Active ETFs and Their Performance Vis-À-Vis Passive ETFs, Mutual Funds and Hedge Funds

Posted: 20 May 2019

See all articles by Panagiotis Schizas

Panagiotis Schizas

University of Zurich - Department of Banking and Finance

Date Written: June 2, 2011

Abstract

I present empirical results on the first active exchange traded funds (ETFs) based on risk, return and incentives. Using models for both the returns and the volatility of the underlying assets, I compare the performance of the suggested models with the alternative investment solutions such as passive ETFs, mutual funds and hedge funds. The results indicate that active ETFs are found to be more volatile than passive ETFs and overall the active and passive structure is very close in means of final performance. I also find that, in many cases, the active structure is surpassing mutual funds in mean of returns. Finally, there is a unidirectional relation between active funds and hedge funds, since the former is influenced by the latter.

Keywords: Active ETFs, Passive ETFs, Mutual Funds, Hedge Funds

JEL Classification: C58, G11, G15

Suggested Citation

Schizas, Panagiotis, Active ETFs and Their Performance Vis-À-Vis Passive ETFs, Mutual Funds and Hedge Funds (June 2, 2011). https://doi.org/10.3905/jwm.2014.17.3.084. Available at SSRN: https://ssrn.com/abstract=1872125 or http://dx.doi.org/10.2139/ssrn.1872125

Panagiotis Schizas (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

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