An empirical analysis of passively managed exchange traded funds and mutual funds: the analysis of index replicating funds from North America, Europe and the world

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bachelor_Lehtonen_Tapani_2017.pdf (1.17 MB)

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School of Business | Bachelor's thesis
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Date

2017

Department

Mikkelin kampus

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Mcode

Degree programme

(Mikkeli) Bachelor’s Program in International Business

Language

en

Pages

39

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Abstract

Objectives The main objectives of this study were to discover, whether exchange traded funds differ from mutual funds for which both employ passive replication strategies and to examine if mutual funds have incurred a decrease in monthly cash flows due to the emergence of exchange traded funds. Summary Exchange traded funds and mutual funds are similar investment vehicles. Due to the existence of passively managed funds of both types, the question arises, whether they provide similar returns with similar risk. The literature explains the differences of both fund types and finally the empirical analysis aims to discover whether there are significant differences in what they provide. Additionally, due to the proliferation of exchange traded funds all over the developed capital markets, one would think that due to their similarity with mutual funds, they would eventually replace them. Conclusions No statistical evidence of any differences in exchange traded fund and mutual fund returns, risk, risk-adjusted returns or index tracking. Mutual funds have not incurred lower cash flows on a cumulative basis. Exchange traded funds and mutual funds can possibly coexist because both have their own users depending on the investment horizon, tax structure or the monetary situation of the investor among other factors.

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Thesis advisor

Volkman, David

Keywords

exchange traded fund, mutual fund, index, empirical analysis, regression, comparison, cash flows

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https://urn.fi/URN:NBN:fi:aalto-201705114541

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[kand] Kauppakorkeakoulu / BIZ (Open Access)