway and Finland, particularly, compares leveraged and equity ETFs. This study evaluates a sample of 12 Nordic ETFs during the period 2014-2019 using Tracking Error, Sortino ratio, Net Asset Value (NAV) premium/discount and the Jensen's alpha approach as the performance measures. The study finds that the Nordic ETFs, on average, underperformed their benchmarks, however, when separating the ETFs into equity and leveraged ETFs, the study reveals that the equity ETFs outperformed their underlying indices. NAV testing notes that most of the time the ETFs are not traded at their NAV. The tracking error magnitude suggests that the Nordic ETFs do not completely replicate their benchmarks. In addition, the leveraged ETFs with the inverse replication strategy have not only the highest tracking error but also the negative Sortino ratios. Moreover, no one ETF could beat the market having either the negative or statistically insignificant alphas. Notably, that the negative and statistically significant alphas mostly belong to the leveraged ETFs.

Place, publisher, year, edition, pages
2019. , p. 26
Keywords [en]
Performance, EFT
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hv:diva-14261Local ID: EXF800OAI: oai:DiVA.org:hv-14261DiVA, id: diva2:1339744
Subject / course
Business administration
Educational program
Magister i finans
Supervisors
Examiners
Available from: 2019-08-20 Created: 2019-07-31 Last updated: 2019-08-20Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • de-DE
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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