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An Empirical Analysis of Swedish Exchange Traded Funds, ETFs
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2017 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper evaluates a sample of leveraged Exchange Traded Funds, ETFs which are traded on Stockholm Stock Exchange, Nasdaqomx. This thesis is essentially concerned about the performance of ETFs, Tracking Error characteristic and its determinants. The findings present that this sample gives the investors average return which exceeds the market return for the period 2011-2016. The Tracking Error, TE, of the funds is relatively high and it shows slow improvements over time.  Management fee and size of the fund have an inverse relationship with Tracking Error and they could explain large part of inducing the diversion from the benchmarks. On the other hand, intraday volatility has a limited effect on determining the Tracking Error with positive relationship.

Place, publisher, year, edition, pages
2017. , 38 p.
Keyword [en]
ETFs, Tracking Error, performance, operational determinants
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-36152ISRN: JU-IHH-FÖA-2-20170522OAI: oai:DiVA.org:hj-36152DiVA: diva2:1110442
Subject / course
IHH, Business Administration
Presentation
2017-06-02, Jönköping, 12:40 (English)
Supervisors
Examiners
Available from: 2017-08-08 Created: 2017-06-15 Last updated: 2017-08-08Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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Output format
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  • asciidoc
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