IDEAS home Printed from https://ideas.repec.org/b/ris/abemcp/023456.html

Performance of diversified emerging markets exchange traded funds and search for positive Alpha

Author

Listed:
  • D K Malhotra

    (Thomas Jefferson University, USA)

  • Gianna Napoleon

    (Thomas Jefferson University, USA)

Abstract

This study examines the performance of Diversified Emerging Markets Exchange Traded Funds (DEMETFs) during various market conditions between December 2002 and August 2022. Our findings indicate that DEMETFs can provide diversification opportunities to US investors because the average monthly returns of DEMETFs have a low correlation with US equities. Regarding absolute and risk-adjusted performance, as measured by average monthly returns, the DEMETFs outperformed global equities but slightly underperformed US equities. During the 2007-2008 economic crisis, DEMETFs outperformed US and global equities. Our research also found that the ETFs generated negative Alpha, though it was not statistically significant. We find some evidence of market timing on the part of portfolio managers, especially before July 2007.

Suggested Citation

  • D K Malhotra & Gianna Napoleon, 2023. "Performance of diversified emerging markets exchange traded funds and search for positive Alpha," ABEM Conference Proceedings, Academy of Business and Emerging Markets (ABEM), Canada, number 023456, July.
    • Handle: RePEc:ris:abemcp:023456
    as

    Download full text from publisher

    File URL: https://www.abem.ca/wp-content/uploads/2023/07/abem-2023-proceedings.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:abemcp:023456. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Satyendra Singh (email available below). General contact details of provider: https://www.abem.ca/conference .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.