Strategic Beta Management: ETFs versus Mutual Funds
Post by MSF Chula at Friday, 21 December 2018 12:11 PM

This paper empirically examines the Strategic Beta management’s profitability, the manager market timing ability, and the fee effects to risk adjusted return. The investors can access Strategic Beta management style by two distinctly different administrative fund structures: Mutual Funds and exchange-traded funds (ETFs). The data set consists of the Strategic Beta style management embodied in Mutual Funds and ETFs during 2014-2016. The study shows both of them fail to capture abnormal return. In addition, the result presents that there is no manager market timing ability in the Strategic Beta funds’ daily transaction. The evidence shows that the fund status does not affect the expense ratio to the risk adjusted return. However, the fund with higher than median fee can be rewarded with higher risk adjusted return.

Last updated at Friday, 21 December 2018 12:11 PM