Hw-A4

Daily | Monthly |

Mean of iShares S&P 500 Index (IVV) | S&P 500 INDEX,RTH (^GSPC) | Tracking Error* | Correlation | IVV | ^GSPC | Tracking Error | Correlation |

0.0275% | 0.0214% | 0.1475% | 98.0690% | 0.5274% | 0.4011% | 0.2385% | 99.6911% |

Mean of ISHARE DJ TOT MKT IN | Dow Jones Composite Average (^DJA) | Tracking Error | Correlation | ISHARE DJ TOT MKT IN | ^DJA | Tracking Error | Correlation |

0.0288% | 0.0327% | 0.2778% | 93.0491% | 0.5625% | 0.6369% | 1.0722% | 92.8473% |

Mean of PowerShares QQQ (QQQQ) | NASDAQ COMPOSITE (^IXIC) | Tracking Error | Correlation | QQQQ | ^IXIC | Tracking Error | Correlation |

0.0307% | 0.0290% | 0.2842% | 96.4401% | 0.5847% | 0.5597% | 0.9112% | 98.3035% |

Mean of Ishares Russell 2000 (IWM) | Russell 2000 Index (^RUT) | Tracking Error | Correlation | IWM | ^RUT | Tracking Error | Correlation |

0.0426% | 0.0374% | 0.2244% | 97.1338% | 0.8421% | 0.7387% | 0.3494% | 99.5137% |

Mean of iShares Dow Jones US Utilities (IDU) | Dow Jones Utilities Average (^DJU) | Tracking Error | Correlation | IDU | ^DJU | Tracking Error | Correlation |

0.0480% | 0.0466% | 0.2350% | 95.9174% | 0.9677% | 0.9253% | 0.8539% | 95.2202% |

*Tracking Error here means the average absolute value of daily return difference between ETF and underlying index.

From the diagram above, we can see clearly that

1. As to daily data alone, ETF in S&P 500 has the highest correlation and tracking error; ETF in Dow Jones Composite Average the lowest.

2. As to monthly data alone, ETF in Russell 2000 has the highest correlation, while that in Dow Jones Composite Average the lowest;

3. Comparing daily and monthly data, we can see clearly that the tracking ability of ETFs is almost better in monthly frequency than in daily one, with higher correlation in monthly basis than that in daily basis. These results are not surprised since ETFs track their underlying index so actively that the larger time period we make a comparison the smoother...