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dc.contributor.authorTetlie, Jørgen
dc.contributor.authorHamnnes, Henrik Armand
dc.date.accessioned2022-12-15T09:48:56Z
dc.date.available2022-12-15T09:48:56Z
dc.date.issued2022
dc.identifier.urihttps://hdl.handle.net/11250/3037941
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022en_US
dc.description.abstractIn this thesis, we study the performance of factor ETFs. We estimate risk-adjusted returns (alpha) using renowned asset pricing models to capture different sources of systematic risk. Moreover, we study whether factor ETFs add value to different types of investors using different performance metrics. In addition, we study how style characteristics of factor ETFs can be exploited to diversify investors’ portfolios and improve their risk-return tradeoff. We find that, on average, factor ETFs do not generate significant risk-adjusted returns. Furthermore, we find that most funds do not add value to different types of investors, apart from growth and momentum factor ETFs. We conclude that the average investor obtains a better risk-return tradeoff by holding the market portfolio. However, certain factors like growth and momentum can be exploited to improve the overall risk-adjusted performance.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinans financeen_US
dc.titleAre Factor ETFs a Valuable Investment?en_US
dc.typeMaster thesisen_US


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