Bond Mutual Funds vs. Bond Exchange Traded Funds: Evaluation of Risk Adjusted Performance

Jelena Stankevičienė and Ieva Petronienė
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Jelena Stankevičienė: Department of Financial Engineering, Vilnius Gediminas Technical University, LT-10223 Vilnius, Lithuania
Ieva Petronienė: Department of Financial Engineering, Vilnius Gediminas Technical University, LT-10223 Vilnius, Lithuania

Administrative Sciences, 2019, vol. 9, issue 2, 1-14

Abstract: Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the need to find a divide between these two comparatively similar types of instrument. This paper provides a comparative analysis of actively managed bond funds and passive bond ETFs in the context of multiple criteria. The research of risk-adjusted performance of a sampled group of bond funds and ETFs using the TOPSIS multi-criteria decision-making method revealed that actively managed bond funds have a modest advantage over passive bond ETFs. Moreover, the final findings indicate the funds’ performance dependability on portfolio composition by fixed income sector.

Keywords: exchange traded funds (ETF); risk; performance; bonds; TOPSIS (search for similar items in EconPapers)
JEL-codes: L M M0 M1 M10 M11 M12 M14 M15 M16 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jadmsc:v:9:y:2019:i:2:p:31-:d:219319

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