過往研究多探討ETF市價與淨值套利或價格發現，ETF為追蹤指數，淨值與標的指數之報酬的追蹤差異為衡量ETF是否忠實追蹤指數，績效管理為基金經理之根本。本研究於大中華地區ETF追蹤差異加回已知費用及匯率影響後，與ETF管理因子及標的指數因子等進行分析。 實證分析發現，追蹤差異在考量匯率及費用之影響後還是存在，現金股利因指數公司編製之價格指數並不會將現金股利還原，且ETF收益分配政策配不同，確實影響追蹤差異。波動率於交易時股票買賣價格與收盤價產生時間延遲，市場波動風險增加影響追蹤差異。週轉率因成分股成交金額不夠活絡，買賣雙方價差擴大影響追蹤差異。分析比較大陸境內掛牌ETF與境外掛牌ETF，境外掛牌ETF複製方式為合成型及海外借券業務困難，使得其他收入對於分群追蹤差異之影響有不同，境內掛牌ETF其他收入對於追蹤差異影響顯著。現貨ETF與合成ETF因初級市場申購買回機制不同及複製方式差異之結果表示合成ETF週轉率及申購買回淨單位數之顯著程度明顯低於現貨ETF。 This paper analyzes the tracking performance including Tracking Error and Tracking Difference of 23 ETFs that ETFs benchmark are China stock index listed in Shanghai, Shenzhen, Hong Kong and Taiwan Stock Exchange.The sample period extends from November 29, 2004 to September 30, 2014. The known costs including management fees, custodian fees, transaction fees, transaction tax and other fees are been added back as well as also consider exchange rate changes in tracking performance analysis. The research use Panel Data’s Regression adding factors including cash dividends, redemption units, volatility and turnover rate as well as divide different markets and replication methods of ETF to analyze. The empirical result indicates that fx and ETF cost are not only factors from tracking difference. The benchmark turnover, volatility, constituent stock dividend and shares net change send significant signals to tracking difference. In addition between listing China stock exchange and listing non China stock exchange, others net income send significant signals of listing China stock exchange. Between full replication ETF and synthetic ETF, shares net change also send significant signals of replication ETF.