Unskilled Fund Managers: Replicating Active Fund Performance With Few ETFs

Performance Persistence of Pension Fund Managers

This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds. Previous work on UK pension funds found little evidence of fund manager persistence, but we argue that this may have been due to survivorship bias in the construction of these data samples, which may have disguised true persistence. Using a large sam...

Are Pension Fund Managers Overconfident?

Empirical studies show that people tend to be overconfident about the precision of their knowledge, leading to miscalibration. Consistent with this, we found that on overage the decision makers of Swiss pension plans provide too narrow confidence intervals when asked to estimate the past return of various assets. Their confidence intervals are also systematically too narrow in their forecast of...

Replication Methods and Return Characteristics of Hedge Fund ETFs

Fund Performance

This note reviews the literature on fund performance. A practical way of gauging market efficiency is to attempt to identify above-average risk-adjusted returns from one or more market participants that are the result of skill, as opposed to luck. If any such returns are identified, then the market is not efficient. In practice, such a test is best performed by seeking persistence in the return...

The Choice Between ETFs and Conventional Index Fund Shares

Executive summary. Exchange-traded fund (ETF) shares provide an alternative structure for investing in index mutual funds. In the last several years, hundreds of new ETFs, most of them tied to a unique index or strategy, have been brought to market. As a result, millions of investors can now decide to invest in index funds through either ETFs or conventional fund shares. This paper briefly fram...