This study investigates the effects of size on the risk-adjusted fund performance of US-publicly listed index-tracking passive equity exchange-traded funds (ETFs). Using panel quantile and Fama–MacBeth cross-sectional regression approaches, we determine that the asset-based size growth is informative in the risk-return trade-offs of ETFs, and that these ETFs do not follow a constant return-to-scale. The quantile regression results show that the rate of return-to-scale diminishes as the ETFs size increases and becomes negative for the most significant fund group. The size has a considerably substantial negative impact on the highest-performing clusters of ETFs, suggesting that the diseconomies of scale found in conventional active mutual funds affect the ETFs. The results align with Indro et al. (Financ Anal J 55: 74–87, 1999) findings of mutual funds that there are diminishing marginal returns to information acquisition and trading, and the marginal returns become negative when the fund exceeds its optimal size. This study provides further insights and understanding of the performance and size relationship of index-tracking passive equity ETFs.

本研究调查了规模对美国上市指数跟踪被动股票交易所交易基金 (ETF) 风险调整后基金业绩的影响。使用面板分位数和 Fama-MacBeth 横截面回归方法，我们确定基于资产的规模增长在 ETF 的风险回报权衡中提供了信息，并且这些 ETF 并不遵循恒定的规模回报。分位数回归结果显示，规模回报率随着 ETF 规模的增加而减小，对于最重要的基金组而言，规模回报率变为负值。规模对表现最好的 ETF 集群产生相当大的负面影响，这表明传统主动型共同基金中发现的规模不经济影响了 ETF。结果与 Indro 等人的结果一致。（《金融分析杂志》55：74–87，1999）共同基金的研究结果表明，信息获取和交易的边际收益递减，当基金超过其最佳规模时，边际收益变为负值。这项研究提供了对指数跟踪被动股票 ETF 的绩效和规模关系的进一步见解和理解。