TY - JOUR
T1 - Evaluating the Performance of Emerging Markets Equity Exchange-Traded Funds
AU - Huij, Joop
AU - Blitz, D
PY - 2012
Y1 - 2012
N2 - We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns. At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques.
AB - We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns. At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques.
UR - http://ssrn.com/abstract=1757740
U2 - 10.1016/j.ememar.2012.01.004
DO - 10.1016/j.ememar.2012.01.004
M3 - Article
SN - 1566-0141
VL - 13
SP - 149
EP - 158
JO - Emerging Markets Review
JF - Emerging Markets Review
IS - 2
ER -