Diversification, Performance, and Performance Persistence in Exchange-Traded Funds
Diversification, Performance, and Performance Persistence in Exchange-Traded Funds

Summary/Abstract: We examine the degree of diversification, performance, and performance persistence in ETFs. We find that about 38% of an average ETF’s total risk is diversifiable risk and the medium blend ETFs are the least diversified. We also find no significant differential performance between ETFs and the S&P 500 index. Additionally, we find weak evidence of performance persistence on both the half-yearly and the yearly horizons.

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