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Creating custom ETFs and exploring performance versus peers and the iBoxx index

Author(s)
Khattar, Vineet
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Alternative title
Creating custom exchange-traded funds and exploring performance versus peers and the iBoxx index
Other Contributors
Sloan School of Management.
Advisor
Deborah Lucas.
Terms of use
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
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Abstract
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.
Description
Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2016.
 
Cataloged from PDF version of thesis.
 
Includes bibliographical references.
 
Date issued
2016
URI
http://hdl.handle.net/1721.1/104521
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.

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