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Exchange traded funds (ETFs) are collective investment vehicles that have known a growing interest over the past years. Yet, only a few studies were dedicated to the measurement of their performance. In this thesis, I examine one of the most widely used performance measure for passive management, the information ratio. I analyze its weaknesses and assumptions, and justify the need for a new performance measure that will be applicable to ETFs. The information ratio does not work well when the tracking difference is negative and it does not take into account the magnitude of the tracking error (Roncalli, 2014). Moreover, it assumes that the excess returns are normally distributed. 
I select a sample of 30 ETFs and show that their excess returns are not normally distributed. Therefore, I develop a new performance measure that takes into account the skewness and the kurtosis of the distribution. Moreover, I consider the work of Hübner (2005) to take into account the relative performance of the benchmark. 
I apply this new performance measure on the ETFs from the sample and analyze the results. As expected, the ranking obtained seems to show a positive correlation between performances of ETFs tracking the same benchmark. Moreover, a rolling window analysis highlights the stability of the measure when using windows of different widths. 
In order to assess the quality of the measure, I first test its robustness in the measurement of performance persistence. I show that, using well known statistical tests, the measure is relatively robust in measuring performance persistence since the results indicate persistence for the sample. The same tests are then performed on the information ratio. Since the results also show persistence of the sample, it means that the new performance measure is good at identifying persistent winners when the sample is composed of funds that are persistent in their performance. 
However, the results of the tests of persistence indicate slightly better results for the information ratio. I explore two hypotheses to explain this result. Firstly, it can be due to the characteristics of the ETFs from the sample. Secondly, it can be explained by performance manipulations on the information ratio.

ETF --- Performance measurement --- Information Ratio --- Tracking Error --- Value-at-Risk --- Persistence --- Sciences économiques & de gestion > Finance

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Les ETF devenant de plus en plus populaires, nous observons de nombreux débats quant à la capacité des ETF synthétiques de mieux répliquer l'indice, comparé aux ETF physiques, ainsi que le niveau de risque général des ETF. En étudiant la la tracking error ainsi que différents indicateurs de risques, nous n'avons pas pu conclure que les ETF obligataires synthétiques répliquaient mieux leurs indices que les ETF obligataires physiques, en période normale comme en période de crise causée par le COVID-19. As ETFs become more and more popular, we are seeing a lot of debate about the ability of synthetic ETFs to better replicate the index, compared to physical ETFs, as well as the overall risk level of ETFs. By studying the tracking error as well as different risk indicators, we could not conclude that synthetic bond ETFs replicate their indices better than physical bond ETFs, both in normal times and in times of crisis caused by COVID-19.

ETF --- Exchange-traded funds --- synthetic --- physical --- Replication methods --- Risks --- méthodes de réplication --- Sciences économiques & de gestion > Finance

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The purpose of this dissertation is to show to what extent the Solvency II regulation has impacted the insurers in Belgium by looking at their costs and net worth, but also at the impact Solvency II had on the real performance of insurers portfolios and their ability to remain attractive for the insured. The study is designed to reflect how affected the returns of insurers are by management fees in comparison with a market portfolio of similarly risky characteristics, composed of ETFs. Some major finds are that the insurers performance are way below those of the market and that the government tax incentives are too small in order to make a significant difference. Also, Belgium stands out as the country in western Europe in which returns of funds are the most affected by fees. As solutions, measures should be taken by the regulators in order to make the impact of fees more easily comprehensible by pension products subscribers. Also, an answer which would benefit both the insured, the insurers and the economy as a whole is presented; through the use of infrastructure investments.

Solvency II --- Pension --- Retirement --- Insurance companies --- Long-term investment --- Alternative investment --- Fees impact --- Government incentives --- Tax reliefs --- Infrastructure investments --- Economic growth --- Performance comparison --- Risk comparison --- branch 21 --- branch 23 --- guaranteed returns --- long-term savings products --- pension funds --- real returns --- real performance --- management fees of pension products --- ETF --- ETF portfolio --- Sciences économiques & de gestion > Finance