 Tracking Performance of the United States-Listed China Real Estate ETFHongfei Tang and Xiaoqing Eleanor Xu Chinese Economy, 2013, vol. 46, issue 5, 5-35 Abstract: This article examines the tracking performance of the United States-listed Guggenheim China Real Estate Exchange-Traded Fund (NYSE ticker: TAO) relative to its underlying benchmark index (Alphashare China Real Estate Index, ACNRET) and the actual China Home Price Index (CHPI). The daily return of the TAO fund is found to be mainly driven by the U.S. market return and severely underexposed to the return on its underlying index. Examination of the behaviors and sources of the TAO fund's daily return deviation revealed the dominance of market return deviation due to nonsynchronous trading and a moderate level of NAV deviation due to the expense ratio. The nonsynchronous trading-related tracking error does not generate significant return deviation for longer holding periods, leading to a dramatically improved tracking performance. However, investors who intend to use the TAO fund to gain exposure to China's real estate market should be mindful of the fact that the TAO fund's market return or NAV return exposure to the actual China real estate market (as measured by CHPI) is extremely limited due to the lack of representation of the underlying index. Date: 2013 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:chinec:v:46:y:2013:i:5:p:5-35 Ordering information: This journal article can be ordered from Access Statistics for this article More articles in Chinese Economy from Taylor & Francis Journals |
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