Have a look at i shares which are a group of index hugging ETFs.
From what i can make out from my recent experience with some of the Asian focused i shares, they don't track the underlying index EXACTLY, as it seems they often rely on 'market makers' to proviide the necessary liquidity. As I understand it, market makers put up a price in the absence of another ordinary buyer / seller, but more often than not you found you had to pay up if you wanted to buy, and accept a lower price if you wanted to sell, and the gaps can be large (depending on the fund). I presume that the reason was you were either buying from, or selling to, one of these 'market makers'.
Anyhow, it was an interesting, although not overly profitable, experience.
