Performance and Risk Analytics of Asian Exchange-Traded Funds

Exchange-traded funds (ETFs) provide low-cost, liquid access to broad equity and fixed-income exposures, including rapidly growing Asian and Asia-focused markets. Yet the academic evidence on Asian ETF portfolio construction remains fragmented, often limited to narrow country samples and centered on mean–variance trade-offs and standard performance statistics, with comparatively less emphasis on downside tail risk and on implementable long-only versus long–short designs under leverage constraints. This study examines the performance and risk characteristics of 29 Asian and Asia-focused ETFs over 2014–2025 and evaluates whether optimization using variance-based and tail-sensitive risk measures improves portfolio outcomes relative to a simple, implementable benchmark. We construct Markowitz mean–variance and conditional value-at-risk (CVaR) efficient frontiers and implement six optimized portfolios at the 95% and 99% tail levels under long-only and long–short configurations with leverage up to 30%. Performance is evaluated relative to an equally weighted Asian ETF benchmark using the Sharpe ratio and tail-sensitive measures, including the Rachev ratio and the stable tail adjusted return (STARR), complemented by fat-tail diagnostics based on the Hill tail-index estimator. The empirical results show that optimization improves efficiency relative to equal weighting in risk-adjusted terms and that moderate leverage can increase returns but typically amplifies volatility, dispersion, and drawdowns. Taken together, the evidence indicates that risk-measure choice materially affects portfolio composition and realized outcomes, with tail-based optimization generally producing more robust allocations than mean–variance approaches when downside risk is a primary concern.

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Publication Details

Journal
Journal of risk and financial management
Published
2026-01-15
DOI
https://doi.org/10.3390/jrfm19010069
Primary Topic
Financial Markets and Investment Strategies
Type
article
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article

Performance and Risk Analytics of Asian Exchange-Traded Funds

Abootaleb Shirvani, Nancy Asare Nyarko, Bhathiya Divelgama, Naa Sackley Dromo Aryee et al.
Journal of risk and financial management
Financial Markets and Investment Strategies
article

Performance and Risk Analytics of Asian Exchange-Traded Funds

Abootaleb Shirvani, Nancy Asare Nyarko, Bhathiya Divelgama, Naa Sackley Dromo Aryee, Svetlozar T. Rachev
article en

Abstract

Exchange-traded funds (ETFs) provide low-cost, liquid access to broad equity and fixed-income exposures, including rapidly growing Asian and Asia-focused markets. Yet the academic evidence on Asian ETF portfolio construction remains fragmented, often limited to narrow country samples and centered on mean–variance trade-offs and standard performance statistics, with comparatively less emphasis on downside tail risk and on implementable long-only versus long–short designs under leverage constraints. This study examines the performance and risk characteristics of 29 Asian and Asia-focused ETFs over 2014–2025 and evaluates whether optimization using variance-based and tail-sensitive risk measures improves portfolio outcomes relative to a simple, implementable benchmark. We construct Markowitz mean–variance and conditional value-at-risk (CVaR) efficient frontiers and implement six optimized portfolios at the 95% and 99% tail levels under long-only and long–short configurations with leverage up to 30%. Performance is evaluated relative to an equally weighted Asian ETF benchmark using the Sharpe ratio and tail-sensitive measures, including the Rachev ratio and the stable tail adjusted return (STARR), complemented by fat-tail diagnostics based on the Hill tail-index estimator. The empirical results show that optimization improves efficiency relative to equal weighting in risk-adjusted terms and that moderate leverage can increase returns but typically amplifies volatility, dispersion, and drawdowns. Taken together, the evidence indicates that risk-measure choice materially affects portfolio composition and realized outcomes, with tail-based optimization generally producing more robust allocations than mean–variance approaches when downside risk is a primary concern.

Journal of risk and financial managementVol. 19(1)
Texas Tech University (US), Kean University (US)
Openalex Percentile: Top 88%
Financial Markets and Investment Strategies
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Performance and Risk Analytics of Asian Exchange-Traded Funds — Abootaleb Shirvani, Nancy Asare Nyarko, et al. · Journal of risk and financial management (2026) | TGRS Research Map | TGRS