Table 2 Descriptive statistics of...

Table 2

Descriptive statistics of returns

Panel A: Mutual fund statistics
Sector	N	Mean	Median	SD	Min	Max	SR
Communications	33	0.492	0.494	0.327	−0.103	0.957	0.072
Consumer Cyclical	21	0.804	0.822	0.298	0.202	1.312	0.120
Domestic Energy	132	0.715	0.854	0.586	−0.828	1.744	0.063
Domestic Financial	51	0.664	0.703	0.309	−0.251	1.056	0.085
Domestic Real Estate	226	0.576	0.585	0.163	−0.009	1.069	0.093
Health Care	130	0.773	0.775	0.189	0.358	1.389	0.131
Industrials	19	0.786	0.839	0.216	0.275	1.062	0.118
Materials	42	0.831	0.776	0.443	0.006	1.951	0.100
Technology	176	1.239	1.314	0.446	−0.265	2.155	0.182
Utilities	44	0.538	0.554	0.139	0.204	0.732	0.102
Total	874	0.778	0.721	0.431	−0.828	2.155	0.112

Panel A: Mutual fund statistics
Sector	N	Mean	Median	SD	Min	Max	SR
Communications	33	0.492	0.494	0.327	−0.103	0.957	0.072
Consumer Cyclical	21	0.804	0.822	0.298	0.202	1.312	0.120
Domestic Energy	132	0.715	0.854	0.586	−0.828	1.744	0.063
Domestic Financial	51	0.664	0.703	0.309	−0.251	1.056	0.085
Domestic Real Estate	226	0.576	0.585	0.163	−0.009	1.069	0.093
Health Care	130	0.773	0.775	0.189	0.358	1.389	0.131
Industrials	19	0.786	0.839	0.216	0.275	1.062	0.118
Materials	42	0.831	0.776	0.443	0.006	1.951	0.100
Technology	176	1.239	1.314	0.446	−0.265	2.155	0.182
Utilities	44	0.538	0.554	0.139	0.204	0.732	0.102
Total	874	0.778	0.721	0.431	−0.828	2.155	0.112

Panel B: ETF statistics								Difference (funds vs. ETF)
Sector	Ticker	Mean	Median	SD	Min	Max	SR	Mean t-test (p-value)	SR t-test (p-value)
Communications	XLC	0.808	0.845	0.102	0.567	0.912	0.108	<0.0001	0.000
Consumer Cyclical	XLY	1.084	1.111	0.091	0.907	1.193	0.169	0.000	0.001
Domestic Energy	XLE	1.124	1.218	0.727	−0.643	1.892	0.099	<0.0001	<0.0001
Domestic Financial	XLF	0.871	0.921	0.121	0.706	1.138	0.126	<0.0001	<0.0001
Domestic Real Estate	XLRE	0.712	0.686	0.111	0.271	1.094	0.118	<0.0001	<0.0001
Health Care	XLV	0.879	0.864	0.067	0.722	1.031	0.180	<0.0001	<0.0001
Industrials	XLI	0.904	0.960	0.142	0.526	1.037	0.152	0.005	0.000
Materials	XLB	0.924	0.859	0.186	0.450	1.502	0.137	0.189	<0.0001
Technology	XLK	1.662	1.703	0.120	1.277	2.025	0.266	<0.0001	<0.0001
Utilities	XLU	0.642	0.643	0.051	0.540	0.729	0.119	<0.0001	<0.0001
Total	SPY	1.029	1.540	4.700	−11.901	12.513	0.197	<0.0001	<0.0001

Panel B: ETF statistics								Difference (funds vs. ETF)
Sector	Ticker	Mean	Median	SD	Min	Max	SR	Mean t-test (p-value)	SR t-test (p-value)
Communications	XLC	0.808	0.845	0.102	0.567	0.912	0.108	<0.0001	0.000
Consumer Cyclical	XLY	1.084	1.111	0.091	0.907	1.193	0.169	0.000	0.001
Domestic Energy	XLE	1.124	1.218	0.727	−0.643	1.892	0.099	<0.0001	<0.0001
Domestic Financial	XLF	0.871	0.921	0.121	0.706	1.138	0.126	<0.0001	<0.0001
Domestic Real Estate	XLRE	0.712	0.686	0.111	0.271	1.094	0.118	<0.0001	<0.0001
Health Care	XLV	0.879	0.864	0.067	0.722	1.031	0.180	<0.0001	<0.0001
Industrials	XLI	0.904	0.960	0.142	0.526	1.037	0.152	0.005	0.000
Materials	XLB	0.924	0.859	0.186	0.450	1.502	0.137	0.189	<0.0001
Technology	XLK	1.662	1.703	0.120	1.277	2.025	0.266	<0.0001	<0.0001
Utilities	XLU	0.642	0.643	0.051	0.540	0.729	0.119	<0.0001	<0.0001
Total	SPY	1.029	1.540	4.700	−11.901	12.513	0.197	<0.0001	<0.0001

Note(s): This table presents summary statistics (including mean, median, standard deviation (SD), minimum (Min), maximum (Max)) for monthly net-of-fee returns for open-ended US sector mutual funds (Panel A) and ETFs (Panel B) and their corresponding Sharpe ratio (SR) from 2015 to 2023. The two-sample t-test is used to compare the difference between the two means of returns and SR (between mutual funds and ETFs) to zero (Difference) and present their corresponding p-values. The study period covers 2015 to 2023

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