Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

29 Pages Posted: 10 Feb 2011 Last revised: 13 Jan 2012

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

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Date Written: February 8, 2011

Abstract

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.

Keywords: passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error

JEL Classification: G11, G14, G19

Suggested Citation

Blitz, David and Huij, Joop, Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds (February 8, 2011). Available at SSRN: https://ssrn.com/abstract=1757740 or http://dx.doi.org/10.2139/ssrn.1757740

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

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