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• W2291702110 abstract "The extent to which an index fund successfully tracks its benchmark index is gauged by two metrics: excess return and tracking error. Using a cross-sectional sample of 198 U.S.-domiciled, index exchange-traded funds (ETFs) covering 921 annual observations, the authors analyze the effect of several input variables on index funds’ excess return and tracking error. Because the sample consists of ETFs, we conduct the analysis on the basis of both net asset value (NAV) and market price. They find that a fund’s expense ratio is the dominant variable that has a significant—and negative—effect on excess return. With respect to NAV-based tracking error, they report that higher active-share levels and the existence of fair-value pricing increased tracking error. Surprisingly, the authors also find that higher expense ratios were associated with higher levels of tracking error. Finally, on a market-price basis, the effects of fair-value pricing on tracking error were greatly reduced. <b>TOPICS:</b>Mutual funds/passive investing/indexing, portfolio management/multi-asset allocation" @default.
• W2291702110 created "2016-06-24" @default.
• W2291702110 creator A5051591978 @default.
• W2291702110 creator A5067607982 @default.
• W2291702110 date "2015-04-30" @default.
• W2291702110 modified "2023-10-18" @default.
• W2291702110 title "The Ins and Outs of Index Tracking" @default.
• W2291702110 cites W1965095513 @default.
• W2291702110 cites W3123700708 @default.
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• W2291702110 doi "https://doi.org/10.3905/jpm.2015.41.3.035" @default.
• W2291702110 hasPublicationYear "2015" @default.
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