Authors: Gerasimos G. Rompotis
Addresses: National and Kapodistrian University of Athens, 25 Ypsilantou str, Peristeri, Athens, Greece
Abstract: This study employs a sample of 37 active and passive ETF pairs, which invest in common stocks, to assess their performance and risk up to December 31, 2016. Several return metrics are computed such as absolute, buy-and-hold returns and risk-adjusted returns. Moreover, a cross-sectional regression analysis is applied, which seeks to identify the factors that may influence the performance of ETFs. Finally, the ability of managers to time the market is examined. The findings are similar to those in the previous literature. In particular, the active ETFs are inferior to passive ETFs in terms of performance and overall risk also failing to deliver any material excess-market return. In addition, the active ETF managers are lacking in superior market timing skills. Finally, the performance of ETFs is found to be related to expenses and volume in a negative fashion while a positive relation is revealed between performance and the assets invested in ETFs.
Keywords: exchange traded funds; ETFs; active management; performance; market timing; expenses.
International Journal of Banking, Accounting and Finance, 2020 Vol.11 No.1, pp.95 - 135
Received: 27 Jul 2017
Accepted: 08 Jun 2018
Published online: 13 Jan 2020 *