Liquidity spread key for institutional investors in ETFs, conclude Lyxor researchers

Marlène Hassine, ETF Strategy, and Thierry Roncalli, Research & Development at
Lyxor Asset Management in Paris, have concluded in a research paper that liquidity spread is a vital parameter for active managers using ETFs to implement tactical asset allocation.

The research is born out of the realisation that tools for evaluating active funds are not suitable for evaluating passive funds.

And, rather than use information ratios to compare passive funds, the authors instead propose a performance measure based on value-at-risk, as defined by three parameters: performance difference, tracking error volatility and liquidity

“This efficiency measure is easy to compute and may help investors in their
fund selection process,” the paper states.

To view the full research paper click here: [asset_library_tag 6326,Measuring Performance of Exchange Traded Funds]

The research can also be downloaded from the Social Science Research Network:


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