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Exchange-Traded Funds (ETF)

Student: Bakhtiyarova Aysel

Faculty: HSE Banking Institute

Educational Programme: Financial Analyst (Master)

Year of Graduation: 2019

This research work is devoted to the study of the added value of active real-time –exchange-traded funds using comparative analysis. The study was conducted by comparing actively managed ETFs, passively managed ETFs, and mutual active funds selected by more assets under management (AUM) .The purpose of the master's thesis is to analyze the performance of investment instruments in terms of return on risk adjustment for 5 years, from April 2014 to April 2019, as well as to answer the question of the study, whether actively managed ETFs add value to investors or not. 1. And for the comparative analysis of the studies were calculated management fee, expense ratio, volatility, excess return, risk-adjusted return (Sharpe, Jensen's alpha, Trey nor, Information ratio, sortino ratios). The results of the comparative performance analysis were clear. He showed that actively managed ETFs compared to passively managed ETFs add higher value to investors in both categories, fixed income and capital. But in comparison with mutual active funds, the scenario is different. Actively managed ETFs have shown that the fixed income category is superior to the mutual partner, while from the equity category it is slightly behind the mutual active Fund. In General, the thesis of the study proves that actively managed exchange-traded funds add value to investors with cheaper expense ratios, higher risk adjustment returns. Keywords: exchange traded funds, actively managed funds, passively managed index funds, mutual active funds, comparative analysis, active ETF managers,Outperformance.

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