Performance evaluation of exchange-traded funds in emerging markets

Abstract

This paper evaluates the performance of ETFs in the global emerging markets, focusing on China. Historical data on six ETFs are collected through the period 2012 to 2013. To examine the performance of the ETFs based on the sample, this paper employs the methodology of Jensen’s Alpha, Sharpe Ratio and Tracking Error. The results of the empirical study confirm under performance of the selected ETFs in China relative to the market. However, ETFs have some other advantages as an investment instrument such as low expense and tax efficiency.