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- Title
Evaluating S&P 500 Sector ETFs Using Risk-Adjusted Performance Measures.
- Authors
Arugaslan, Onur; Samant, Ajay
- Abstract
This study examines the nature and performance of S&P 500 Sector Exchange Traded Funds (ETFs) with a view to providing empirical documentation which can be used as input in decision making by stock market investors. The performance evaluation techniques used in the study utilize state of the art statistical measures grounded in modern portfolio theory. Returns are adjusted for the degree of total risk and systematic risk inherent in each ETF, and the securities are then ranked on the basis of risk-adjusted performance. A relatively new evaluation metric, the Modigliani measure, is used for ranking these ETFs. The study also demonstrates how financial leverage can be used to lower the risk of a sector ETF and maintain a desired rate of return. The results of the study should be of interest to business academicians, investors, bankers, and investment fund managers.
- Publication
Journal of Finance, Accounting & Management, 2014, Vol 5, Issue 1, p48
- ISSN
2153-2818
- Publication type
Academic Journal