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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.
The assets under management in the financial product Exchange Traded Funds has been steadily rising the past years. The purpose of this bachelor thesis is to identify if Exchange Traded Funds are a suitable asset class for private investors and how this asset class can be applied to special investment strategies. Particular emphasis is placed on criteria of private investors to choose their capital investment and an analysis of ETFs in terms of performance, cost, tracking error and risk. A survey on 356 German custodians revealed the most important criteria for capital investment as capital security, comprehensibility and profitability. The 84 analyzed ETFs showed differences in terms of performance, cost, tracking error and risk depending on the geographic region of the index the ETFs track. ETFs tracking indices of industrialized nations perform more steadily, are less volatile, cost less and track their indices more precisely than ETFs tracking developing or emerging countries’ markets. Due to the fact that ETFs are diversified in itself and established as special funds, they are secure investment products. They are easily understandable and can have a steady return. Those results indicate that ETFs are a suitable asset class for private investors.