Exchange Traded Fund (ETF) is an innovative finance product for drawing average income, which can cut down the transaction costs by passive investing management and lower the unsystematic risk through diversified investment policy, with the purpose of copying and tracking an existing index.

This paper analyzes the resemblances, differences and the relationship between Exchange Trade Fands (ETFs) and stocks index futures, by which, the investing agency can secure the access to obtaining the yield with low risks in the ETFs and stocks index futures operation.

ETFs-exchange trade funds which exists in trade for a short period of history has developed rapidly in America as well as in the world.

Exchange Traded Funds(ETF)is one kind of new financial derivation tool and one of the funds in the world which rapidly grows.

A Study on Tracking Error of ETF in China;