Munich Personal RePEc Archive

ETFs tracking errors on global markets with consideration of regional diversity

Dobson, Peter (2020): ETFs tracking errors on global markets with consideration of regional diversity.

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Abstract

This study evaluates the performance of Exchange Traded Funds (ETFs) by using various tracking error calculation approaches. The aim of the paper is on the one hand the evaluation of the relative performance of ETFs to their benchmarking indexes and on the other the endeavour to specify any relationship between this performance and both geographical location and the degree of market development. The research was conducted on the basis of 18 different ETFs issued by iShares, six for each of the three regions: both Americas, Asia and Europe. The results indicate that ETFs do not mimic their corresponding indexes well. Calculated tracking errors are different from zero and often significantly negative. Furthermore the value of tracking errors depends on the region and market development.

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