Price volatility and tracking ability of ETFs

Jack W Aber (), Dan Li and Luc Can
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Jack W Aber: School of Management, Boston University

Journal of Asset Management, 2009, vol. 10, issue 4, No 2, 210-221

Abstract: Abstract In this paper, we examine the price volatility and tracking ability of four iShares™ exchange-traded funds (ETFs). We use three measures: the premium and discount position, daily return, and tracking error, compared with conventional index mutual funds tracking the same index. Our results indicate that the ETFs are more likely to trade at a premium than at a discount, with comparatively large daily price fluctuations; and that both fund types have approximately the same degree of comovement with their benchmarks, but differ slightly in their tracking ability. On average, the Vanguard™ conventional index funds beat their corresponding iShares™ competitors in terms of tracking error.

Keywords: tracking ability; ETFs; index mutual funds (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (21)

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DOI: 10.1057/jam.2009.13

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