Czy fundusze ETF notowane na GPW w Warszawie dobrze odwzorowują wyniki indeksów?
Do exchange-traded funds listed on Warsaw Stock Exchange well replicate performance of indices?
Author(s): Tomasz Miziołek, Ewa Feder-SempachSubject(s): Business Economy / Management, Financial Markets
Published by: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
Keywords: exchange-traded fund; tracking error; tracking difference
Summary/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.
Journal: Studia i Materiały
- Issue Year: 26/2018
- Issue No: 1
- Page Range: 37-47
- Page Count: 11
- Language: English, Polish