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The performance and characteristics of European index exchange-traded funds.

Antoine, Victor
(2021)

Files

ANTOINE_43711200_2021.pdf
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  • 2.62 MB

Details

Supervisors
Thewissen, James
Faculty
Louvain School of Management
Degree label
Master [120] en ingénieur de gestion
Abstract
Although index exchange-traded funds aim at replicating the returns of their benchmark index, funds’ returns may differ from those of the index. In this study, we start by presenting the characteristics of European index ETFs. We then investigate the performance and characteristics of European index ETFs that track major equity indices on top European stock exchanges. We find that all funds exhibit tracking error and tracking difference with regard to their index. In particular, we show that levels of tracking error are different between funds tracking different indices. The same conclusion applies to tracking difference. Furthermore, we show that among all studied characteristics, only the benchmark index can significantly explain variations in tracking difference between funds.