Topic
Exchange-traded fund
About: Exchange-traded fund is a research topic. Over the lifetime, 287 publications have been published within this topic receiving 2322 citations. The topic is also known as: ETF & ETFs.
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Patent•
23 Mar 2001
TL;DR: A system for determining a basket of financial instruments for hedging investment risk in actively managed exchange traded funds is described in this article, which uses a trusted computer system and includes a computer storage medium storing a computer program product.
Abstract: A system for determining a basket of financial instruments for hedging investment risk in actively managed exchange traded funds is described. The system uses a trusted computer system and includes a computer storage medium storing a computer program product. The product determines the basket of hedging instruments by extracting factor information from a portfolio of the actively managed exchange traded fund and determining factors that affect the price of the exchange traded fund. The program can select a portfolio of instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund.
105 citations
TL;DR: In this paper, the authors compare the risk and return performance of exchange-traded funds (ETFs) available for foreign markets and closed-end country funds (CEFs) for 14 countries over a sample period from April 1996 to December 2001.
104 citations
TL;DR: In this paper, the authors provide evidence supporting the notion that arbitrageurs can contribute to return comovement via exchange trade funds (ETF) arbitrage, using a large sample of US equity ETF holdings.
Abstract: We provide novel evidence supporting the notion that arbitrageurs can contribute to return comovement via exchange trade funds (ETF) arbitrage. Using a large sample of US equity ETF holdings, we document the link between measures of ETF activity and return comovement at both the fund and the stock levels, after controlling for a host of variables and fixed effects and by exploiting the ‘discontinuity’ between stock indices. The effect is also stronger among small and illiquid stocks. An examination of ETF return autocorrelations and stock lagged beta provides evidence for price reversal, suggesting that some ETF-driven return comovement may be excessive.
87 citations
TL;DR: In this article, an empirical comparison of the out-of-sample hedging performance from naive and minimum variance hedge ratios for the four largest US index exchange traded funds (ETFs) is presented.
Abstract: This paper presents an empirical comparison of the out of sample hedging performance from naive and minimum variance hedge ratios for the four largest US index exchange traded funds (ETFs). Efficient hedging is important to offset long and short positions on market maker’s accounts, particularly imbalances in net creation or redemption demands around the time of dividend payments. Our evaluation of out of sample hedging performance includes aversion to negative skewness and excess kurtosis. The results should be of interest to hedge funds employing tax arbitrage or leveraged long–short equity strategies as well as to ETF market makers.
77 citations
Patent•
27 Mar 2001
TL;DR: In this article, a system for determining an intra-day net asset value proxy of an actively managed exchanged traded fund and the like includes a trusted computer system that has a physical hardware and operating system configuration in which domain configuration and trust relationships are established to determine access to information in the trusted system.
Abstract: A system for determining an intra-day net asset value proxy of an actively managed exchanged traded fund and the like includes a trusted computer system that has a physical hardware and operating system configuration in which domain configuration and trust relationships are established to determine access to information in the trusted system. The system also decrypts a file having adjusted protfolio information to provide security positions and calculates the intra-day net asset value proxy for the fund by applying prices received from a quote feed to security positions in the fund portfolio.
74 citations