An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values

An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values

This study employs five commonly used methods to estimate tracking errors between iPath Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well in tracking their respective indexes. This performance is not dependent on whether the ETN tracks a single commodity index, a...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Applied financial economics 2012-12, Vol.22 (24), p.2047-2062
Hauptverfasser: Aroskar, Rajarshi, Ogden, Willaim A.
Format: Artikel
Sprache:eng
Schlagworte:
Commodities
Currencies
Economic performance
Emerging markets
Error
ETFs
ETNs
Exchange traded funds
Financial economics
G-20
Indexes
Securities trading
Studies
tracking
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This study employs five commonly used methods to estimate tracking errors between iPath Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well in tracking their respective indexes. This performance is not dependent on whether the ETN tracks a single commodity index, a sector or a composite index. Currency and emerging market ETNs do not track their underlying indexes nearly as well.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603107.2012.684787