Performance of diversified emerging markets exchange traded funds and search for positive Alpha

D K Malhotra and Gianna Napoleon
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D K Malhotra: Thomas Jefferson University, USA
Gianna Napoleon: Thomas Jefferson University, USA

in ABEM Conference Proceedings from Academy of Business and Emerging Markets (ABEM), Canada, currently edited by Satyendra Singh

Abstract: This study examines the performance of Diversified Emerging Markets Exchange Traded Funds (DEMETFs) during various market conditions between December 2002 and August 2022. Our findings indicate that DEMETFs can provide diversification opportunities to US investors because the average monthly returns of DEMETFs have a low correlation with US equities. Regarding absolute and risk-adjusted performance, as measured by average monthly returns, the DEMETFs outperformed global equities but slightly underperformed US equities. During the 2007-2008 economic crisis, DEMETFs outperformed US and global equities. Our research also found that the ETFs generated negative Alpha, though it was not statistically significant. We find some evidence of market timing on the part of portfolio managers, especially before July 2007.

Keywords: Performance; diversified; emerging markets; exchange; funds; Alpha (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:abemcp:023456

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