TY - JOUR
T1 - Outperformance in exchange-traded fund pricing deviations
T2 - Generalized control of data snooping bias
AU - Kearney, Fearghal
AU - Cummins, Mark
AU - Murphy, Finbarr
PY - 2014/6
Y1 - 2014/6
N2 - An investigation into exchange-traded fund (ETF) outperformance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark.
AB - An investigation into exchange-traded fund (ETF) outperformance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark.
KW - Data snooping bias
KW - ETF performance
KW - Exchange-traded fund
KW - Multiple hypothesis testing
UR - http://www.scopus.com/inward/record.url?scp=84901945609&partnerID=8YFLogxK
U2 - 10.1016/j.finmar.2013.08.003
DO - 10.1016/j.finmar.2013.08.003
M3 - Article
AN - SCOPUS:84901945609
SN - 1386-4181
VL - 19
SP - 86
EP - 109
JO - Journal of Financial Markets
JF - Journal of Financial Markets
IS - 1
ER -