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Flow–performance sensitivity of active ETFs

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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

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