Performance of exchange-traded funds during the financial crisis
(2011) NEKM03 20111Department of Economics
- Abstract (Swedish)
- We compare 17 exchange-traded funds (ETF) traded on the New York Stock Exchange benchmarking European indices and Asian indices. Over the five-year period of 2006-04-05 to 2011-04-05, with the additional focus being on the financial crisis stretching from 2007-08-01 to 2009-02-27, we evaluate the ETFs performance and ability in tracking their benchmark indices through extreme volatile periods. Our study gives ambiguous results to whether they have tracked their indices well. The Jensens model shows insignificant alphas, indicating that ETFs are good in benchmarking their indices. Methods for measuring tracking errors give contradictive results. Further we study factors affecting deviations from returns in benchmarking indices but find no... (More)
- We compare 17 exchange-traded funds (ETF) traded on the New York Stock Exchange benchmarking European indices and Asian indices. Over the five-year period of 2006-04-05 to 2011-04-05, with the additional focus being on the financial crisis stretching from 2007-08-01 to 2009-02-27, we evaluate the ETFs performance and ability in tracking their benchmark indices through extreme volatile periods. Our study gives ambiguous results to whether they have tracked their indices well. The Jensens model shows insignificant alphas, indicating that ETFs are good in benchmarking their indices. Methods for measuring tracking errors give contradictive results. Further we study factors affecting deviations from returns in benchmarking indices but find no significance. Runs test show small likelihood of that the premium/discount of the ETF can be predicted upon previous observations. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1979718
- author
- Arestad, Carl-Johan LU and Broström, Christian LU
- supervisor
- organization
- course
- NEKM03 20111
- year
- 2011
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Exchange-traded funds, tracking error, performance
- language
- English
- id
- 1979718
- date added to LUP
- 2011-06-22 10:02:20
- date last changed
- 2011-06-22 10:02:20
@misc{1979718, abstract = {{We compare 17 exchange-traded funds (ETF) traded on the New York Stock Exchange benchmarking European indices and Asian indices. Over the five-year period of 2006-04-05 to 2011-04-05, with the additional focus being on the financial crisis stretching from 2007-08-01 to 2009-02-27, we evaluate the ETFs performance and ability in tracking their benchmark indices through extreme volatile periods. Our study gives ambiguous results to whether they have tracked their indices well. The Jensens model shows insignificant alphas, indicating that ETFs are good in benchmarking their indices. Methods for measuring tracking errors give contradictive results. Further we study factors affecting deviations from returns in benchmarking indices but find no significance. Runs test show small likelihood of that the premium/discount of the ETF can be predicted upon previous observations.}}, author = {{Arestad, Carl-Johan and Broström, Christian}}, language = {{eng}}, note = {{Student Paper}}, title = {{Performance of exchange-traded funds during the financial crisis}}, year = {{2011}}, }