The choice of index tracking portfolio replication approaches is important to index fund management. According to the point of systematic risk control, the optimal tracking portfolio was constructed. A comparison was made among index funds constructed by stratified sampling replication, full one and optimized one. The empirical results showed that the tracking precision of full replication approach is the best, the optimized replication approach is worst, the return and the accumulative return of optimized replication approach is the highest, and the full replication approach is the least. Regardless of the approaches of replication, the tracking error from the measurement approach of linear tracking error is least in the three measurement ones.