Κατεύθυνση Χρηματοοικονομική
Library of the Faculty of Economics and of the Faculty of Business Administration

2018-10-10

2018

Paraskevas Panagiotis

Μυλωνάς Νικόλαος, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ

Ομολογιακά διαπραγματεύσιμα αμοιβαία κεφάλαια

Greek

Bond exchange traded funds (ETFs)

This thesis presents and analyzes a subcategory of a relatively new investment product – of the Exchange Traded Funds (ETFs) – which is the Bond ETFs. In particular, we focus on those funds investing in government bonds of the United States of America. Research is being done on how successfully these fixed income ETFs approach their portfolios’ subjects. Bond ETFs were selected under the criterion of various durations of subject bonds.
Important ratios are calculated, like: Expense ratio, tracking error, Jensen's α, Beta, Sharpe ratio.
The theoretical background is being quoted, starting with a historic review of the reasons creating ETFs, after that we present the advantages of ETFs over the great rival – the Mutual Funds. A detailed comparison is followed and we quote plenty characteristics about the nature, utility and the advantages of Bond ETFs. Then, we set our assumptions into testing and we proceed with an econometric analysis. Our aim is to detect how accurately Bond ETFs track their Bond Indices.

Social, Political and Economic sciences

Bond Exchange Traded Funds, ETFs, Net Asset Value, Arbitrage, Regression, Efficiency Ratios, Sharpe Ratio

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https://pergamos.lib.uoa.gr/uoa/dl/object/2806577