Quantitative performance analysis of ARK Invest ETFs (ARKK, ARKW, ARKG, ARKQ, ARKF) using multi-factor models, rolling window estimation, and risk-adjusted return metrics.
Evaluated 5 actively managed ARK ETFs plus one self-selected active ETF and one passive benchmark ETF using a comprehensive set of performance metrics derived from CRSP mutual fund data and Fama-French factor returns.
- Carhart 4-Factor Alpha (annualized)
- Fama-French 5-Factor Alpha
- Realized Alpha (actual excess return minus factor-predicted return)
- Sharpe Ratio
- Appraisal Ratio
- R-squared (factor model fit)
- Rolling 3-year window estimates for all metrics
- Data: CRSP mutual fund returns + Ken French Data Library factors
- Period: 2000–2025
- Rolling window: 36-month estimation
- Factor models: Carhart 4-factor, FF5 + Momentum
Python pandas numpy statsmodels matplotlib Google Colab WRDS/CRSP
Virginia Commonwealth University - MS Business (Financial Analytics) - FIRE 691