japanja
ETFs have yet to prove that they can beat active funds

ETFs have yet to prove that they can beat active funds

18-02-2021 | リサーチ
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds. Yet their perceived superiority is largely anecdotal. Our analysis finds that US equity ETFs collectively lagged the market by an amount similar to the widely documented underperformance of active mutual funds between 2004 and 2017. Smart beta ETFs also failed to beat the market. From a pure performance perspective, the perceived superiority of ETFs finds little support in the data.
  • David Blitz
    David
    Blitz
    Chief Researcher
  • Milan Vidojevic
    Milan
    Vidojevic
    Researcher

Speed read

  • ETFs tend to lag the market by similar margins as active funds
  • Most smart beta ETFs have also failed to beat the market
  • Perceived superiority of ETFs finds little empirical support
最新の「インサイト」を読む
最新の「インサイト」を読む
配信登録

The performance of actively managed mutual funds has been intensely scrutinized in academic literature. The seminal Carhart study found that active mutual funds, on average, underperform the market after management fees and transaction costs.1 This has resulted in a broad consensus among academics that investors should reallocate from actively managed funds to passive solutions of the broad market portfolio.2 To this end, passive investing has been facilitated and popularized by the introduction of ETFs.

The vast majority of ETFs track indices that represent active strategies

However, we believe it is premature to render conventional mutual funds obsolete. For one, not all ETFs have low costs. While the cheapest ETFs have annual expense ratios below 0.05%, others have expense ratios above 1%, making them more expensive than many mutual funds. Also, if the purpose of ETFs really was to facilitate passive investing, then just a few ETFs on the broad market portfolio would be needed, certainly not thousands. Actually, the vast majority of ETFs track indices that represent active strategies.

More importantly, not much is known yet about the realized performance of ETFs. Our research aims to fill this gap by analyzing the performance of a comprehensive, survivorship-bias-free sample of US equity ETFs. We start by examining the aggregate performance of the ETFs in our sample, similar to how the collective performance of conventional mutual funds has been evaluated in literature.

Looking at the combined performance of all ETFs allows us to assess how much the entire investment community has been better or worse off as a result of investing in ETFs. We show that the performance of ETFs is not as impressive as one might expect it to be. Investors in these ETFs have collectively realized a performance that does not appear to be much different from the performance that can be expected from conventional actively managed mutual funds.

We also perform textual and statistical analyses to sort ETFs into common investment styles, such as size, value, momentum, quality and low risk. Our research highlights that none of these smart beta ETFs has managed to consistently add value relative to a capitalization-weighted market portfolio of all US stocks. But this can be partly attributed to the generally poor performance of equity factors over the most recent part of the sample period. Conversely, anti-factor ETFs – funds with negative exposures to these styles – have either lagged the market or delivered performance that was not very different from that of the market.

Overall, we conclude that the perceived superiority of ETFs finds little empirical support in the data and that ETFs have yet to prove that they can generate better performance than conventional actively managed funds.

1 Carhart, M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.
2 French, K. 2008. “The Cost of Active Investing.” The Journal of Finance 63 (4): 1537–1573.

Download the paper

ディスクレーマー

個人情報は、細心の注意をもって適切に取り扱います。事前の同意なしに第三者に提供することはありません。

重要事項

当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。

ご契約に際しては、必要に応じ専門家にご相談の上、最終的なご判断はお客様ご自身でなさるようお願い致します。

運用を行う資産の評価額は、組入有価証券等の価格、金融市場の相場や金利等の変動、及び組入有価証券の発行体の財務状況による信用力等の影響を受けて変動します。また、外貨建資産に投資する場合は為替変動の影響も受けます。運用によって生じた損益は、全て投資家の皆様に帰属します。したがって投資元本や一定の運用成果が保証されているものではなく、投資元本を上回る損失を被ることがあります。弊社が行う金融商品取引業に係る手数料または報酬は、締結される契約の種類や契約資産額により異なるため、当資料において記載せず別途ご提示させて頂く場合があります。具体的な手数料または報酬の金額・計算方法につきましては弊社担当者へお問合せください。

当資料及び記載されている情報、商品に関する権利は弊社に帰属します。したがって、弊社の書面による同意なくしてその全部もしくは一部を複製またはその他の方法で配布することはご遠慮ください。

商号等: ロベコ・ジャパン株式会社  金融商品取引業者 関東財務局長(金商)第2780号

加入協会: 一般社団法人 日本投資顧問業協会