Tracking Precision of Exchange Traded Funds: How Accurately are ETFs Tracking OMXS30GI?
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Exchange traded funds (ETF) are relatively new financial instruments that currently are growing rapidly in popularity. The object of an ETF is, similar to a mutual fund, to track an underlying benchmark with the difference that an ETF trades on an exchange like shares of stocks. This paper examines how accurate Swedish ETFs track the index OMXS30GI depending on whether the fund is using a physical or synthetic replication method. Previous research has shown that synthetic replication, in the form of a swap-based replication, is associated with a lower tracking error. We find that this is true for leveraged and inverse-leveraged ETFs. But, for the non-leveraged and non-inverse ETFs studied in this paper we find that this is not the case.
Place, publisher, year, edition, pages
Exchange traded funds, Physical replication, Synthetic replication, Tracking error
IdentifiersURN: urn:nbn:se:uu:diva-219380OAI: oai:DiVA.org:uu-219380DiVA: diva2:699607
Österholm, Göran, Universitetslektor
Ohlsson, Henry, Professor