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The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David - 2010
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...
Persistent link: https://www.econbiz.de/10013152102
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The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David - 2013
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...
Persistent link: https://www.econbiz.de/10013093863
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Bond mutual funds vs. bond exchange traded funds : evaluation of risk adjusted performance
Stankevičiene, Jelena; Petroniene, Ieva - In: Administrative Sciences : open access journal 9 (2019) 2/31, pp. 1-14
Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the … analysis of actively managed bond funds and passive bond ETFs in the context of multiple criteria. The research of risk …-adjusted performance of a sampled group of bond funds and ETFs using the TOPSIS multi-criteria decision-making method revealed that …
Persistent link: https://www.econbiz.de/10012140325
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ETF Momentum
Li, Frank Weikai - 2020
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...
Persistent link: https://www.econbiz.de/10012847346
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Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds
Black, Keith - 2019
Mutual fund managers may implement a variety of trading strategies using exchange-traded equity and equity index options. These strategies predominately include covered calls, where call options are sold against long positions, and put writes, where put options are sold against cash collateral....
Persistent link: https://www.econbiz.de/10012870105
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Abnormal Returns in Gold and Silver Exchange Traded Funds
Naylor, Michael - 2019
Exchange Traded Funds (ETFs) are one of the fastest growing areas of investing and have significantly changed investor behavior, yet there is limited academic research on ETFs, with minimal on commodity based ETFs. This paper is the first to examine whether abnormal returns are available for...
Persistent link: https://www.econbiz.de/10012905875
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How Smart Are Smart Beta Exchange-Traded Funds? Analysis of Relative Performance and Factor Exposure
Glushkov, Denys - 2016
Using a sample of 164 smart beta exchange-traded funds (ETFs) during 2003–2014, I analyze whether these funds beat their benchmarks by tilting their portfolios to various factors. I also test if smart beta funds harvest factor premiums more efficiently than their traditional cap-weighted...
Persistent link: https://www.econbiz.de/10012980287
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How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Exposure
Glushkov, Denys - 2015
Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to well-known factors such as size, value, momentum, quality, beta and volatility. I then test if Smart Beta funds...
Persistent link: https://www.econbiz.de/10013024323
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Vanguard’s ETFs Returned a Substantial Proportion of Their Expenses to Investors
Tower, Edward - 2023
How much of a difference do smart trading strategies, stock choice, and lending securities to short sellers reduce the net expenses of Vanguard’s index ETFs below their reported expense ratios? Using Vanguard’s reported returns for their index ETFs and their benchmarks I discover the return...
Persistent link: https://www.econbiz.de/10014255869
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Impact of Financial Innovation on Fund Performance : Hedging with Industry ETFs
Atilgan, Yigit; Demirtas, K. Ozgur; Gunaydin, A. Doruk; … - 2023
Extant research provides evidence for financial innovation’s contribution to market efficiency by documenting that hedge funds which bet on positive earnings surprises manage their sector risk by shorting industry exchange-traded funds (ETFs). We add to this literature by considering a...
Persistent link: https://www.econbiz.de/10014254476