Transcription of Measuring Performance of Exchange Traded Funds
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Measuring Performance of Exchange Traded Funds
Measuring Performanceof Exchange Traded Funds Marl ne HassineETF StrategyLyxor Asset Management, RoncalliResearch & DevelopmentLyxor Asset Management, 2013 AbstractFund selection is an important issue for investors. This topic has spawned abundantacademic literature. Nonetheless, most of the time, these works concern only activemanagement, whereas many investors, such as institutional investors, prefer to invest inindex Funds . The tools developed in the case of active management are also not suitablefor evaluating the Performance of these index Funds . This explains why informationratios are usually used to compare the Performance of passive Funds . However, weshow that this measure is not pertinent, especially when the tracking error volatility ofthe index fund is small.
Measuring Performance of Exchange Traded Funds 2 Measuring the efficiency of exchange traded funds 2.1 Performance or efficiency measurement? 2.1.1 Understanding fund picking in active management
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