Tracking Difference and Tracking Error, Explained What Contributes to ETF Tracking Difference and Tracking Error? Evaluate How Well Passive Funds Track an Index Passive funds aim to mirror their ...

Investors will often want to know how closely the returns from a fund or portfolio follow a benchmark index (such as the FTSE 100 or the S&P 500). In some cases, they want to make sure that an index ...

So while TE has a purpose in understanding a portfolio’s positions away from benchmark, it does very little to explain the absolute volatility in returns. TE statistics have to be examined in the ...

Low volatility is a widely follow investment factor and it can be argued that in the nearly five years since the PowerShares S&P 500 Low Volatility Portfolio (PowerShares Exchange-Traded Fund Trust II ...

Sharp deviations have been witnessed in the exchange-traded funds tracking Michael Saylor‘s MicroStrategy Inc. (NASDAQ:MSTR), likely stemming from the exposure to its volatile swaps and options. What ...

Equity factor strategies have experienced performance challenges relative to cap-weighted indexes since the COVID-19-induced market crash of 2020. In cap-weighted indexes, companies with higher market ...

While executing all shares in the closing auction can guarantee the closing price, a large order can lead to significant market impact. As shown in Figure 1, a larger the participation rate in the ...

MSTU: On No. 21, MSTU declined 25.3%, 7% less than expected given MicroStrategy’s 16% drop. However, on Nov. 25, MSTU fell 11.3%, exceeding the expected 8.7% ...