Performance Comparison of European Exchange Traded Funds (ETF) and Index Mutual Funds

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The paper explores the growing popularity of exchange traded funds (ETFs) among investors, who often perceive them as having superior risk-performance compared to traditional index mutual funds. It analyzes the real returns of both asset classes, referencing a study by Sharifzadeh et al. (2012) that compared ETFs and index mutual funds with similar compositions. The findings reveal that neither ETFs nor index mutual funds significantly outperformed the other when assessed using the Sharpe ratio, challenging common investor assumptions about their relative advantages.