European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis
研究了2007-2010年间31只欧元区主权债务ETF的跟踪表现，发现基金普遍跑输基准，且基于互换和实物复制方法的基金表现差异显著，主权债务危机改变了债券特征进而影响跟踪误差。
Abstract This study examines the tracking performance of 31 eurozone sovereign debt exchange traded index funds (ETFs) during 2007–2010. The tracking performance is assessed by four different tracking error models. Overall, funds underperform their respective benchmarks. Active returns (net of fees) vary substantially (from +46.74 to −30.36 basis points) and are of considerable economic interest. The significant differences in the performance of swap‐based and in‐kind funds highlight the importance of appropriate (e.g. correlation vs. cointegration based) metrics required for the assessment of funds adopting different replication methods. We also document important changes in the tracking performance due to the changing characteristics of EU sovereign bonds since the start of the sovereign debt crisis .