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Instructions
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| Current Issue |
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Volume 1, Issue:1
(December 2009) Published Online: December 21th 2009
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Abstract | Full
Text
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Title:
Diversification, Performance, and Performance Persistence in
Exchange-Traded Funds
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Author(s):
Frederick Adjei
Southeast Missouri State University, USA
Send correspondance to Frederick Adjei, Economics and Finance
Department, Southeast Missouri State University, One University
Plaza MS 5845, Cape Girardeau, MO 63701
Telephone: (573)
651-2089. E-mail: fadjei@semo.edu.
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History:
Received 4 November 2009
Accepted
9 December 2009
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Abstract:
We examine the degree of diversification, performance, and
performance persistence in ETFs. We find that about 38% of
an average ETF’s total risk is diversifiable risk and
the medium blend ETFs are the least diversified. We also find
no significant differential performance between ETFs and the
S&P 500 index. Additionally, we find weak evidence of
performance persistence on both the half-yearly and the yearly
horizons.
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| Keywords:
Diversification; performance persistence in ETFs. |
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