Creating custom ETFs and exploring performance versus peers and the iBoxx index
Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2016.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2016
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| Online Access: | http://hdl.handle.net/1721.1/104521 |
| _version_ | 1826191943329120256 |
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| author | Khattar, Vineet |
| author2 | Deborah Lucas. |
| author_facet | Deborah Lucas. Khattar, Vineet |
| author_sort | Khattar, Vineet |
| collection | MIT |
| description | Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2016. |
| first_indexed | 2024-09-23T09:03:45Z |
| format | Thesis |
| id | mit-1721.1/104521 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T09:03:45Z |
| publishDate | 2016 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1045212019-04-10T20:30:58Z Creating custom ETFs and exploring performance versus peers and the iBoxx index Creating custom exchange-traded funds and exploring performance versus peers and the iBoxx index Khattar, Vineet Deborah Lucas. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2016. Cataloged from PDF version of thesis. Includes bibliographical references. The global financial crisis and following bond buyback actions and quantitative easing announcements by the ECB have led to strong demand for fixed income investments, particularly in Europe. This has increased demand for both active and passive fixed income funds. In this thesis, I review the Markit EUR Corporate Index, iShares (a passive index tracker fund) and several actively managed European investment grade-focused commercial bond funds. I propose new custom bond funds based on quantitative strategies using the bond constituents of Markit iBoxx index. I then compare the performance of these custom bond funds with the benchmark Markit EUR Corporate index, the passive tracker fund and the active bond funds. I highlight the strength of simple strategies which often perform at least as well as the index and the active bond funds. by Vineet Khattar. S.M. in Management Studies 2016-09-30T19:33:38Z 2016-09-30T19:33:38Z 2016 2016 Thesis http://hdl.handle.net/1721.1/104521 958296660 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 116 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Khattar, Vineet Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title | Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title_full | Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title_fullStr | Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title_full_unstemmed | Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title_short | Creating custom ETFs and exploring performance versus peers and the iBoxx index |
| title_sort | creating custom etfs and exploring performance versus peers and the iboxx index |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/104521 |
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