IDEAS home Printed from https://ideas.repec.org/a/ibn/ijbmjn/v11y2016i9p63.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.ccsenet.org/journal/index.php/ijbm/article/download/60770/33378
    Download Restriction: no
    File URL: http://www.ccsenet.org/journal/index.php/ijbm/article/view/60770
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Baş, Nazlı Kalfa & Sarıoğlu, Serra Eren, 2015. "Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 19-33, January.
    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. 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.
    4. 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.
    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    2. Agapova, Anna & Kaprielyan, Margarita, 2023. "Diversification measures: Mutual fund family case," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021. "Picking funds with confidence," Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
    5. Li, Zhiyong & Rao, Xiao, 2023. "Exploring the zoo of predictors for mutual fund performance in China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    6. Khaled Obaid & Kuntara Pukthuanthong, 2021. "Informativeness of mutual fund advertisements: Does advertising communicate fund quality to investors?," Financial Management, Financial Management Association International, vol. 50(1), pages 203-236, March.
    7. Li, C. Wei & Tiwari, Ashish & Tong, Lin, 2022. "Mutual fund tournaments and fund Active Share," Journal of Financial Stability, Elsevier, vol. 63(C).
    8. Cao, Charles & Iliev, Peter & Velthuis, Raisa, 2017. "Style drift: Evidence from small-cap mutual funds," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 42-57.
    9. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    10. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2021. "Sustainable investing in equilibrium," Journal of Financial Economics, Elsevier, vol. 142(2), pages 550-571.
    11. Albert Banal-Estanol & Jo Seldeslachts & Xavier Vives, 2022. "Ownership Diversification and Product Market Pricing Incentives," Discussion Papers of DIW Berlin 2023, DIW Berlin, German Institute for Economic Research.
    12. Wang, Danxia, 2024. "Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds," International Review of Financial Analysis, Elsevier, vol. 92(C).
    13. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015. "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 427-455, September.
    14. Alexander Franck & Alexander Kerl, 2014. "The impact of fund characteristics on the use of analyst forecasts," Journal of Asset Management, Palgrave Macmillan, vol. 15(2), pages 92-109, April.
    15. Scheld, Dominik & Stolper, Oscar, 2023. "Leveling the playing field? The effect of disclosing fund manager activeness to individual investors," Journal of Banking & Finance, Elsevier, vol. 154(C).
    16. Gong Cheng & Eric Jondeau & Benoît Mojon, 2022. "Building portfolios of sovereign securities with decreasing carbon footprints," Swiss Finance Institute Research Paper Series 22-66, Swiss Finance Institute.
    17. Jun, Xiao & Ren, He & Sun, Ping-Wen, 2021. "Deriving managerial skills by dissecting holding changes of mutual funds: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    18. Tamas Barko & Martijn Cremers & Luc Renneboog, 2022. "Shareholder Engagement on Environmental, Social, and Governance Performance," Journal of Business Ethics, Springer, vol. 180(2), pages 777-812, October.
    19. Zhang, Jinhua & Wang, Guipu & Yan, Cheng, 2020. "Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China," Economic Modelling, Elsevier, vol. 90(C), pages 11-20.
    20. Itzhak Ben-DAVID & Francesco A. FRANZONI & Rabih MOUSSAWI & John SEDUNOV III, 2015. "The Granular Nature of Large Institutional Investors," Swiss Finance Institute Research Paper Series 15-67, Swiss Finance Institute, revised Apr 2016.

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijbmjn:v:11:y:2016:i:9:p:63. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.