Factors Affecting Index Funds Performance: The Case of Karafarin Index Fund

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Soltani, Mehrdad | 2021

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 54852 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Ebrahimnejad, Ali; Talebian, Masoud
Abstract:
Index funds are one of the most vital financial institutions providing a wide range of values for different investors. Despite the importance of these funds, not only are index funds recently developed, but they also do not replicate their indices effectively. In this paper, we analyze the portfolio performance of the Karafarin Index Fund as an open-end fund for case study in various frameworks. First of all, the asset allocation and security selection attributions are assessed for capturing the capabilities to choose the suitable security at the right time. In addition, this assessment is done for the industry allocation and security selection attribution in the stock portfolio of the Karafarin Index Fund. No such evidence is found that total asset and industry attributions can explain the existing tracking error. Second, the fund’s costs are scrutinized by the Edelen model, and we find that the average aggregate cost to the stock portfolio value is significantly greater than zero.
Keywords:
Tracking Errors ; Asset Allocation ; Brinson Model ; Edelen Model ; Security Selection

No TOC