This study examines the performance of the New Zealand Exchange Traded Funds (hereafter ETFs), especially focusing on how well the ETFs’ returns can replicate those of their underlying stock indexes. The results show that, on average, there does exist a significant tracking error between the New Zealand ETFs and the corresponding indexes. Furthermore, we find that the tracking error increases with three properties, including management fees ratio (MFR), ETF return-risk (ERR), and daily volatility (Dvolatility). Meanwhile, the tracking error decreases with an increase in the liquidity of these ETF markets, measured by trading volume (Lvolume). This study also contributes new evidence to the literature on the liquidity of the New Zealand ETFs, which are driving by the factors such as the previous and contemporaneous numbers of ETFs sold on the market. Therefore, our findings provide important implication of how to strengthen New Zealand ETFs as a perfect substitution of the specific indexes preferred by local New Zealand investors, for example, making New Zealand ETF markets more liquid.