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Empirical Observations on the Tracking Errors and the Risk-Adjusted Returns of REIT-Based Exchange Traded Funds

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  • Subhashis Nandy

Abstract

In the last few years, investments in exchange traded funds (ETFs) have gained significant popularity among the financial investors. Financial investors have also shown enormous interests in investments in REITs (Real Estate Investment Trusts). The researcher has determined the tracking errors of REIT based ETFs from the corresponding REIT indexes. The null hypotheses that there are no correlations between the risk adjusted returns of REIT based ETFs and the risk-adjusted returns of the corresponding index have been tested at 0.05 levels of significances. The period used in this study is from April 2010 to March 2016. The results indicate that the mean tracking errors of REIT based ETFs are very small. The findings also indicate that the null hypotheses that there are no correlations between the risk-adjusted returns of REIT based ETFs and the risk adjusted returns of the corresponding index can be rejected at 0.05 levels of significance.

Suggested Citation

  • Subhashis Nandy, 2016. "Empirical Observations on the Tracking Errors and the Risk-Adjusted Returns of REIT-Based Exchange Traded Funds," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(9), pages 1-63, August.
    • Handle: RePEc:ibn:ijbmjn:v:11:y:2016:i:9:p:63
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    References listed on IDEAS

    as
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    2. K. J. Martijn Cremers & Antti Petajisto, 2009. "How Active Is Your Fund Manager? A New Measure That Predicts Performance," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3329-3365, September.
    3. Ming‐Te Lee & Bang‐Han Chiu & Ming‐Long Lee & Kevin C.H. Chiang & V. Carlos Slawson, 2010. "REIT excess dividend and information asymmetry: evidence with taxable income," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 28(3), pages 221-236, April.
    4. Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
    5. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(3), pages 278-297, August.
    6. Hongfei Tang & Xiaoqing Eleanor Xu, 2013. "Tracking Performance of the United States-Listed China Real Estate ETF," Chinese Economy, Taylor & Francis Journals, vol. 46(5), pages 5-35, September.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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