Abstract

http://ssrn.com/abstract=1757740
 
 

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


David Blitz


Robeco Asset Management - Quantitative Strategies

Joop Huij


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

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.

Number of Pages in PDF File: 29

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

JEL Classification: G11, G14, G19

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Date posted: February 10, 2011 ; Last revised: January 13, 2012

Suggested Citation

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

Contact Information

David Blitz (Contact Author)
Robeco Asset Management - Quantitative Strategies ( email )
Coolsingel 120
Rotterdam, 3011 AG
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 Quantitative Strategies
Rotterdam, 3011 AG
Netherlands
HOME PAGE: http://www.robeco.com/quant
Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)
P.O. Box 1738
Rotterdam, 3000 DR
Netherlands
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