RT Journal Article
SR Electronic
T1 On the Performance of Fixed-Income Exchange-Traded <br/>Funds
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 39
OP 44
DO 10.3905/jii.2012.3.1.039
VO 3
IS 1
A1 Patrick Houweling
YR 2012
UL https://pm-research.com/content/3/1/39.abstract
AB The authors evaluate the performance of fixed-income exchange-traded funds (ETFs). They find that Treasury ETFs are indeed able to track their benchmarks but that investmentgrade corporate bond ETFs underperform their benchmarks and high-yield corporate bond ETFs severely underperform their benchmarks. They provide evidence that the transaction costs of the underlying bonds are a key determinant of an ETF’s underperformance. The authors conclude that indices consisting of bonds that are more costly to trade are more difficult to track.TOPICS: Exchange-traded funds and applications, mutual fund performance, portfolio construction