Articlegreen2010

The Performance of European Index Funds and Exchange‐Traded Funds

David C. Blitz · Joop Huij A · Laurens A. P. Swinkels

78 citations0/0 files storedEuropean Financial Management

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Abstract European index funds and exchange‐traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least on par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and time variation in fund performance. Our results imply that not only fund expenses, but also dividend taxes can result in a substantial drag on mutual fund performance.

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References

2004Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds 2002European Mutual Fund Performance 2004Are Investors Rational? Choices among Index Funds 2002Exchange-Traded Funds: A New Investment Option for Taxable Investors 2003Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of the S&P 500 Index Funds 2004The Benchmark Index ETF Performance Problem 2002Exchange Traded Funds: A New Investment Option for Taxable Investors 2004S&P 500 Indexers, Tracking Error, and Liquidity

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