Outperformance in Exchange Traded Fund Pricing Deviations: Generalised Control of Data Snooping Bias

27 Pages Posted: 21 Dec 2012 Last revised: 18 Apr 2015

See all articles by Fearghal Kearney

Fearghal Kearney

Queen's University Belfast - Queen's Management School

Finbarr Murphy

University of Limerick - Kemmy Business School

Mark Cummins

Dublin City University Business School

Date Written: December 20, 2012

Abstract

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

Kearney, Fearghal and Murphy, Finbarr and Cummins, Mark, Outperformance in Exchange Traded Fund Pricing Deviations: Generalised Control of Data Snooping Bias (December 20, 2012). Journal of Financial Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2192119 or http://dx.doi.org/10.2139/ssrn.2192119

Fearghal Kearney (Contact Author)

Queen's University Belfast - Queen's Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Finbarr Murphy

University of Limerick - Kemmy Business School ( email )

Limerick
Ireland

Mark Cummins

Dublin City University Business School ( email )

Dublin 9
Ireland

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