[HTML][HTML] Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
CO Henriques, ME Neves, L Castelão… - Annals of operations …, 2022 - Springer
This paper proposes a two-step approach to build portfolio models. The first step employs
the Data Envelopment Analysis (DEA) to select assets attaining efficient financial …
the Data Envelopment Analysis (DEA) to select assets attaining efficient financial …
The golden target: Analyzing the tracking performance of leveraged gold ETFs
Purpose–The purpose of this study is to understand the tracking errors of leveraged
exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by …
exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by …
Is the tracking error time-varying? Evidence from agricultural ETCs
D Perera, J Białkowski, MT Bohl - Research in International Business and …, 2022 - Elsevier
This study extensively analyses a recently popularized asset class, exchange-traded
commodities (ETCs). We demonstrate that the tracking error of ETCs is dependent on the …
commodities (ETCs). We demonstrate that the tracking error of ETCs is dependent on the …
Investor overconfidence in the South African exchange traded fund market
D Kunjal, F Peerbhai - Cogent Economics & Finance, 2021 - Taylor & Francis
Abstract Exchange Traded Funds (ETFs) have proven to be extremely popular amongst both
retail and institutional investors. The increasing interest in this asset class may incite …
retail and institutional investors. The increasing interest in this asset class may incite …
Are VIX futures ETPs effective hedges?
G Deng, CJ McCann, O Wang - The Journal of Index Investing, 2012 - papers.ssrn.com
Are VIX Futures ETPs Effective Hedges? by Geng Deng, Craig J. McCann, Olivia Wang :: SSRN
Skip to main content Not Available for Download Add Paper to My Library Share: Permalink …
Skip to main content Not Available for Download Add Paper to My Library Share: Permalink …
[BOOK][B] Understanding the tracking errors of commodity leveraged ETFs
K Guo, T Leung - 2015 - Springer
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF
market. They have become popular in recent years as they provide investors access to a …
market. They have become popular in recent years as they provide investors access to a …
The “roll yield” myth
H Bessembinder - Financial Analysts Journal, 2018 - Taylor & Francis
Futures investors are frequently said to periodically pay or receive the difference in futures
prices across contracts with different delivery dates. But this “roll yield” is mythical: No such …
prices across contracts with different delivery dates. But this “roll yield” is mythical: No such …
[PDF][PDF] Trading commodity ETFs: Price behavior, investment insights, and performance analysis
This study analyzes the risk‐adjusted performance of commodity exchange‐traded funds
(ETFs) across diverse market conditions. Examining monthly returns from December 2004 to …
(ETFs) across diverse market conditions. Examining monthly returns from December 2004 to …
Physical versus futures-based replication: The case of commodity ETFs
GG Rompotis - The Journal of Index Investing, 2016 - search.proquest.com
This article examines various issues concerning the performance of commodity exchange-
traded funds (ETFs) by taking into account whether these funds adopt a physical or a …
traded funds (ETFs) by taking into account whether these funds adopt a physical or a …
The VXX ETN and volatility exposure
T Husson, CJ McCann - PIABA Bar Journal, 2011 - papers.ssrn.com
Exposure to the CBOE Volatility Index (VIX) has been available since 2004 in the form of
futures and since 2006 in the form of options, but recently new exchange-traded products …
futures and since 2006 in the form of options, but recently new exchange-traded products …