Outperformance in Exchange Traded Fund Pricing Deviations: Generalised Control of Data Snooping Bias
27 Pages Posted: 21 Dec 2012 Last revised: 18 Apr 2015
Date Written: December 20, 2012
An investigation into Exchange Traded Fund (ETF) outperformance during the period 2008-2012 is undertaken utilising a data set of 288 US 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 generalised stepdown procedure in controlling for data snooping bias. It is found 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&P500 market benchmark.
Keywords: Exchange Traded Funds, ETF Performance, Multiple Hypothesis Testing, Data Snooping Bias
JEL Classification: C11, C12, C58
Suggested Citation: Suggested Citation