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Performance of exchange-traded funds during the financial crisis

Arestad, Carl-Johan LU and Broström, Christian LU (2011) NEKM03 20111
Department 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)
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author
Arestad, Carl-Johan LU and Broström, Christian LU
supervisor
organization
course
NEKM03 20111
year
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},
  keyword      = {Exchange-traded funds,tracking error,performance},
  language     = {eng},
  note         = {Student Paper},
  title        = {Performance of exchange-traded funds during the financial crisis},
  year         = {2011},
}