Cloning mutual fund returns

Benjamin R. Auer, Frank Schuhmacher and Sebastian Niemann

The Quarterly Review of Economics and Finance, 2023, vol. 90, issue C, 31-37

Abstract: Motivated by the increasing competition between traditional mutual funds and highly accessible exchange traded funds (ETFs), we analyze the potential of the latter to replicate the returns of the former. In a penalized big data regression setup, we find that clone portfolios perform remarkably well both in sample and out of sample. However, depending on the investment style of a targeted mutual fund, a rather large number of ETFs can be required for cloning.

Keywords: Mutual funds; Exchange traded funds; Replication; Least absolute shrinkage and selection operator (search for similar items in EconPapers)
JEL-codes: C55 G11 G23 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976923000546
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:90:y:2023:i:c:p:31-37

DOI: 10.1016/j.qref.2023.04.006

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().