Shin, Sangheon; Soydemir, Gökçe - In: Journal of Multinational Financial Management 20 (2010) 4-5, pp. 214-234
We estimate tracking errors from 26 exchange-traded funds (ETFs) utilizing three different methods and test their relative performance using Jensen's model. We find that tracking errors are significantly different from zero and display persistence. Based on Jensen's alpha, risk adjusted returns...