Conventional mutual index funds versus exchange-traded funds

Agapova, Anna

doi:10.1016/j.finmar.2010.10.005

Cited by 154 publications

(75 citation statements)

References 15 publications

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“…Over the past two decades the number of ETFs has grown from zero to over 2,000 funds, with aggregate assets under management in excess of $1,000 billion (Blackrock, 2010). Studies that have examined the performance of ETFs that track U.S. equity indexes conclude that ETF performance is predictable to a high degree of accuracy: ETFs generally manage to stay close to their benchmark indexes with low levels of tracking error, and there seems to be a one-to-one negative relation between fund returns and their expenses (see, e.g., Elton, Gruber and Busse, 2004;Poterba and Shoven, 2002;Gastineau, 2004;and Agapova, 2011). The latter result is extended by Blitz, Huij and Swinkels (2011), who show that passive equity funds which invest outside their country of incorporation suffer from an additional drag on performance from missed dividend income, as a result of withholding taxes imposed by foreign tax authorities.…”

Section: Introductionmentioning

confidence: 99%

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Blitz¹,

Huij

2011

SSRN Journal

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We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns.At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques. Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds AbstractWe examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns.At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques.2

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Section: Introductionmentioning

confidence: 99%

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Blitz¹,

Huij

2011

SSRN Journal

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“…In the last few years, investments in exchange traded funds (ETFs) have gained significant popularity among the financial investors (Agapova, 2011;Charupat & Miu, 2013;Rompotis, 2009a;Sharifzadeh & Hojat, 2012). Charupat & Miu (2013) documented that by the end of 2011, the combined assets under management of all ETFs traded in the different stock exchanges around the word were $1.52 trillion.…”

Section: Introduce the Problemmentioning

confidence: 99%

“…Similar to ETFs, index mutual funds also track industry-based indexes. Index mutual funds were first introduced to the financial investors in 1972 (Agapova, 2011). According to this author, index mutual funds had more than $1 trillion of assets under management by the end of 2008 (Agapova, 2011).…”

Section: Introduce the Problemmentioning

confidence: 99%

“…Index mutual funds were first introduced to the financial investors in 1972 (Agapova, 2011). According to this author, index mutual funds had more than $1 trillion of assets under management by the end of 2008 (Agapova, 2011). Index mutual funds can be considered as substitutes for index ETFs (Agapova, 2011, Sharifzadeh & Hojat, 2012.…”

Section: Introduce the Problemmentioning

confidence: 99%

“…According to this author, index mutual funds had more than $1 trillion of assets under management by the end of 2008 (Agapova, 2011). Index mutual funds can be considered as substitutes for index ETFs (Agapova, 2011, Sharifzadeh & Hojat, 2012. However, tax benefits are significant for investing in ETFs, because there are infrequent turnovers of stocks that comprise the portfolios of ETFs.…”

Section: Introduce the Problemmentioning

confidence: 99%

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A Quantitative Comparison of the Financial Returns of Index ETFs and Matched Index Mutual Funds

Nandy¹

2014

IJBM

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Investments in exchange traded funds (ETFs) have gained significant popularity among the financial investors. ETFs track industry-based indexes. Index mutual funds also track industry-based indexes. The financial investors do not have a documented analytical method to compare the financial returns of index ETFs and matched index funds. We have performed quantitative comparisons of the financial returns of index ETFs and matched index mutual funds with the use of nonparametric Kruskal-Wallis hypotheses tests, assuming that the financial returns of index ETFs and matched index mutual funds are independent. We have tested the null hypotheses that the medians of the distributions of the Sharpe ratios and the risk-adjusted buy and hold returns of the S&P 500 index, large cap index, mid cap index, small cap growth index, REIT index, and total bond market index ETFs are as the same as the medians of the distributions of the Sharpe ratios and the risk-adjusted buy and hold returns of the matched S&P 500 index, large cap index, mid cap index, small cap growth index, REIT index, and total bond market index mutual funds. The time periods of comparison have been from the inception dates of ETFs till the end of 2013. The findings from this research work suggest that we do not reject the null hypotheses that the distributions of the Sharpe ratios and the risk-adjusted buy and hold returns of index ETFs and the distributions of the Sharpe ratios and the risk-adjusted buy and hold returns of matched index mutual funds have the same medians during the time periods that we have tested.

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Portfolio selection for individual passive investing

Puelz

Hahn

Carvalho

2019

Appl Stoch Models Bus & Ind

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This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem by adapting recent advances in posterior summarization. A Bayesian decision‐theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.

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Conventional mutual index funds versus exchange-traded funds

Cited by 154 publications

References 15 publications

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

A Quantitative Comparison of the Financial Returns of Index ETFs and Matched Index Mutual Funds

Portfolio selection for individual passive investing

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