Skip navigation
Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp018c97kq510
Title: False Discoveries in Exchange-Traded Fund Performances: Identifying ETFs that outperform the market
Authors: Weng, Qizhao
Advisors: Fan, Jianqing
Department: Operations Research and Financial Engineering
Class Year: 2013
Abstract: Compared to the traditional mutual funds, an exchange-traded fund (ETF) is very similar, yet different in its nature as an investment fund traded on stock exchanges, much like stocks. In this paper, we will follow an existing metric that precisely separates funds into (1) underperforming, (2) zero-alpha, and (3) outperforming the market, and apply a new methodology based on principal factor approximation, which successfully subtracts the common dependence and weakens significantly the correlation structure, to deal with any arbitrary covariance dependence in cross-fund estimated alphas. There will not be direct comparison for the two methods, but we will exhibit the results we have identified from both methods, and try to identify the ETFs that truly exhibit significant alphas.
Extent: 99 pages
URI: http://arks.princeton.edu/ark:/88435/dsp018c97kq510
Access Restrictions: Walk-in Access. This thesis can only be viewed on computer terminals at the Mudd Manuscript Library.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

Files in This Item:
File SizeFormat 
Weng Qizhao final thesis.pdf6.41 MBAdobe PDF    Request a copy


Items in Dataspace are protected by copyright, with all rights reserved, unless otherwise indicated.