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Title: | Analysing the tracking errors of sustainable equity exchange traded funds (ETFs) |
Authors: | Axiaq, Cassandra Victoria (2022) |
Keywords: | Exchange traded funds Investments -- Environmental aspects Sustainability Social responsibility of business |
Issue Date: | 2022 |
Citation: | Axiaq, C. V. (2022). Analysing the tracking errors of sustainable equity exchange traded funds (ETFs) (Bachelor’s dissertation). |
Abstract: | Both ETFs and sustainable investing have experienced exponential growth in recent years. Increased awareness is continuously being raised concerning sustainable investing through which investors could tap into various facets such as environmental, social and governance (ESG) areas. Due to the relatively recent nature of such topics, literature linking ETFs and ESG is still in its initial phases. The idea behind this dissertation finds its origin in a heightened interest in these contemporary and somewhat unexplored fields. Furthermore, due to the passive nature of ETFs and their element of index-tracking, it was then that this idea was refined and that the research question came to mind. The purpose of this dissertation is to explore whether the tracking error of sustainable equity ETFs is high or not thus, either increasing or otherwise depleting the attractiveness of such funds. Along with other metrics, three main methods were utilised to derive numerical values of the tracking errors of 38 ETFs and their respective underlying benchmark indices. Such methods are based on a 2001 paper by Alex Frino and David R. Gallagher which was published in the Journal of Portfolio Management. Through this study, it was found that the tracking error between the sustainable equity ETFs and their respective benchmarks was minimal, thus, increasing the attractiveness of the mentioned funds. Such findings were consistent across all three tracking error methods. This study contributes to literature relating to both ETFs and also sustainable investing and is quite particular since it brings the two together. Due to the recent nature of such funds, future studies are encouraged such that the time span and population under observation may be increased further, when compared to this study. |
Description: | B.Com.(Melit.) |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/111782 |
Appears in Collections: | Dissertations - FacEma - 2022 Dissertations - FacEMABF - 2022 |
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2208EMABKF413105059275_1.PDF Restricted Access | 4.9 MB | Adobe PDF | View/Open Request a copy |
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