Download this Paper Open PDF in Browser

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

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

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)

Multiple version iconThere are 2 versions of this paper

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 Asset Management - Quantitative Strategies ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Joop Huij

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

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

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

Paper statistics

Downloads
728
Rank
27,685
Abstract Views
3,853