European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis

摘要: This study examines the tracking performance of 31 eurozone sovereign debt exchange traded index funds (ETFs) during 2007-2010. The is assessed by four different error models. Overall, underperform their respective benchmarks. Active returns (net fees) vary substantially (from +46.74 to -30.36 basis points) and are considerable economic interest. significant differences in swap-based in-kind highlight importance appropriate (e.g. correlation vs. cointegration based) metrics required for assessment adopting replication methods. We also document important changes due changing characteristics EU bonds since start crisis.