 Do exchange-traded funds listed on Warsaw Stock Exchange well replicate performance of indices? (Czy fundusze ETF notowane na GPW w Warszawie dobrze odwzorowuja wyniki indeksow?)Tomasz Miziolek () and
Ewa Feder-Sempach ()
Research Reports, 2018, vol. 1, issue 26, 37-47 Abstract: The main aim of the article is to analyse the replication quality of three ETFs listed on Warsaw Stock Exchange. The calculations were made for 2012–2017 period using three different tracking error (TE) calculation techniques and three different return intervals. The results indicate, that the values of TEs for all analysed ETFs, regardless of the calculation method and interval used, were less than 4% and in most cases also lower than 3%. The lowest TE values were obtained for ETFSP500, all below 1% for daily data. For all funds, the lowest values were for TEs calculated on a daily intervals. Higher values were observed for weekly and monthly intervals – it was dependent on the particular ETF and the calculation technique. Keywords: exchange-traded fund; tracking error; tracking difference (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sgm:resrep:v:1:i:26:y:2018:p:37-47 Access Statistics for this article More articles in Research Reports from University of Warsaw, Faculty of Management Contact information at EDIRC. |
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