Do ETFs outperform CEFs in fixed income investing?

Abstract

Purpose – For a number of reasons ranging from their more recent introduction to their perceived lesser excitement relative to stock-based peers, there have been few studies of fixed income (mainly bond) exchange-traded funds (ETFs). The purpose of this paper is to fill the void by comparing performance measures of fixed income ETFs to fixed income closed-end funds (CEFs). Design/methodology/approach – This paper examines operating characteristics as well as risk and performance measures of all available fixed income ETFs and CEFs in the USA over the last five and ten years ending on December 31, 2014. Operating characteristics include expense ratios, annual turnover rates, tax cost ratios, and tracking error ratios. Performance measures include average annual returns, risks (measured by standard deviations), and risk-adjusted returns (measured by Sharpe ratios and Sortino ratios). Findings – This study finds material and significant difference in a variety of expenses, return measures, and risk measures. Sharpe and Sortino ratio significance is highly dependent on whether net asset values or market values serve as the dependent variable. ETFs would be the preferred choice of fixed income investors who are presumed to be focussing on market-based return measures. Originality/value – This paper empirically compares operating characteristics as well as risk and performance measures of US fixed income ETFs and fixed income CEFs in the same Morningstar categories over the last five and ten years.

Investment Performance and Tracking Efficiency of Indian Equity Exchange Traded Funds

“…Unlike Sharpe ratio, Sortino Ratio incorporates only the negative variation or downside deviation of periodic returns of the mean as they are unfavourable (Chang et al, 2015 ). Investment risk can be measured using downside risk when the returns of the portfolio are not normally distributed (Alam, 2013 ).…”

Redes neuronales para predecir el comportamiento del conjunto de activos financieros más líquidos del mercado de valores peruano

“…La naturaleza de los fondos cotizados (ETFs) ha sido tratadas en las investigaciones de Madhavan, 2014;Schizas, 2014, Williams, 2014Chang et al, 2015y Jacobsen (2015 como una nueva oportunidad de acceso a mercados a los cuales el inversionista podría eventualmente no tener acceso haciendo énfasis en la naturaleza global de acceso a la inversión para el capitalista. La investigación de Lu, Wang & Zhang (2012) se concentra en el comportamiento de largo plazo de los instrumentos de inversión en la bolsa de valores en particular de los fondos cotizados que permiten acceder a múltiples mercados especializados con mayores oportunidades para los inversionistas.…”