A carregar...
Publicação
Active ETF performance and benchmark comparison in the U.S. market
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.48 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper evaluates whether actively managed U.S. equity ETFs deliver superior risk-adjusted performance compared to their corresponding index. Using a sample of 452 active equity ETFs domiciled in the U.S over the period 2022–2024, performance is assessed through several financial metrics for instance Sortino, Alpha, Sharpe, Treynor ratios, Beta, information ratio, or maximum drawdown. Results show significant diversity across ETFs: ETFs following broad market benchmarks such as the S&P 500 and MSCI demonstrate stronger risk-adjusted outcomes, while niche indices lag. Management fees show no significant relationship with performance, and higher tracking error is associated with weaker information ratios. Among S&P 500–linked ETFs, only a minority display small positive alpha. In many cases, it appears their outperformance in fund’s total return before adjusting for risk is explained by higher market exposure (higher beta), rather than by true risk-adjusted managerial skill.
Descrição
Palavras-chave
Active ETFs Risk-adjusted performance Benchmark comparison U.S. equity market