Publicação
Flow–performance sensitivity of active ETFs
| Resumo: | This thesis examines how investors in actively managed Exchange–Traded Funds (Active ETFs) respond to past performance. Using a panel of equity, fixed income, and allocation Active ETFs from Morningstar, the study analyzes monthly fund flows and tests for nonlinear flow– performance sensitivity. Unlike the convex relationship documented for mutual funds, the results reveal a concave flow–performance relationship in Active ETFs: investors penalize underperformance more strongly than they reward outperformance. Additional evidence shows that higher volatility and larger fund size are associated with lower inflows, while fees and fund age play no systematic role. These findings highlight the role of fund structure in shaping investor behavior |
|---|---|
| Autores principais: | Rabovskaa, Daniela |
| Assunto: | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| Ano: | 2026 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868984278842343424 |
|---|---|
| author | Rabovskaa, Daniela |
| author_facet | Rabovskaa, Daniela |
| author_role | author |
| contributor_name_str_mv | Wilke, Felix RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Rabovskaa, Daniela\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Wilke, Felix RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Rabovskaa, Daniela |
| datacite.date.Accepted.fl_str_mv | 2026-02-26T00:00:00Z |
| datacite.date.available.fl_str_mv | 2026-05-13T09:40:56Z |
| datacite.date.embargoed.fl_str_mv | 2026-05-13T09:40:56Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| datacite.titles.title.fl_str_mv | Flow–performance sensitivity of active ETFs |
| dc.contributor.none.fl_str_mv | Wilke, Felix RUN |
| dc.creator.none.fl_str_mv | Rabovskaa, Daniela |
| dc.date.Accepted.fl_str_mv | 2026-02-26T00:00:00Z |
| dc.date.available.fl_str_mv | 2026-05-13T09:40:56Z |
| dc.date.embargoed.fl_str_mv | 2026-05-13T09:40:56Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/203039 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.cclincense.fl_str_mv | http://creativecommons.org/licenses/by/4.0/ |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| dc.title.fl_str_mv | Flow–performance sensitivity of active ETFs |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This thesis examines how investors in actively managed Exchange–Traded Funds (Active ETFs) respond to past performance. Using a panel of equity, fixed income, and allocation Active ETFs from Morningstar, the study analyzes monthly fund flows and tests for nonlinear flow– performance sensitivity. Unlike the convex relationship documented for mutual funds, the results reveal a concave flow–performance relationship in Active ETFs: investors penalize underperformance more strongly than they reward outperformance. Additional evidence shows that higher volatility and larger fund size are associated with lower inflows, while fees and fund age play no systematic role. These findings highlight the role of fund structure in shaping investor behavior |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/1c38c03f-3941-4b07-8d1e-e5af475933d1/download |
| id | run_05e6d050e2da044b34a9fb78ddfaef69 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/203039 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/203039 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Rabovskaa, Daniela |
| publishDate | 2026 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engengThis thesis examines how investors in actively managed Exchange–Traded Funds (Active ETFs) respond to past performance. Using a panel of equity, fixed income, and allocation Active ETFs from Morningstar, the study analyzes monthly fund flows and tests for nonlinear flow– performance sensitivity. Unlike the convex relationship documented for mutual funds, the results reveal a concave flow–performance relationship in Active ETFs: investors penalize underperformance more strongly than they reward outperformance. Additional evidence shows that higher volatility and larger fund size are associated with lower inflows, while fees and fund age play no systematic role. These findings highlight the role of fund structure in shaping investor behaviorapplication/pdfengFlow–performance sensitivity of active ETFsRabovskaa, DanielaWilke, FelixHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2042402472026-05-13T09:40:56Z2026-02-262026-01-232026-02-26T00:00:00ZHandlehttp://hdl.handle.net/10362/203039http://purl.org/coar/access_right/c_abf2open accessActive ETFsMutual fundsPerformanceFlow–performance sensitivity896046 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesis2026-02-26http://creativecommons.org/licenses/by/4.0/http://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/1c38c03f-3941-4b07-8d1e-e5af475933d1/download |
| spellingShingle | Flow–performance sensitivity of active ETFs Rabovskaa, Daniela Active ETFs Mutual funds Performance Flow–performance sensitivity |
| status | SINGLETON |
| subject.fl_str_mv | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| title | Flow–performance sensitivity of active ETFs |
| title_full | Flow–performance sensitivity of active ETFs |
| title_fullStr | Flow–performance sensitivity of active ETFs |
| title_full_unstemmed | Flow–performance sensitivity of active ETFs |
| title_short | Flow–performance sensitivity of active ETFs |
| title_sort | Flow–performance sensitivity of active ETFs |
| topic | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| topic_facet | Active ETFs Mutual funds Performance Flow–performance sensitivity |
| url | http://hdl.handle.net/10362/203039 |
| visible | 1 |