Evaluating the tracking performance and tracking error of New Zealand exchange traded funds

2017 ◽  
Vol 29 (3) ◽  
pp. 443-462 ◽  
Author(s):  
Jun Chen ◽  
Yi Chen ◽  
Bart Frijns
Keyword(s):  
New Zealand ◽  
Design Methodology ◽  
Tracking Error ◽  
Cointegration Analysis ◽  
Tracking Performance ◽  
Exchange Traded Funds ◽  
Frequency Tracking ◽  
Content Type ◽  
Regression Methods ◽  
Daily Frequency

Purpose The aim of this study is to examine the tracking performance and tracking error (TE) of New Zealand exchange traded fsunds (ETFs). Design/methodology/approach The authors use regression methods and cointegration analysis to examine tracking performance. Multivariate regressions are used to examine the determinants of TE. Findings At the daily frequency, the authors observe that the ETFs have substantially different exposures to their underlying indexes from what they should be, which is confirmed by cointegration analysis. At the monthly frequency, tracking performance improves but still shows significant differences between the ETF and its underlying index. When the authors examine the TEs of the ETFs, the authors observe that these are substantial and that there is considerable variation in TE. Regression analysis shows that both characteristics of the ETF and the constituents of the index the ETF tracks, as well as the volatility of the underlying benchmark are determinants of the TE of the ETFs. Originality/value This is the first study to examine New Zealand-based ETFs. The findings contribute to understanding the performance of these ETFs and are of relevance to academics, investors and the ETF provider.

scholarly journals The golden target: analyzing the tracking performance of leveraged gold ETFs

2015 ◽  
Vol 32 (3) ◽  
pp. 278-297 ◽  
Author(s):  
Tim Leung ◽  
Brian Ward
Keyword(s):  
Minimization Problem ◽  
Design Methodology ◽  
Detailed Comparison ◽  
Tracking Performance ◽  
Exchange Traded Funds ◽  
Tracking Errors ◽  
Content Type ◽  
Leverage Ratio ◽  
Quadratic Minimization ◽  
Gold Futures

Purpose – The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach – The author formulates and solves a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark. Findings – The results suggest that market-traded LETFs do not track a leveraged position in gold effectively over a long horizon, and the dynamic leveraged futures portfolio achieves lower tracking errors over multiple years. Research limitations/implications – The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold exchange-traded funds to achieve a desired leveraged exposure in spot gold. Originality/value – The main contribution of the study is the use of gold futures to dynamically replicate a gold benchmark with any given leverage ratio and the detailed comparison of the tracking performance of LETFs versus optimal static and dynamic futures portfolios.

Century plus journeys: using career crafting to explore the career success of pioneer women accountants

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohini P. Vidwans ◽  
Rosalind H. Whiting
Keyword(s):  
New Zealand ◽  
Great Britain ◽  
Organizational Support ◽  
Career Success ◽  
Design Methodology ◽  
Content Type ◽  
The Usa ◽  
Political Economic ◽  
Pioneer Women ◽  
Insight Into

PurposeThe purpose of this study is to explore the struggle for entry and career success of the early pioneer women accountants in Great Britain and its former colonies the USA, Canada, Australia and New Zealand.Design/methodology/approachA career crafting matrix guides the analysis of historical information available on five pioneer women accountants in order to understand their success in gaining entry into the profession and their subsequent careers.FindingsDespite an exclusionary environment, career crafting efforts coupled with family and organizational support enabled these women to become one of the first female accountants in their respective countries. Their struggles were not personal but much broader—seeking social, political, economic and professional empowerment for women.Originality/valueThis is the first paper to utilize the career crafting matrix developed from current female accountants' careers to explore careers of pioneering female accountants. It adds to the limited literature on women actors in accounting and may provide insight into approaching current forms of difference and discrimination.

Simple correlations for calculating NHTPB enthalpy of formation through molecular structures

2019 ◽  
Vol 15 (1) ◽  
pp. 258-264 ◽  
Author(s):  
Hamid Reza Ghaieni ◽  
Saeed Tavangar ◽  
Mohammad Moein Ebrahimzadeh Qhomi
Keyword(s):  
Enthalpy Of Formation ◽  
Design Methodology ◽  
Predictive Power ◽  
Cross Validation ◽  
Molecular Structures ◽  
Mean Square ◽  
Mean Square Deviation ◽  
Simple Correlation ◽  
Content Type ◽  
Regression Methods

Purpose The purpose of this paper is to present simple correlation for calculating nitrated hydroxyl-terminated polybutadiene (NHTPB) enthalpy of formation. Design/methodology/approach It uses multiple linear regression methods. Findings The proposed correlation has determination coefficient 0.96. The correlation has root mean square deviation and the average absolute deviations values 53.4 and 46.1 respectively. Originality/value The predictive power of correlation is checked by cross-validation method (R2=0.96, Q L O O 2 = 0.96 ).

scholarly journals Accountability reporting objectives of Māori organizations

2018 ◽  
Vol 30 (4) ◽  
pp. 433-443 ◽  
Author(s):  
Russell Craig ◽  
Rawiri Taonui ◽  
Susan Wild ◽  
Lũcia Lima Rodrigues
Keyword(s):  
New Zealand ◽  
Design Methodology ◽  
Indigenous Communities ◽  
Core Values ◽  
Annual Reports ◽  
Content Type ◽  
Cultural Activities ◽  
The Core ◽  
Regional Associations

Purpose This paper aims to highlight the accountability reporting objectives of four Māori-controlled organizations. The examples cited reflect the core values of the indigenous Māori people of New Zealand (Aotearoa) and help demonstrate how these values are manifest in the accountability reporting of Māori-controlled organizations. Design/methodology/approach Narrative sections of ten annual reports of two small and two large Maori organizations, drawn variously from their financial years ending in the calendar years 2009 to 2014, are read closely. These organizations represent diverse tribal and regional associations in terms of size, scope and structure; and in terms of the business, social and cultural activities they pursue. Findings Three core Māori values are identified: spirituality (wairuatanga); intergenerationalism and restoration (whakapapa); and governance, leadership and respect (mana and rangatiratanga). The commitment to these values and the way this commitment is reflected in accountability reports of Maori organizations, is presented. Originality/value The examples provided, and the associated discussion, should help inform reporting initiatives of organizations that are seeking better accountability in terms of their long-term engagement with indigenous communities, the environment and broader society.

On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations

2018 ◽  
Vol 30 (4) ◽  
pp. 463-481 ◽  
Author(s):  
Bart Frijns ◽  
Ivan Indriawan
Keyword(s):  
New Zealand ◽  
Stock Returns ◽  
Tracking Error ◽  
Tracking Errors ◽  
Content Type ◽  
Portfolio Holdings ◽  
Market Index ◽  
Stock Picking ◽  
Fund Size ◽  
Managed Funds

Purpose This paper aims to assess the ability of New Zealand (NZ) actively managed funds to generate risk-adjusted outperformance using portfolio holdings data. Focusing on domestic equity allocations addresses the benchmark selection issue, particularly for funds with national and international exposures. Design/methodology/approach The authors assess performance using several asset pricing models including the CAPM, three-factor and four-factor models. The authors also assess performance across funds with different characteristics such as fund size, size of local holdings, type of fund provider, past returns and fees. The authors further examine whether funds engage in any stock-picking or market timing by considering the active share and tracking error. Findings The returns on NZ equity holdings of NZ actively managed funds from 2010 to 2017 provide little evidence of risk-adjusted outperformance and stock-picking skill. These exposures yield pre-cost returns that have a nearly perfect correlation with the market index and an insignificant alpha. Funds show little tendency to bet on any of the main characteristics known to predict stock returns, such as size, book-to-market and momentum. In addition, the authors show that the average active shares and tracking errors are low, suggesting that the majority of funds hold NZ equity portfolios that closely mimic the market index. Originality/value Existing studies rely on returns data which aggregate performance across all asset classes with varying exposures. This may lead to benchmark selection issues (particularly for funds with international exposures) which may obscure the fund manager’s true stock-picking skills. Assessment using holdings data would enable suitable performance measurement by researchers and industry analysts.

Large-cap vs small-cap portfolio performance: new empirical evidence from ETFs

2019 ◽  
Vol 18 (1) ◽  
pp. 71-94
Author(s):  
Gerasimos Rompotis
Keyword(s):  
Design Methodology ◽  
Portfolio Performance ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Time Data ◽  
Content Type ◽  
Risk Characteristics ◽  
The Usa ◽  
First Time ◽  
Practical Implications

PurposeA well-documented pattern in the literature concerns the outperformance of small-cap stocks relative to their larger-cap counterparts. This paper aims to address the “small-cap versus large-cap” issue using for the first time data from the exchange traded funds (ETFs) industry.Design/methodology/approachSeveral raw return and risk-adjusted return metrics are estimated over the period 2012-2016.FindingsResults are partially supportive of the “size effect”. In particular, small-cap ETFs outperform large-cap ETFs in overall raw return terms even though they fail the risk test. However, outperformance is not consistent on an annual basis. When risk-adjusted returns are taken into consideration, small-cap ETFs are inferior to their large-cap counterparts.Research limitations/implicationsThis research only covers the ETF market in the USA. However, given the tremendous growth of ETF markets worldwide, a similar examination of the “small vs large capitalization” issue could be conducted with data from other developed ETF markets in Europe and Asia. In such a case, useful comparisons could be made, so that we could conclude whether the findings of the current study are unique and US-specific or whether they could be generalized across the several international ETF markets.Practical implicationsA possible generalization of the findings would entail that profitable investment strategies could be based on the different performance and risk characteristics of small- and large-cap ETFs.Originality/valueThis is the first study to examine the performance of ETFs investing in large-cap stock indicesvis-à-visthe performance of ETFs tracking indices comprised of small-cap stocks.

Affect and the history of masculinities

2014 ◽  
Vol 14 (1) ◽  
pp. 28-40 ◽  
Author(s):  
Chris Brickell
Keyword(s):  
Nineteenth Century ◽  
New Zealand ◽  
Design Methodology ◽  
Social Connectedness ◽  
Late Nineteenth Century ◽  
Close Attention ◽  
Content Type ◽  
Relational Quality ◽  
History Of ◽  
Late Nineteenth

Purpose – Many scholarly disciplines are currently engaged in a turn to affect, paying close attention to emotion, feeling and sensation. The purpose of this paper is to locate affect in relation to masculinity, time and space. Design/methodology/approach – It suggests that historically, in a range of settings, men have been connected to one another and to women, and these affective linkages tells much about the relational quality and texture of historically experienced masculinities. Findings – Spatial settings, in turn, facilitate, hinder and modify expressions and experiences of affect and social connectedness. This paper will bring space and time into conversation with affect, using two examples from late nineteenth-century New Zealand. Originality/value – If masculinities scholars often focus on what divides men from women and men from each other, the paper might think about how affect connects people.

Exploring the relationship between dispositions to think critically and sustainability concern in HESD

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kerry Shephard ◽  
Qudsia Kalsoom ◽  
Ritika Gupta ◽  
Lorenz Probst ◽  
Paul Gannon ◽  
...  
Keyword(s):  
Higher Education ◽  
Sustainable Development ◽  
Critical Thinking ◽  
New Zealand ◽  
Design Methodology ◽  
Educational Systems ◽  
Content Type ◽  
The Usa ◽  
The Relationship ◽  
Practical Implications

Purpose Higher education is uncertain which sustainability-related education targets should be sought and monitored. Accepting that something needs to be measurable to be systematically improved, the authors explored how measures relate to potential targets. This paper aims to focus on dispositions to think critically (active open-minded thinking and fair-minded thinking in appraising reasoning) as measures and explored how they related to sustainability concern as an indicative educational target. Design/methodology/approach This research included the development and testing of research instruments (scales) that explored dispositions to critical thinking and sustainability concern. Authors researched these instruments within their own correspondence groups and tested them with university students and staff in Pakistan, the USA, Austria, India and New Zealand. The authors also asked a range of contextualising questions. Findings Respondents’ disposition to aspects of active, open-minded thinking and fair-minded thinking do predict their concern about facets of sustainability but their strength of religious belief was an important factor in these relationships and in their measurement. Practical implications This research demonstrates the complexity of monitoring dispositions to think critically and sustainability concern in educational systems, particularly in circumstances where the roles of religious beliefs are of interest; and suggests ways to address this complexity. Originality/value This research integrates and expands discourses on ESD and on critical thinking in diverse disciplines and cultures. It investigates measurement approaches and targets that could help higher education institutions to educate for sustainable development and to monitor their progress, in ways that are compatible with their culture and values.

Used vehicle global supply chains: perspectives on a direct-import model

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yangyan Shi ◽  
Tiru Arthanari ◽  
V.G. Venkatesh ◽  
Samsul Islam ◽  
Venkatesh Mani
Keyword(s):  
New Zealand ◽  
Time Management ◽  
Design Methodology ◽  
Structured Interview ◽  
Global Supply Chains ◽  
Business Practices ◽  
Content Type ◽  
And Performance ◽  
Key Aspects ◽  
Practical Implications

Purpose This study aims to provide a comprehensive understanding of the supply chain (SC) operations of importing used vehicles into New Zealand and how such SCs affect business practices and performance. Design/methodology/approach The study uses an exploratory qualitative semi-structured interview approach to interview the different stakeholders involved in the global used vehicle SC. Findings The research identifies the overall network structure of the used import vehicle SC from Japan to New Zealand and characterises key aspects of its operations and network connections. This paper finds that Japanese buying agents have integrated increasing numbers of services to provide a trouble-free trading platform, which has created a direct-import model for used vehicle companies in New Zealand. Practical implications The findings and recommendations are useful in designing and managing the used vehicle SC for all stakeholders and effective real-time management of uncertain factors. Originality/value The paper primarily analyses SC operations by researching the cooperation and coordination between SC components and networks, based on providing the flow of used vehicles from Japan to New Zealand. It constitutes a pioneering practice-perspective research paper in this domain.

FINRA relaxes restrictions on pre-inception performance data

2019 ◽  
Vol 20 (3) ◽  
pp. 6-9
Author(s):  
Richard F. Kerr ◽  
Matthew J. Rogers
Keyword(s):  
Design Methodology ◽  
Performance Data ◽  
Exchange Traded Funds ◽  
Investment Management ◽  
Content Type ◽  
Investment Companies ◽  
Practical Guidance ◽  
Marketing Materials ◽  
Important Shift

Purpose To explain the significance of a recently issued interpretive letter in which FINRA staff agreed to permit the use of pre-inception index performance data by passively managed, registered open-end investment companies. Design/methodology/approach FINRA recently issued an interpretive letter extending previously issued guidance by permitting passively managed open-end registered investment companies including separately-managed series of a business trust to use pre-inception index performance data in Institutional Communications. Findings The 2019 Letter is an important shift in how FINRA staff views PIP data in Institutional Communications by acknowledging that passively managed open-end funds should be treated in a similar manner as passively managed exchange-traded funds. This shift will be a welcome development for FINRA member firms wishing to include PIP data in marketing materials for the passively managed open-end funds they distribute. Originality/value Practical guidance from experienced investment management and broker-dealer lawyers.

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