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Assessing Tracking Error Of The Municipal Bond Etfs, Maksym Chikin
Assessing Tracking Error Of The Municipal Bond Etfs, Maksym Chikin
Honors Theses
Municipal bond exchange-traded funds (ETFs) provide diversified exposure to state and local government bonds through a single tradable security. They also provide interest that is usually exempt from federal income tax. This thesis examines 31 investment-grade and 3 high-yield municipal bond ETFs from April 2015 to February 2025 and compares them with three passively managed broad-market bond ETFs: BND (investment-grade bonds), SCHR (Treasury bonds), and JNK (high-yield corporate bonds). Using tracking error, volatility, and returns across the pre-COVID, COVID, and post-COVID periods, the results show that municipal bond ETFs—especially high-yield funds—have higher tracking errors, greater volatility, and more variable returns …
Comparing The Risk And Return Characteristics Of Ai Exchange-Traded Funds To Benchmark Stock Market Etfs, Aryan Malhotra
Comparing The Risk And Return Characteristics Of Ai Exchange-Traded Funds To Benchmark Stock Market Etfs, Aryan Malhotra
Honors Theses
Artificial intelligence exchange-traded funds (AI ETFs) have expanded rapidly as investors seek targeted exposure to firms developing or benefiting from AI technologies. This study compares the performance of 50 AI ETFs with two broad-market ETFs, SPY (S&P 500) and RSP (equal-weight S&P 500), from January 2018 to January 2026. AI ETFs exhibit higher expense ratios and strong correlations with both benchmarks, reflecting their concentration in large-cap technology stocks. Over the full sample, AI ETFs generated higher cumulative returns but with substantially greater volatility. Sub-period analysis further decomposes the post-COVID period into pre-ChatGPT (April 2020–November 2022) and post-ChatGPT (December 2022–January 2026) …
Diversification Using International Exchange-Traded Funds, Alese K. Jones
Diversification Using International Exchange-Traded Funds, Alese K. Jones
Honors Theses
Exchange-Traded Funds (ETFs) are diversified portfolios of assets which trade like stocks and track a benchmark index. This manuscript looks at the diversification and return benefits a U.S. investor would receive by investing in Emerging market (EEM) and Total World (DGT) ETFs over the period of June 2003 to July 2019. We use S&P 500 ETF IVV as a proxy for U.S. market. EEM had the highest absolute return but also the highest risk. However, the U.S. ETF IVV had the greatest risk-adjusted return and the lowest tracking error. International ETFs were also highly correlated with the S&P 500. Overall, …
Analysis Of S&P 500 Sector Etfs, John Haire
Analysis Of S&P 500 Sector Etfs, John Haire
Honors Theses
Exchange Traded Funds (ETFs) are a diversified pool of assets that trade on an exchange and track an index. Tracking error is the difference between a portfolio's returns and the benchmark or index it was meant to mimic. Investors want the Exchange Traded Funds (ETFs) to track the benchmark very closely or have the tracking error as low as possible. This paper looks at the tracking errors of different S&P sector ETFs by using the average absolute differences in monthly returns between the ETF and its benchmark index. The results indicate that the Technology and Real Estate sectors have the …