Traditional and thematic ETFs: an empirical analysis of performance and risk factor exposures in US markets
Lalloni, Giulio (A.A. 2024/2025) Traditional and thematic ETFs: an empirical analysis of performance and risk factor exposures in US markets. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 86. [Master's Degree Thesis]
|
PDF (Full text)
Download (2MB) | Preview |
Abstract/Index
Market context: 2020-2024. Traditional and thematic ETFs: evolution and literature. Historical overview of the ETF market. Traditional ETFs. Thematic ETFs. Differences between traditional and thematic ETFs. Data, methodology and empirical framework. Data sources, sample design. Descriptive statistics. Monthly aggregation and fama French. Diagnostic tests and robustness considerations. Tracking error and benchmark deviation. Covariance and correlation analysis. Pooled regression. Drawdown and recovery metrics. Performance and risk dynamics of traditional ETFs. Quantitative analysis of traditional ETFs. Rolling Sharpe ratio and volatility dynamics. Fama French factor regression. Performance and risk dynamics of thematic ETFs. Quantitative analysis of thematic ETFs. Rolling Sharpe and volatility. Fama French factor regressions. Structural differences and cross sectional evidence. Comparative summary of traditional and thematic ETFs. Tracking error and benchmark deviation. Covariance and correlation structure across ETF groups. Correlation between ETF groups and representative asset classes. Pooled regression analysis: alpha and beta shifts between traditional and thematic ETFs. Hidden sources of risk in thematic ETFs. Liquidity mismatch between illiquid underlying assets and the ETF structure. Valuation fragility and hype cycle risk. Investor herding and the role of retail flows. High concentration and limited diversification. Regulatory and policy uncertainty. Event driven risks and sensitivity to narrative cycles.
References
Bibliografia: pp. 83-86.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Vitale, Paolo |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Jun 2026 14:16 |
| Last Modified: | 16 Jun 2026 14:16 |
| URI: | https://tesi.luiss.it/id/eprint/46178 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
