The Research Of Gold ETF Based On The Optimized Replication Method

According to the development of the global fund industry, everyinvestment companies oversea are occupying the market of ind productsso as to enlarge the scale of the property management. In spite of the factthat index products starts late in China, its features of low rate and hightransparency enable the rapid development. Recently, in China, the indexproducts, as ETF, increases dramatically in terms of the quantity and scale.Different from the equity ETF which rise suddenly and promptly, the goldETF has not been brought out in China yet. There are series of obstaclesmainly from the product design，including cross-market barrier，the poorcontrol of tracking error and so on. Among them, the key obstacle istracking error, which determines the competitiveness of the passiveproducts.The ultimate aim of this research is to solve these obstacles, byreasonably using optimized replication to replicate the returns of goldbenchmark. The research provides reference for the gold ETF productdesigners.The report is divided into five chapters. The brief introduction of eachchapter is as below:The First Chapter mainly introduced the research background and themeaning.The Second Chapter introduced the development and advantage of the gold ETF, analyzed the obstacle for its domestic development, andsummarized the two biggest ones, legel obstacles and the control of thetracking error.The third chapter introduced the model utilized in the research andreplicated the returns of a gold benchmark by using optimized replication.The Forth Chapter depends on the theoretical basis of the thirdchapter. We choose the mode of physical gold and the benchmark isAU99.95. We make three simulation combinations with one usind fullreplication and the other two using optimized replication. We also did anempirical test.The fifth chapter summarizes the research and raises the expectations.