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- W3125087128 abstract "Abstract An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark." @default.
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- W3125087128 date "2014-06-01" @default.
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- W3125087128 title "Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias" @default.
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- W3125087128 doi "https://doi.org/10.1016/j.finmar.2013.08.003" @default.
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