The $100M ETF Built on Research That Doesn't Replicate
3 hours ago
- A 2006 paper by Fornell et al. claimed a trading strategy based on ACSI customer satisfaction scores beat the S&P 500 with high returns and low risk.
- Multiple independent replication attempts (Ittner et al., Jacobson & Mizik, O'Sullivan et al., Bell et al.) all failed to reproduce the claimed abnormal returns, citing methodological flaws, data mining, and sensitivity to small subsets of firms.
- A 2016 follow-up paper by Fornell reported a 518% cumulative return from a secret, undisclosed trading strategy, which critics argue cannot be verified and appears to be an extreme outlier in the literature.
- The ACSI ETF was launched in 2016 based on these claims but has consistently underperformed the S&P 500 by about 2.6% annually, contradicting the academic findings.
- Concerns about conflicts of interest, undisclosed trading, and potential research misconduct have led to calls for formal investigation by the Journal of Marketing, which has acknowledged the issue but not yet acted.