TY - JOUR AU - Pan, Wei-Fong AU - Li, Ting PY - 2016/06/30 Y2 - 2024/03/29 TI - The Measurement of Tracking Errors of Gold ETFS: Evidence from China JF - Applied Finance Letters JA - AFL VL - 5 IS - 1 SE - Articles submitted to regular issue DO - 10.24135/afl.v5i1.31 UR - https://ojs.aut.ac.nz/applied-finance-letters/article/view/31 SP - 2-11 AB - This paper presents the first study on the measurement of tracking errorsusing daily figures for gold exchange-traded funds (ETFs) in China. Threemethods are employed to measure tracking errors: 1) calculating theabsolute error measure, 2) calculating the differences between thestandard deviation of the benchmark index and the ETF, and 3) aregression analysis of empirical returns. In general, the results suggest thatthe tracking errors of these ETFs in China are lower than those of equitybasedETFs in Hong Kong, the US, and Australia. This study further appliedtwo optimised replication portfolios (50-10-10-30 and 90-2-3-5) for a totalof three types of simulation portfolio. The overall results suggest that theperformances of the optimised replication portfolios were better than theperformance of the full replication portfolio. Our results provide valuableinsight for both institutional and retail investors and the opportunity forexposure to a wide range of commodity ETFs in China. ER -