Creating custom ETFs and exploring performance versus peers and the iBoxx index

The global financial crisis and following bond buyback actions and quantitative easing announcements by the ECB have led to strong demand for fixed income investments, particularly in Europe. This has increased demand for both active and passive fixed income funds. In this thesis, I review the Markit EUR Corporate Index, iShares (a passive index tracker fund) and several actively managed European investment grade-focused commercial bond funds. I propose new custom bond funds based on quantitative strategies using the bond constituents of Markit iBoxx index. I then compare the performance of these custom bond funds with the benchmark Markit EUR Corporate index, the passive tracker fund and the active bond funds. I highlight the strength of simple strategies which often perform at least as well as the index and the active bond funds.

Department dc:contributor.department

Sloan School of Management.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2016

Author dc:creator

• Khattar, Vineet

Advisor dc:contributor.advisor

• Deborah Lucas.

• Sloan School of Management.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/104521

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/104521