Tracking efficiency of Australian equity ETFs

Gerasimos G. Rompotis ()
Additional contact information
Gerasimos G. Rompotis: National and Kapodistrian University of Athens

Journal of Asset Management, 2025, vol. 26, issue 2, No 3, 159-175

Abstract: Abstract 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.

Keywords: ETFs; Australia; Performance; Tracking error; Non-full replication (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/s41260-025-00396-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-025-00396-1

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-025-00396-1

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().