PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK

  • GERASIMOS ROMPOTIS NATIONAL AND KAPODISTRIAN UNIVERSITY OF ATHENS

Abstract

This paper examines the performance and tracking efficiency of nine iShares ETFs traded on the London Stock Exchange in the UK. The results indicate that, on average, the performance of the examined ETFs has been positive during their entire trading history. However, these ETFs have failed to fully replicate the performance of the underlying commodities and indexes. At the cumulative level, an average underperformance of 172 basis points is found. In addition, at the sample level, about 86% of daily tracking errors are negative (indicating underperformance), and only 14% of tracking errors are positive (reflecting outperformance). Based on our results, the tracking error is induced by the departure from the full replication of the underlying assets.               

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Published
2024-04-10
How to Cite
ROMPOTIS, G. (2024). PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK. Applied Finance Letters, 13, 98-109. https://doi.org/10.24135/afl.v13i.767
Section
Articles submitted to regular issue