A number of papers have demonstrated that over historical periods, a specified set of
factors has outperformed actively managed funds. In almost all cases, however, the factors
used or the procedures followed are not replicable by tradable passive investments. In
addition, tradable passive investments have expense ratios that almost always cause them
to underperform indexes. The purposes of this article are to identify a small set of
exchange-traded funds that captures most of the variation in the population of potential
indexes and to determine whether a combination of exchange-traded funds from this small
set can be identified that outperforms active mutual funds in future periods.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member Content
We're using cookies, but you can turn them off in Privacy Settings. Otherwise, you are agreeing to our use of cookies. Learn more in our Privacy Policy.
Privacy Settings
Functional cookies, which are necessary for basic site functionality like keeping you logged in, are always enabled.
