Search Results - subject:"Tracking error"

Performance dynamics of international exchange-traded funds

Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-14

Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...

Persistent link: https://www.econbiz.de/10012611403

Portfolio performance under tracking error and asset weight constraints

Daly, Michael H.; Van Vuuren, Gary - In: Journal of economic and financial sciences : JEF 13 (2020) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012321264

Performance dynamics of international exchange-traded funds

Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14

Persistent link: https://www.econbiz.de/10012322206

The performance of ETFs on developed and emerging markets with consideration of regional diversity

Zawadzki, Krystian - In: Quantitative finance and economics 4 (2020) 3, pp. 515-525

Persistent link: https://www.econbiz.de/10012271486

Exploring the drivers of tracking error constrained portfolio performance

Gunning, Wade; Van Vuuren, Gary - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-15

error and active managers are constrained by investment mandates including a restriction on tracking error. The locus of … possible portfolio risks and returns, constrained by a tracking error is elliptical, and the main axis slope's sign and … and market timing, but these bets necessarily give rise to risk. The risk, relative to the benchmark, is the tracking …

Persistent link: https://www.econbiz.de/10014001592

Exploring the drivers of tracking error constrained portfolio performance

Gunning, Wade; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

error and active managers are constrained by investment mandates including a restriction on tracking error. The locus of … possible portfolio risks and returns, constrained by a tracking error is elliptical, and the main axis slope’s sign and … and market timing, but these bets necessarily give rise to risk. The risk, relative to the benchmark, is the tracking …

Persistent link: https://www.econbiz.de/10014232612