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Article

Tracking Ability of ETFs: Physical versus Synthetic Replication

Athanasios P. Fassas
The Journal of Index Investing Fall 2015, 5 (2) 9-20; DOI: https://doi.org/10.3905/jii.2014.5.2.009
Athanasios P. Fassas
is an adjunct lecturer at the Business Administration and Economics Department at City College, The University of Sheffield International Faculty in Thessaloniki, Greece.
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  • For correspondence: t.fassas@sheffield.ac.uk
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Abstract

The purpose of this study is to examine the tracking ability of physical (in-kind) and synthetic (swap-based) exchange traded funds (ETFs). By using three different measures of tracking error, I examine ten pairs of ETFs, which on aggregate track different asset classes (equities, bonds, commodities, and foreign exchange rates), are sponsored by several investment companies and are listed on various stock exchanges. For consistency though, each pair under review tracks the same underlying index/asset, trades on the same stock exchange and is denominated in the same currency.

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The Journal of Index Investing: 5 (2)
The Journal of Index Investing
Vol. 5, Issue 2
Fall 2015
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Tracking Ability of ETFs: Physical versus Synthetic Replication
Athanasios P. Fassas
The Journal of Index Investing Aug 2014, 5 (2) 9-20; DOI: 10.3905/jii.2014.5.2.009

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Tracking Ability of ETFs: Physical versus Synthetic Replication
Athanasios P. Fassas
The Journal of Index Investing Aug 2014, 5 (2) 9-20; DOI: 10.3905/jii.2014.5.2.009
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  • Article
    • Abstract
    • COMPARISON OF CONVENTIONAL AND SYNTHETIC EXCHANGE-TRADED FUNDS
    • DATA
    • METHODOLOGY
    • EMPIRICAL RESULTS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
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