An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values

This study employs five commonly used methods to estimate tracking errors between iPath Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well in tracking their respective indexes. This performance is not dependent on whether the ETN tracks a single commodity index, a sector or a composite index. Currency and emerging market ETNs do not track their underlying indexes nearly as well.

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Year of publication:	2012
Authors:	Aroskar, Rajarshi ; Ogden, Willaim A.
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 22.2012, 24, p. 2047-2062
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010618448