선물계약 만기시기에 따른 선물 ETF의 포트폴리오와 추적오차

• 영문명: Tracking Error and Portfolio of Futures ETFs According to Futures Contracts Maturity
• 발행기관: 한국무역연구원
• 저자명: 김도완(Dowan Kim)
• 간행물 정보: 『무역연구』제17권 제2호, 359~374쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

Purpose - The purpose of this research is to confirm the tracking error of futures ETFs according to their portfolio weights with the most recent and next month’s maturity futures contracts. Design/Methodology/Approach - This research used futures indexes, futures contracts, ETF prices, and net asset value data of ETFs from the Fn Data Guide. Tracking error of futures ETFs, volatility, spread rate, and weight error variables were calculated from the data, and panel regression models from Hausman (1978) were used for empirical analysis. Findings - This research has two findings. First, the tracking error from D-3 (criterion: most recent maturity of futures contracts) to D-day (criterion: most recent maturity of futures contracts) was higher than the other trading days’ tracking errors. This is because the futures index is calculated with the most recent and next month’s maturity futures contracts, and the weight is different. Second, if the weight error between the most recent month’s maturity and next month’s maturity futures contracts is high in ETF portfolios, the tracking error is high. Research Implications - The results from the empirical analysis are as follows. When portfolio managers in futures ETFs do not adjust the futures contract weights between the most recent month’s maturity and next month’s maturity exactly, the tracking error is high. Therefore, managers should reflect the weight of the portfolio exactly.

목차

Ⅰ. 서론

Ⅱ. 이론적 배경

Ⅲ. 연구자료 및 추적오차 정의

Ⅳ. 연구가설 및 모델

Ⅴ. 분석결과

Ⅵ. 결론

키워드

Exchange Traded Fund Futures Contract Futures Index Portfolio Tracking Error