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<p>This paper assesses the tracking efficiency of seventy equity exchange-traded funds (ETFs) listed in the Australian Stock Exchange over the period 2017–2023. The factors that may affect tracking efficiency are examined too. Our empirical results show that the ETFs in Australia underperform their benchmarks by an average rate of 34% at the cumulative level. As a corollary, the tracking error of the examined ETFs is not immaterial. The tracking inefficiency of ETFs is positively related to the non-full replication strategies applied by the managing companies, while the age of ETFs also seems to have a significant impact on tracking efficiency. Some significant differences in tracking errors among the managing companies of ETFs are revealed too.</p>

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Tracking efficiency of Australian equity ETFs

  • 期刊论文

  • 发表日期：

    2025年2月14日

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  • Gerasimos G. Rompotis

摘要

This paper assesses the tracking efficiency of seventy equity exchange-traded funds (ETFs) listed in the Australian Stock Exchange over the period 2017–2023. The factors that may affect tracking efficiency are examined too. Our empirical results show that the ETFs in Australia underperform their benchmarks by an average rate of 34% at the cumulative level. As a corollary, the tracking error of the examined ETFs is not immaterial. The tracking inefficiency of ETFs is positively related to the non-full replication strategies applied by the managing companies, while the age of ETFs also seems to have a significant impact on tracking efficiency. Some significant differences in tracking errors among the managing companies of ETFs are revealed too.