The Growth of Passive Indexing and Smart-Beta: Competitive Effects on Actively Managed Funds
| Autor: | Michael Densmore |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
History
Index (economics) Polymers and Plastics Equity (finance) Monetary economics Index fund Stock market index Industrial and Manufacturing Engineering Competition (economics) Active management Smart beta Business Business and International Management Market value health care economics and organizations |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3823328 |
| Popis: | Using a sample of US equity funds, I investigate the extent to which competition from low-cost index funds affects fees, performance, and survival rates of actively managed funds. I measure the intensity of competition using the market value of holdings overlap between the portfolios of index entrants and active incumbents. Disentangling the competitive effects of traditional index funds (market index) from smart-beta index funds (factor index), I provide evidence that factor index fund entry is negatively related to changes in actively managed net fees but no significant impact of market index fund entry. Additionally, I find that both factor and market index entry are negatively related to active incumbent survival rates and that this effect is most pronounced for relatively expensive active incumbents. Importantly, I show that entry of index funds has had an attenuating effect on dispersion in fees across actively managed funds. Lastly, I find evidence that factor index entry has had an attenuating effect on active incumbent future performance. |
| Databáze: | OpenAIRE |
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