Search results

1 – 10 of over 23000
Article
Publication date: 7 September 2015

Stoyu I. Ivanov

The purpose of this paper is to find if erosion of value exists in grantor trust structured exchange traded funds. The author examines the performance of six currency…

Abstract

Purpose

The purpose of this paper is to find if erosion of value exists in grantor trust structured exchange traded funds. The author examines the performance of six currency exchange traded funds’ tracking errors and pricing deviations on intradaily-one-minute interval basis. All of these exchange traded funds are grantor trusts. The author also studies which metric is of more importance to investors in these exchange traded funds by examining how these performance metrics are related to the exchange traded funds’ arbitrage mechanism.

Design/methodology/approach

The Australian Dollar ETF (FXA) is designed to be 100 times the US Dollar (USD) value of the Australian Dollar, the British Pound ETF (FXB) is designed to be 100 times the USD value of the British Pound, the Canadian Dollar ETF (FXC) is designed to be 100 times the USD value of the Canadian Dollar, the Euro ETF (FXE) is designed to be 100 times the USD value of the Euro, the Swiss Franc ETF (FXF) is designed to be 100 times the USD value of the Swiss Franc and the Japanese Yen ETF (FXY) is designed to be 10,000 times the USD value of the Japanese Yen. The author uses these proportions to estimate pricing deviations. The author uses a moving average model based on an Elton et al. (2002) to estimate if tracking error or pricing deviation are more relevant in ETF arbitrage and thus to investors.

Findings

The author documents that the average intradaily tracking errors for the six currency ETFs are relatively small and stable. The tracking errors are highest for the FXF, 0.000311 percent and smallest for FXB, −0.000014 percent. FXB is the only ETF with a negative tracking error. All six ETFs average intradaily pricing deviations are negative with the exception of the FXA pricing deviation which is a positive $0.17; the rest of the ETFs pricing deviations are −0.3778 for FXB, −0.3231 for FXC, −0.2697 for FXC, −0.2697 for FXE, −0.6484 for FXF and −0.9273 for FXY. All exhibit skewness, kurtosis, very high levels of positive autocorrelation and negative trends, which suggests erosion of value. The author also found that these exchange traded funds’ arbitrage mechanism is more closely related to the exchange traded funds’ pricing deviation than tracking error.

Research limitations/implications

The paper uses high-frequency one-minute interval data in the analysis of pricing deviation which might be artificially deflating standard errors and thus inflating the t-test significance values.

Originality/value

The paper is relevant to ETF investors and contributes to the continuing search in the finance literature of better ETF performance metric.

Details

International Journal of Managerial Finance, vol. 11 no. 4
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 9 May 2016

Friedrich Osterhoff and Christoph Kaserer

The purpose of this paper is to contribute to a better understanding of the impact of market liquidity on the daily tracking error of exchange-traded funds (ETFs). It puts…

1624

Abstract

Purpose

The purpose of this paper is to contribute to a better understanding of the impact of market liquidity on the daily tracking error of exchange-traded funds (ETFs). It puts a special focus on the liquidity cost of individual underlying stocks as well as the process of creation/redemption of ETF shares as key determinants of tracking ability.

Design/methodology/approach

The study is based on daily observations of fund data for eight fully replicating German equity ETFs for July 2001-October 2013. A regression model with fund fixed effects is chosen to determine the effect of liquidity cost, creation/redemption and other control variables on daily tracking error. Data were compiled from issuer websites and Datastream. Proprietary XETRA Liquidity Measure, which was used as proxy for liquidity cost was supplied by Deutsche Börse.

Findings

The study finds daily tracking error to significantly depend on the liquidity of underlying stocks. This finding emerges even though the ETFs in this study predominantly use in-kind creation/redemption. Even after controlling for creation/redemption, the liquidity impact remains basically unchanged. One reason might be imperfect replication of index weights: Either the in-kind-basket delivered in the course of creation/redemption does not perfectly match the benchmark-weights or the internal rebalancing of weights causes liquidity cost.

Originality/value

To the best of the authors’ knowledge, this is the first paper that uses a specific liquidity measure for each single stock underlying an ETF. The findings extend the literature by corroborating the view that liquidity of individual stocks in the underlying portfolio has an impact on tracking error.

Details

Managerial Finance, vol. 42 no. 5
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 7 September 2015

Stephen Lee and Giacomo Morri

The purpose of this paper is to analyse the performance of UK property funds using the dual sources of active management, Active Share and tracking error, to distinguish…

1246

Abstract

Purpose

The purpose of this paper is to analyse the performance of UK property funds using the dual sources of active management, Active Share and tracking error, to distinguish between the types of active management styles used by funds.

Design/methodology/approach

The authors use data on 38 UK real estate funds and classify them into five active management categories using the dual sources of active management, Active Share and tracking error. Then, the authors compare their return performance against Active Share, tracking error, fund size and leverage. Therefore the paper is able to answer two of the fundamental questions of investment: does active management add value and what form of active management, stock selection or factor risk, is better at adding value to the fund?

Findings

There are three main conclusions. First, the approach of Cremers and Petajisto (2009) and Petajisto (2010) is able to classify real estate funds in the UK on their management activity into categories that makes intuitive sense and seem stable over time. Second, balanced funds show relatively low Active Shares and particularly low tracking errors, due to the benefits of property-type diversification. In contrast, specialists funds display higher Active Shares and both low and high tracking errors depending on their stock-picking approach; diversified or concentrated. Third, an analysis over different time periods confirmed that funds in the sample essentially remained in the same categories within the sample period, even during markedly different market return periods. This implies that investors need to constantly monitor changes in the market and switch between fund management styles, if at all possible.

Research limitations/implications

The analysis was only based on 38 funds with complete data over the sample period and the relationship between fees and active management was not examined, even though ultimately investors are concerned with returns after management fee. It would be instructive therefore if the number of funds and time period was expanded to see if the results are robust and to see whether management fees outweigh the benefits of active manager.

Practical implications

The findings should enable investors to make a more informed investment decisions in the future.

Originality/value

To the best of the author’s knowledge this is the first paper to apply the dual sources of active management, Active Share and tracking error, in the UK real estate market.

Details

Journal of Property Investment & Finance, vol. 33 no. 6
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 26 January 2010

Yu Jie, Wang Xinlong and Ji Jiaxing

The purpose of this paper is to improve the tracking performance of the carrier phase lock loop (PLL) in the strapdown inertial navigation system/global positioning system…

Abstract

Purpose

The purpose of this paper is to improve the tracking performance of the carrier phase lock loop (PLL) in the strapdown inertial navigation system/global positioning system (SINS/GPS) integrated system with an innovative scheme of ultra‐tight integration.

Design/methodology/approach

First, providing the Doppler frequency for PLL using SINS velocity could enlarge the loop equivalent bandwidth and reduce the dynamic effect on the carrier loop. Meanwhile, lowering the filter bandwidth could increase the immunity to noise. Second, the relationships between the PLL and SINS errors have been analyzed, and then the PLL error model is established to eliminate the correlation between the pseudo‐range‐rate error and SINS velocity error. Third, the carrier frequency is regulated to improve the tracking accuracy, according to the error estimations of Kalman filter.

Findings

The innovative ultra‐tightly integrated system could not only enhance the anti‐jamming capability and the dynamic tracking performance of the tracking loops, but also improve the pseudo‐range‐rate measurements accuracy for the integrated filter.

Originality/value

This paper provides further study on the method of enhancing the carrier‐tracking performance and improving the integration mode in the ultra‐tightly integrated system based on the software‐defined GPS receiver.

Details

Aircraft Engineering and Aerospace Technology, vol. 82 no. 1
Type: Research Article
ISSN: 0002-2667

Keywords

Article
Publication date: 8 March 2011

Gerasimos G. Rompotis

The purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the…

3631

Abstract

Purpose

The purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance.

Design/methodology/approach

The author uses a sample of 50 iShares during the period 2002‐2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable.

Findings

The results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short‐term level. The tracking error of ETFs also persists at the short‐term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable.

Originality/value

The findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error‐concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors.

Details

Studies in Economics and Finance, vol. 28 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 3 August 2012

Mahmod Qadan and Joseph Yagil

The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on…

Abstract

Purpose

The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error.

Design/methodology/approach

The authors apply the Error Correction Model that incorporates a short‐run adjustment mechanism on domestic US ETFs that follow industrial indices.

Findings

It was found that tracking errors attained pronounced levels during 2008 compared to 2006 and 2007, mainly in ETFs from the real estate and banking and finance sectors. In addition, tracking error is positively correlated with the daily volatility of the ETF, while trading volume has a limited effect on reducing tracking errors.

Practical implications

The paper sheds more light on the relationship between securities and their fundamentals, and contributes to the literature on the information transmission mechanism for dually‐listed securities.

Originality/value

The paper uses the co‐integration tests and the error correction model (ECM) to test the long‐run relationship between returns on domestic exchange trade funds (ETFs) and the returns on the underlying indices. In particular, the ECM is used for ETFs for the first time.

Article
Publication date: 12 April 2013

Narat Charupat and Peter Miu

The purpose of this paper is to provide a brief review of three strands of the literature on exchange‐traded funds.

4192

Abstract

Purpose

The purpose of this paper is to provide a brief review of three strands of the literature on exchange‐traded funds.

Design/methodology/approach

The paper starts with a review of the history of the growth of exchange‐traded funds and their characteristics. The paper then examines the key factors and findings of the existing studies on, respectively, the pricing efficiency, the tracking ability/performance, and the impact on underlying securities of exchange‐traded funds.

Findings

Although there has been a substantial amount of research conducted to advance our knowledge on the trading, management, and effect of exchange‐traded funds, the findings are still far from conclusive in addressing a number of research questions.

Practical implications

Investors and other market participants will find this review informative in enhancing the understanding of exchange‐traded funds.

Originality/value

By highlighting the general theme of the related research findings, the paper provides a systematic review of the existing literature that future researchers can utilize in developing their research agenda.

Details

Managerial Finance, vol. 39 no. 5
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 6 May 2021

Yuexin Zhang, Lihui Wang and Yaodong Liu

To reduce the effect of parameter uncertainties and input saturation on path tracking control for autonomous combine harvester, a path tracking controller is proposed…

Abstract

Purpose

To reduce the effect of parameter uncertainties and input saturation on path tracking control for autonomous combine harvester, a path tracking controller is proposed, which integrates an adaptive neural network estimator and a saturation-aided system.

Design/methodology/approach

First, to analyze and compensate the influence of external factors, the vehicle model is established combining a dynamic model and a kinematic model. Meanwhile, to make the model simple, a comprehensive error is used, weighting heading error and position error simultaneously. Second, an adaptive neural network estimator is presented to calculate uncertain parameters which eventually improve the dynamic model. Then, the path tracking controller based on the improved dynamic model is designed by using the backstepping method, and its stability is proved by the Lyapunov theorem. Third, to mitigate round-trip operation of the actuator due to input saturation, a saturation-aided variable is presented during the control design process.

Findings

To verify the tracking accuracy and environmental adaptability of the proposed controller, numerical simulations are carried out under three different cases, and field experiments are performed in harvesting wheat and paddy. The experimental results demonstrate the tracking errors of the proposed controller that are reduced by more than 28% with contrast to the conventional controllers.

Originality/value

An adaptive neural network-based path tracking control is proposed, which considers both parameter uncertainties and input saturation. As far as we know, this is the first time a path tracking controller is specifically designed for the combine harvester with full consideration of working characteristics.

Details

Industrial Robot: the international journal of robotics research and application, vol. 48 no. 4
Type: Research Article
ISSN: 0143-991X

Keywords

Article
Publication date: 13 June 2022

Qiang Liu, Shicai Shi, Minghe Jin, Shaowei Fan and Hong Liu

This study aims to design a controller which can improve the end-effector low-frequency chattering resulting from the measurement noise and the time delay in the on-orbit…

Abstract

Purpose

This study aims to design a controller which can improve the end-effector low-frequency chattering resulting from the measurement noise and the time delay in the on-orbit tasks. The rendezvous point will move along the rendezvous ring owing to the error of the camera, and the manipulators’ collision need be avoided. In addition, owing to the dynamics coupling, the manipulators’ motion will disturb the spacecraft, and the low tracking accuracy of the end-effector needs to be improved.

Design/methodology/approach

This paper proposes a minimum disturbance controller based on the synchronous and adaptive acceleration planning to improve the tracking error and the disturbance energy. The synchronous and adaptive acceleration planning method plans the optimal rendezvous point and designs synchronous approaching method and provides an estimation method of the rendezvous point acceleration. A minimum disturbance controller is designed based on the energy conservation to optimize the disturbance resulting from the manipulator’s motion.

Findings

The acceleration planning method avoids the collision of two end-effectors and reduces the error caused by the low-frequency chattering. The minimum disturbance controller minimizes the disturbance energy of the manipulators’ motion transferred to the spacecraft. Experiment results show that the proposed method improves the low-frequency chattering, and the average position tracking error reduces by 30%, and disturbance energy reduces by 30% at least. In addition, it has good performances in the synchronous motion and adaptive tracking.

Originality/value

Given the immeasurability of the target satellite acceleration in space, this paper proposes an estimation method of the acceleration. This paper proposes a synchronous and adaptive acceleration planning method. In addition, the rendezvous points are optimized to avoid the two end-effectors collisions. By the energy conservation, the minimum disturbance controller is designed to ensure a satisfying tracking error and reduce the disturbance energy resulting from the manipulators’ motion.

Details

Industrial Robot: the international journal of robotics research and application, vol. 49 no. 6
Type: Research Article
ISSN: 0143-991X

Keywords

Article
Publication date: 19 November 2021

Yanbiao Zou and Hengchang Zhou

This paper aims to propose a weld seam tracking method based on proximal policy optimization (PPO).

Abstract

Purpose

This paper aims to propose a weld seam tracking method based on proximal policy optimization (PPO).

Design/methodology/approach

By constructing a neural network based on PPO and using the reference image block and the image block to be detected as the dual-channel input of the network, the method predicts the translation relation between the two images and corrects the location of feature points in the weld image. The localization accuracy estimation network (LAE-Net) is built to update the reference image block during the welding process, which is helpful to reduce the tracking error.

Findings

Off-line simulation results show that the proposed algorithm has strong robustness and performs well on the test set of curved seam images with strong noise. In the welding experiment, the movement of welding torch is stable, the molten material is uniform and smooth and the welding error is small, which can meet the requirements of industrial production.

Originality/value

The idea of image registration is applied to weld seam tracking, and the weld seam tracking network is built on the basis of PPO. In order to further improve the tracking accuracy, the LAE-Net is constructed and the reference images can be updated.

Details

Industrial Robot: the international journal of robotics research and application, vol. 49 no. 4
Type: Research Article
ISSN: 0143-991X

Keywords

1 – 10 of over 23000