@article{Pan_Li_2016, title={The Measurement of Tracking Errors of Gold ETFS: Evidence from China}, volume={5}, url={https://ojs.aut.ac.nz/applied-finance-letters/article/view/31}, DOI={10.24135/afl.v5i1.31}, abstractNote={<p align="LEFT">This paper presents the first study on the measurement of tracking errors</p><p align="LEFT">using daily figures for gold exchange-traded funds (ETFs) in China. Three</p><p align="LEFT">methods are employed to measure tracking errors: 1) calculating the</p><p align="LEFT">absolute error measure, 2) calculating the differences between the</p><p align="LEFT">standard deviation of the benchmark index and the ETF, and 3) a</p><p align="LEFT">regression analysis of empirical returns. In general, the results suggest that</p><p align="LEFT">the tracking errors of these ETFs in China are lower than those of equitybased</p><p align="LEFT">ETFs in Hong Kong, the US, and Australia. This study further applied</p><p align="LEFT">two optimised replication portfolios (50-10-10-30 and 90-2-3-5) for a total</p><p align="LEFT">of three types of simulation portfolio. The overall results suggest that the</p><p align="LEFT">performances of the optimised replication portfolios were better than the</p><p align="LEFT">performance of the full replication portfolio. Our results provide valuable</p><p align="LEFT">insight for both institutional and retail investors and the opportunity for</p><p>exposure to a wide range of commodity ETFs in China.</p&gt;}, number={1}, journal={Applied Finance Letters}, author={Pan, Wei-Fong and Li, Ting}, year={2016}, month={Jun.}, pages={2-11} }