Estrategias de inversión con exchange traded funds (etfs)

Abstract

This thesis consists of the compendium of three research articles whose common objective is to analyze different investment opportunities using Exchange Traded Funds, ETFs. The first study aims to analyze the benefits for US investors of combining their domestic ETF with ETFs which track other developed markets. We evaluate the out-of-sample performance of six strategies using the returns and volatility forecasts from a VAR-ADCC-GARCH approach where returns standardized by range-based volatility estimators were used as endogenous variables. The initial outperformances of some strategies using classic returns were significantly improved when returns were standardized by the Garman-Klass precise volatility estimator. The second study focuses on Socially Responsible Investment (SRI) which has acquired a global dimension beyond moral values, which includes sustainability, risk management and corporate social responsibility (CSR) as the main elements. Our results show that it is possible for investors to obtain benefits from investing in ETFs which track companies focused on contributing to the Sustainable Development Goals (SDGs) and clear improvements in portfolio performance compared to the initial stock-bond portfolio. Finally, the third study focuses on the profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration.