Pricing Efficiency of Premier ETF LQ-45

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Premier ETF LQ-45 (R-LQ45X) is the first equity ETF in Indonesia that aims to deliver returns equal to the benchmark: LQ-45 Index. Investors can buy or sell R-LQ45X units through primary market and secondary market. The primary difference is from the minimum size: primary market min 200 lot and secondary market min 1 lot (retail based).  The test indicate there is no significant difference between NAV return and last price return (pricing in secondary market is efficient).

By: Susanto Chandra

Tracking Error Analysis of Premier ETF LQ-45

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Premier ETF LQ-45 (R-LQ45X) is the first equity ETF in Indonesia that aims to deliver returns equal to the benchmark: LQ-45 Index. We can compare the performance of R-LQ45X with the benchmark through tracking error analysis. From the t-test, tracking error of 0.20% since inception period indicate there is no significant performance difference between Premier ETF LQ-45 and LQ-45 Index.

By: Susanto Chandra