Abstract
The objective of this study is to compare the risk and return performance of exchange-traded funds (ETFs) available for foreign markets and closed-end country funds. We utilize 29 closed-end country funds (CEFs) for 14 countries over the sample period from April 1996 to December 2001. The performance proxies are mean returns and risk-adjusted returns. Results indicate that ETFs exhibit higher mean returns and higher Sharpe ratios than foreign closed-end funds, while CEFs exhibit negative alphas. This indicates that a passive investment strategy utilizing ETFs may be superior to an active investment strategy using CEFs. The findings reported here offer some insight on the relative advantages of each type of investment. Specifically, there may be some potential for additional types of ETFs that offer higher risk-adjusted returns than closed-end funds. Such ETFs may be able to offer higher risk-adjusted returns as part of an internationally diversified portfolio.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of International Financial Markets, Institutions and Money
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
