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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?)

Author

Listed:
  • Tomasz Miziolek

    (Katedra Finansow i Inwestycji Miedzynarodowych, Uniwersytet Lodzki)

  • Ewa Feder-Sempach

    (Katedra Finansow i Inwestycji Miedzynarodowych, Uniwersytet Lodzki)

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.

Suggested Citation

  • Tomasz Miziolek & Ewa Feder-Sempach, 2018. "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?)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(26), pages 37-47.
    • Handle: RePEc:sgm:resrep:v:1:i:26:y:2018:p:37-47
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    References listed on IDEAS

    as
    1. Blitz, David & Huij, Joop, 2012. "Evaluating the performance of global emerging markets equity exchange-traded funds," Emerging Markets Review, Elsevier, vol. 13(2), pages 149-158.
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    More about this item

    Keywords

    exchange-traded fund; tracking error; tracking difference;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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