Date of Award
Spring 5-2019
Document Type
Honors Thesis
Degree Name
Bachelor of Science
Department
Finance
Advisor/Committee Chair
Ying Wang, Ph.D.
Abstract
This paper provides empirical evidence on the relation between portfolio turnover and fund performance in the exchange traded fund market using a sample of 70 actively managed fixed income funds from 2008-2017. Based on portfolio analysis, the results show that there is a significant positive relationship between turnover and Fama and French’s (1993) five factor alpha. Further panel regression analysis, however, shows no significant relationship between turnover and performance after controlling for various fund characteristics. Overall, the results show no robust effect of turnover on the performance of fixed income ETFs.
Recommended Citation
Geleta, Philip A., "Does Turnover Matter for the Performance of Fixed Income ETFs?" (2019). Financial Analyst. 14.
https://scholarsarchive.library.albany.edu/honorscollege_finance/14