arbiter
JournalsAccount

PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK

Gerasimos G. Rompotis

Applied Finance Letters2024https://doi.org/10.24135/afl.v13i.767article
ABDC B
Weight
0.43

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.

2 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.24135/afl.v13i.767

Or copy a formatted citation

@article{gerasimos2024,
  title        = {{PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK}},
  author       = {Gerasimos G. Rompotis},
  journal      = {Applied Finance Letters},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.24135/afl.v13i.767},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.43

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.