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- COVID-19 impact; exchange-traded funds; investment strategy; options trading; performance analysis; risk-return trade-off (1)
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Articles 1 - 6 of 6
Full-Text Articles in Portfolio and Security Analysis
Unpacking Alpha In Innovation-Driven Etfs: A Comparative Study Of Artificial Intelligence And Blockchain Funds, Davinder K. Malhotra
Unpacking Alpha In Innovation-Driven Etfs: A Comparative Study Of Artificial Intelligence And Blockchain Funds, Davinder K. Malhotra
School of Business Faculty Papers
This paper evaluates the performance and portfolio role of Artificial Intelligence (AI) and Blockchain exchange-traded funds (ETFs) based on monthly returns from 2010 to 2025. The findings show that both AI and Blockchain ETFs generate positive alpha and high standalone returns but also display considerable drawdown risk. Their weak correlations with each other and with broad indices highlight diversification benefits, particularly when combined with U.S. benchmarks. Portfolio optimization reveals that Global Minimum Variance (GMV) and Tangency portfolios ascribe lower weights to these ETFs, while Risk Parity portfolios have a more balanced exposure, helping to diversify risks. Efficient frontier analysis highlights …
The Cannabis Conundrum: Persistent Negative Alphas And Portfolio Risks, Davinder K. Malhotra, Sheetal Gupta
The Cannabis Conundrum: Persistent Negative Alphas And Portfolio Risks, Davinder K. Malhotra, Sheetal Gupta
School of Business Faculty Papers
This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data from January 2015 to December 2024. Risk-adjusted performance is assessed using the Sharpe, Sortino, and Omega ratios and compared to the Russell 3000 Index and the FTSE All-World ex-US Index. In addition, we estimate both unconditional and conditional Fama–French five-factor model enhanced by momentum. The findings indicate that cannabis stocks persistently underperform U.S. and global benchmarks in both absolute and risk-adjusted metrics. Downside risk is elevated because cannabis portfolios …
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone
School of Business Faculty Papers
This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period and the subsequent post-vaccine era. Data center ETFs have not provided better risk-adjusted returns even though they are often advertised as access points to the digital economy. Digital infrastructure demand increased through the pandemic but did not improve the performance of these funds which stayed weak across both traditional and conditional multi-factor asset pricing models. These ETFs struggle with asset selection and market timing proficiency, …
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits, Davinder K. Malhotra, Raymond Poteau
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits, Davinder K. Malhotra, Raymond Poteau
School of Business Faculty Papers
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that examine REITs in aggregate, this study isolates Hospitality REITs to explore their unique cyclical and macroeconomic sensitivities. This study looks at the risk-adjusted performance of Hospitality Real Estate Investment Trusts (REITs) in relation to more general REIT indexes and the S&P 500 Index. The study reveals that monthly returns of Hospitality REITs increasingly move in tandem with the stock markets during financial crises, which reduces their historical …
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise, Elroi Hadad, Davinder K. Malhotra, Robert Mcleod
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise, Elroi Hadad, Davinder K. Malhotra, Robert Mcleod
School of Business Faculty Papers
This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S. options ETFs relative to U.S. and global equities. Using Carhart's four-factor model, we find that U.S. options ETFs yield lower monthly returns than those of U.S. equities but outperform global equities, suggesting potential diversification benefits. While U.S. options ETFs underperformed during the COVID-19 pandemic, they demonstrated resilience thereafter, offering higher rewards for downside risk. We also find that managerial expertise may …
Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra
Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra
School of Business Faculty Papers
This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market …