Evaluating the performance of global emerging markets equity exchange-traded funds (original) (raw)
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With various studies done on the tracking abilities of exchange traded funds for the European and U.S. market, we observed that similar empirical studies are scarce for the Asian Pacific region. This work serves as to fill the gap in research and to provide the reader with an analysis on how well the different ETF replication methods track their indices on the Asian market. Using a sample of 389 Asian equity and fixed income ETFs tracking a total of 270 indices we calculate for each fund three different tracking errors based on different methodologies using closing prices. We will then use an ANOVA model to compare the differences in tracking errors of full & derivative replication, full & optimized replication, and derivative & optimized replication. In the last step we conduct a simple regression to identify the determinants of tracking errors. Our results indicate that optimized funds are the best at replicating their indices mostly due to the liberty of choice to exclude dividend paying stocks and the reduction of rebalancing costs due to a sampling of the index. While not statistically significant, the additional returns generated through securities lending also enhance ETF tracking performances of physical ETFs in comparison to synthetic funds. JEL Classification: G11, G15, G23
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Journal of Capital Markets Studies
Purpose The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through FactSet to obtain monthly returns and various metrics for emerging market equity and bond mutual funds covering the period from January 2000 to May 2017. Several descriptive statistics for these funds are reported as well as various risk-adjusted performance measures. Alphas are computed for different sub-periods using different factor models to mitigate potential biases. Findings The results show that diversified emerging market funds generate some significant alphas for their investors during the study period. Emerging market bond funds, on the other hand, do not provide any significant positive alphas; mostly alphas are negative. An analysis of sub-period performance suggests that these funds do n...
European Financial Management Association 2007 …, 2007
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