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Exchange-Traded Funds vs. Investment Trusts: A Comparison of Performance

23 Pages Posted: 9 Oct 2010  

Adam Turner

affiliation not provided to SSRN

Date Written: April 19, 2010


This paper aims to compare the performance of UK Investment Trusts against a relevant ETF. Monthly returns for 13 Investment Trusts and 5 ETFs covering 5 different regions have been utilised to calculate both unadjusted and risk-adjusted returns, allowing for a comparison between active and passive portfolio management strategies. The results indicate that there is variation across the 5 regions, with some Investment Trusts exhibiting higher mean returns and risk-adjusted returns than the ETF to which they’ve been compared, whilst others exhibit a lower comparative performance. Additionally, the Fama French Three-Factor model was implemented on Investment Trusts and ETFs from the UK and USA for the period April 2002 to December 2008. The purpose of this was to investigate which factors in the model accounted for the returns in the investments. Results indicated that returns on ETFs were significantly explained by returns in the underlying market, and factors explaining the returns on the different Investment Trusts varied depending on the objectives of each Investment Trust.

Keywords: ETF, Exchange Traded Fund, Investement Trusts, Fama, French

Suggested Citation

Turner, Adam, Exchange-Traded Funds vs. Investment Trusts: A Comparison of Performance (April 19, 2010). Available at SSRN: or

Adam Turner (Contact Author)

affiliation not provided to SSRN ( email )

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