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Performanceanalyse von aktiv und passiv gemanagten Investmentfonds mit dem Anlageschwerpunkt BRIC-Staaten

  • The objective of this paper is to examine the return and risk performance of 155 equity mutual funds that provide exposure to the BRIC-Countries and eleven corresponding exchange-tradedfunds from January 2009 until December 2014. The performance proxies are mean returns and risk-adjusted returns using Sharpe Ratio and Jensen’s Alpha. In addition to that, Tracking Errors for the exchange-traded-funds have been calculated. Further benchmarks for comparison are the following indices of Morgan Stanley Inc.: MSCI World, MSCI Emerging Markets, MSCI BRIC and the corresponding MSCI Country Index. The results show that all funds, equity mutual funds and exchange-traded-funds, could realize positive mean returns, whereas the returns of the exchange-traded-funds are lower than those of the equity mutual funds. Nevertheless, none of the funds could realize a Sharpe Ratio higher than one, which would implicate that the return has compensated for the risk. The results of Jensen’s Alpha suggests that 80% of the equity mutual funds were able to add value, as indicated by their positive alpha. Only two out of eleven exchange-traded-funds could generate a positive alpha. This result is controversial to the results of other studies, where only some or none of the examined funds have been able to add value.

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Author:Felizitas Maria Kienzler
Advisor:Uwe Hack
Document Type:Bachelor Thesis
Year of Completion:2015
Year of first Publication:2015
Release Date:2015/11/26
Tag:BRIC-Staaten; Exchange Traded Funds; Investmentfonds
Degree Program:IBW - Internationale Betriebswirtschaft
Functional area:Finance & Accounting