RT Journal Article
SR Electronic
T1 Exchange-Traded Funds: Are Excess Returns Normally Distributed?
JF The Journal of Beta Investment Strategies
FD Institutional Investor Journals
SP jbis.2023.1.027
DO 10.3905/jbis.2023.1.027
A1 Maximilian Hopf
A1 Ralf Hudert
A1 Michael G. Schmitt
A1 Michael von Thaden
YR 2023
UL https://pm-research.com/content/early/2023/01/25/jbis.2023.1.027.abstract
AB In today’s asset management world, exchange-traded funds (ETFs) play a crucial role. When reviewing their performance against the benchmark, it is often assumed that any excess returns are normally distributed. The aim of this article is to check the assumption of normal distribution for excess returns for ETFs. The authors show that for a considerable number of ETFs this assumption does not hold true. Furthermore, the authors show how false assumptions regarding the distribution of the excess returns might affect the risk estimation with respect to the excess returns.