#2193. Unskilled fund managers: Replicating active fund performance with few ETFs

September 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript6510 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
This paper uses Exchange Traded Funds (ETFs) instead of risk factors as benchmarks to examine active mutual fund performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making it more challenging to characterize extraordinary performances via alphas. Assessments are based on the estimation of the skilled funds proportion defined by Barras et al. (20XX). Alphas calculated with ETFs are higher than those using risk factors, and the difference is similar to the transaction costs required for investing in risk factor portfolios (Frazzini et al. (20XX)).
Keywords:
ETF; Mutual funds; Performance measures; Risk factors

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