Tracking Error of Equity Exchange-Traded Funds: Analysis from the European Markets

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School of Business | Bachelor's thesis
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Date

2016

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

26

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Abstract

This paper examines the magnitude of tracking error and how based on size which is reflected by assets under management as a criterion affect the tracking error values in the European listed exchange-traded funds (ETFs). The findings show that a few ETFs are affected by a significant tracking error but overall there is no evidence of systematic significant tracking error of researched European ETFs. Evidence suggests that the size of the ETF does not affect the magnitude of tracking error and thus it should not affect the tracking ability of ETFs following their benchmark indexes.

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Thesis advisor

Lof, Matthijs

Keywords

exchange-traded funds, tracking error, assets under management, magnitude

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https://urn.fi/URN:NBN:fi:aalto-201708176558

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[kand] Kauppakorkeakoulu / BIZ (Open Access)