The Performance of European Index Funds and Exchange‐Traded Funds

14 Pages Posted: 23 Aug 2012

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Laurens Swinkels

affiliation not provided to SSRN

Multiple version iconThere are 3 versions of this paper

Date Written: September 2012

Abstract

European index funds and exchange‐traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least on par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and time variation in fund performance. Our results imply that not only fund expenses, but also dividend taxes can result in a substantial drag on mutual fund performance.

Suggested Citation

Blitz, David and Huij, Joop and Swinkels, Laurens, The Performance of European Index Funds and Exchange‐Traded Funds (September 2012). European Financial Management, Vol. 18, Issue 4, pp. 649-662, 2012. Available at SSRN: https://ssrn.com/abstract=2134711 or http://dx.doi.org/10.1111/j.1468-036X.2010.00550.x

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Laurens Swinkels

affiliation not provided to SSRN

No Address Available

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