The Performance of Exchange-Traded Funds

21 Pages Posted: 6 Oct 2019

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Milan Vidojevic

Robeco Quantitative Investments

Date Written: September 23, 2019


Exchange-traded funds (ETFs) are commonly regarded as an efficient, low-cost alternative to actively managed mutual funds, yet their perceived superiority is largely anecdotal. We evaluate the performance of a comprehensive, survivorship bias-free sample of US equity ETFs following the same approach that has been commonly used to evaluate the performance of actively managed mutual funds. We find that ETFs have collectively lagged the market by an amount that appears similar to the widely documented underperformance of active mutual funds. We perform textual and regression-based analysis to identify factor ETFs and show that most of these have also failed to beat the market. We conclude that, from a pure performance perspective, the allure of ETFs finds little support in the data.

Keywords: mutual fund performance, exchange-traded funds, ETFs, smart beta, factor investing, factor premiums, active versus passive, market efficiency

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David and Vidojevic, Milan, The Performance of Exchange-Traded Funds (September 23, 2019). Available at SSRN: or

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA

Milan Vidojevic

Robeco Quantitative Investments ( email )

1111 Brickell Avenue, Robeco, Suite 2125
Miami, FL 33131
United States

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