I used the daily returns of SPX Index, SPY US Equity, and SPA Index. I then calculate their standard deviation as hedging instruments with respect to SPX Index, i.e., (spx_ret - spy_ret) or (spx_ret - spa_ret). However, the results I obtained were strange:
SD (spx_ret - spy_ret) = 0.0012959 SD (spx_ret - spa_ret) = 0.0006794
How can an ETF have a larger tracking error? I thought Futures are almost like a "perfect hedge" and ETFs have huge tracking error due to management and rebalancing fees. Am I missing something in the calculation?