Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-993| Publication type: | Working paper – expertise – study |
| Title: | Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach |
| Authors: | Merz, Thomas |
| DOI: | 10.21256/zhaw-993 |
| Issue Date: | Jan-2015 |
| Series: | SML Working Paper |
| Series volume: | 4 |
| Publisher / Ed. Institution: | ZHAW Zürcher Hochschule für Angewandte Wissenschaften |
| Publisher / Ed. Institution: | Winterthur |
| Language: | German |
| Subjects: | exchange-traded funds; physical ETFs; synthetic ETFs; tracking risk; tracking; tracking difference |
| Subject (DDC): | 332: Financial economics |
| Abstract: | This empirical study investigates the ability of exchange-traded funds (ETFs) to replicate the risk-return characteristics of their respective benchmarks accurately. By decomposing ex-post tracking performance, this study finds that the commonly used measure, tracking error, rarely sufficiently explains the deviation from the benchmark and hence has very limited predicting power for assessing the tracking quality of an ETF. The results presented here clearly indicate that in many cases a linear metric is a more reliable predictor for future return deviations and that, therefore, the total cost of administrating an ETF provides a fairly good estimate of its tracking quality. |
| Further description: | Working Paper |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/993 |
| Departement: | School of Management and Law |
| Appears in collections: | Banking, Finance, Insurance |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2015-01-20_SML_WorkingPaper_4.pdf | 316.5 kB | Adobe PDF |  View/Open |
Show full item record
Merz, T. (2015). Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach. ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-993
Merz, T. (2015) Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. Available at: https://doi.org/10.21256/zhaw-993.
T. Merz, “Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach,” ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Winterthur, Jan. 2015. doi: 10.21256/zhaw-993.
MERZ, Thomas, 2015. Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Merz, Thomas. 2015. “Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach.” Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-993.
Merz, Thomas. Tracking Risk of Exchange Traded Funds : A Multivariate Regression Approach. ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Jan. 2015, https://doi.org/10.21256/zhaw-993.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.