ETF의 액티브 리스크와 추적오차

• 영문명: Active Risk and Tracking Error of ETFs : Evidence from KOSPI200 ETFs and Portfolio Deposit Files
• 발행기관: 한국무역연구원
• 저자명: 윤주영(Joo Young Yun) 반주일(Ju Il Ban)
• 간행물 정보: 『무역연구』제10권 제6호, 1239~1263쪽, 전체 25쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.12.31

영문 초록

We measure active risks of KOSPI200 ETFs using their daily PDFs (Portfolio Deposit Files) provided by the Korea Securities Depository and test how the active risks affect tracking error of ETFs during the sample period from January 2003 to December 2012. There are three main findings. First, tracking error and active risk of ETFs are quite different cross-sectionally and these have continued to decline over the sample period which suggests that ETFs take different replication strategies and that such strategies tend to move closer toward full replication as time passes by. Second, higher tracking error is related to betting toward small stock, higher Stock Active Share, smaller number of holding stocks, higher cash holding ratio. Third, ETF size reflects significant negative effect on tracking error suggesting that there are economies of scale in the ETF market in terms of tracking error. This paper contributes to the understanding of determinants of tracking error with investors, ETF management companies, securities companies and fund ratings companies expected to utilize our findings for ETF selection, tracking error management, investment recommendation and ETF evaluation.

목차

Abstract

Ⅰ. 서론

Ⅱ. 데이터

Ⅲ. 연구방법론

Ⅳ. 추적오차와 액티브 리스크

Ⅴ. 회귀분석결과

Ⅵ. 결론

참고문헌

키워드

ETF Tracking Error Active Risk Portfolio Deposit File Active Share