Diversified Portfolio ETFs: Performance Analysis & Optimizing the Return to Risk Ratio

α
Rajnish Aggarwal
Rajnish Aggarwal MBA Finance
α Panjab University Panjab University

Send Message

To: Author

Diversified Portfolio ETFs: Performance Analysis & Optimizing the Return to Risk Ratio

Article Fingerprint

ReserarchID

6I093

Diversified Portfolio ETFs: Performance Analysis & Optimizing the Return to Risk Ratio Banner

AI TAKEAWAY

Connecting with the Eternal Ground
  • English
  • Afrikaans
  • Albanian
  • Amharic
  • Arabic
  • Armenian
  • Azerbaijani
  • Basque
  • Belarusian
  • Bengali
  • Bosnian
  • Bulgarian
  • Catalan
  • Cebuano
  • Chichewa
  • Chinese (Simplified)
  • Chinese (Traditional)
  • Corsican
  • Croatian
  • Czech
  • Danish
  • Dutch
  • Esperanto
  • Estonian
  • Filipino
  • Finnish
  • French
  • Frisian
  • Galician
  • Georgian
  • German
  • Greek
  • Gujarati
  • Haitian Creole
  • Hausa
  • Hawaiian
  • Hebrew
  • Hindi
  • Hmong
  • Hungarian
  • Icelandic
  • Igbo
  • Indonesian
  • Irish
  • Italian
  • Japanese
  • Javanese
  • Kannada
  • Kazakh
  • Khmer
  • Korean
  • Kurdish (Kurmanji)
  • Kyrgyz
  • Lao
  • Latin
  • Latvian
  • Lithuanian
  • Luxembourgish
  • Macedonian
  • Malagasy
  • Malay
  • Malayalam
  • Maltese
  • Maori
  • Marathi
  • Mongolian
  • Myanmar (Burmese)
  • Nepali
  • Norwegian
  • Pashto
  • Persian
  • Polish
  • Portuguese
  • Punjabi
  • Romanian
  • Russian
  • Samoan
  • Scots Gaelic
  • Serbian
  • Sesotho
  • Shona
  • Sindhi
  • Sinhala
  • Slovak
  • Slovenian
  • Somali
  • Spanish
  • Sundanese
  • Swahili
  • Swedish
  • Tajik
  • Tamil
  • Telugu
  • Thai
  • Turkish
  • Ukrainian
  • Urdu
  • Uzbek
  • Vietnamese
  • Welsh
  • Xhosa
  • Yiddish
  • Yoruba
  • Zulu

Abstract

The research study investigated the performance of eight Diversified Portfolio ETFs relative to market. For the purpose of evaluation four moments i.e. mean, standard deviation, skewness, and kurtosis were examined and thereafter the yearly as well as overall three yearly Sharpe and Treynor ratios of the Diversified Portfolio ETFs and S&P 500 index were compared. Regression analysis was also done to study the relationship of Diversified Portfolio ETFs with the S&P 500 index and also to calculate the coefficient of determination. The Study also used Asset allocation optimization model to maximize the Return to risk ratio of Diversified Portfolio ETFs. The study depicted that none of the Diversified Portfolio ETFs had higher three year average returns than that of the market index. The Three yearly Sharpe and Treynor ratios also indicated that only few ETFs outperformed the market. It was seen that the coefficient of determination was high when ETFs were regressed with the S&P 500 index which indicated that the maximum variation in the movement of ETFs was accounted for by the market and the ETFs were highly correlated with the S&P 500 during the last three years. The results also implied that if the investors want to invest in Diversified Portfolio ETFs then return to risk ratio will be maximized when he has invested the majority of his investments in iShares S&P Moderate Allocation fund and S&P Conservative Allocation Profile in last three years.

References

5 Cites in Article
  1. Jay Ritter (1988). The Buying and Selling Behavior of Individual Investors at the Turn of the Year.
  2. M Poterba,John James,Shoven (2002). Exchange Traded Funds: A New Investment Option for Taxable Investors.
  3. L Gastineau,Gary (2001). Exchange-Traded Funds: An Introduction.
  4. Reena Aggarwal (2012). The Growth of Global ETFs and Regulatory Challenges.
  5. M Mazumder,Ting-Heng Imtiaz,Edward Chu,Larry Miller,Prather (2006). International Dayof-the-Week Effects: An Empirical Examination of iShares.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Rajnish Aggarwal. 1970. \u201cDiversified Portfolio ETFs: Performance Analysis & Optimizing the Return to Risk Ratio\u201d. Global Journal of Management and Business Research - A: Administration & Management GJMBR-A Volume 12 (GJMBR Volume 12 Issue A8): .

Download Citation

Issue Cover
GJMBR Volume 12 Issue A8
Pg. 75- 80
Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords
Version of record

v1.2

Issue date

Language
en
Experiance in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

Article Matrices
Total Views: 20504
Total Downloads: 10849
2026 Trends
Related Research

Published Article

The research study investigated the performance of eight Diversified Portfolio ETFs relative to market. For the purpose of evaluation four moments i.e. mean, standard deviation, skewness, and kurtosis were examined and thereafter the yearly as well as overall three yearly Sharpe and Treynor ratios of the Diversified Portfolio ETFs and S&P 500 index were compared. Regression analysis was also done to study the relationship of Diversified Portfolio ETFs with the S&P 500 index and also to calculate the coefficient of determination. The Study also used Asset allocation optimization model to maximize the Return to risk ratio of Diversified Portfolio ETFs. The study depicted that none of the Diversified Portfolio ETFs had higher three year average returns than that of the market index. The Three yearly Sharpe and Treynor ratios also indicated that only few ETFs outperformed the market. It was seen that the coefficient of determination was high when ETFs were regressed with the S&P 500 index which indicated that the maximum variation in the movement of ETFs was accounted for by the market and the ETFs were highly correlated with the S&P 500 during the last three years. The results also implied that if the investors want to invest in Diversified Portfolio ETFs then return to risk ratio will be maximized when he has invested the majority of his investments in iShares S&P Moderate Allocation fund and S&P Conservative Allocation Profile in last three years.

Our website is actively being updated, and changes may occur frequently. Please clear your browser cache if needed. For feedback or error reporting, please email [email protected]

Request Access

Please fill out the form below to request access to this research paper. Your request will be reviewed by the editorial or author team.
X

Quote and Order Details

Contact Person

Invoice Address

Notes or Comments

This is the heading

Lorem ipsum dolor sit amet, consectetur adipiscing elit. Ut elit tellus, luctus nec ullamcorper mattis, pulvinar dapibus leo.

High-quality academic research articles on global topics and journals.

Diversified Portfolio ETFs: Performance Analysis & Optimizing the Return to Risk Ratio

Rajnish Aggarwal
Rajnish Aggarwal Panjab University

Research Journals