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...

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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
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container_end_page 2062
container_issue 24
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container_title Applied financial economics
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creator Aroskar, Rajarshi
Ogden, Willaim A.
description 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.
doi_str_mv 10.1080/09603107.2012.684787
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subjects Commodities
Currencies
Economic performance
Emerging markets
Error
ETFs
ETNs
Exchange traded funds
Financial economics
G-20
Indexes
Securities trading
Studies
tracking
title An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values
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