Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 86-109 |
| Number of pages | 24 |
| Journal | Journal of Financial Markets |
| Volume | 19 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jun 2014 |
Keywords
- Data snooping bias
- ETF performance
- Exchange-traded fund
- Multiple hypothesis testing
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