Currency risk - The underlying indices of some ETFs are priced in foreign currencies, which expose investors to foreign exchange volatility.

Tracking error risk - Being affected by fees, market liquidity, regulatory policies, etc, ETF may not fully reflect the performance of the underlying index.

Deviation from net asset value - There are no guarantees that ETF are priced equal to its net asset value (NAV) and during period of high market volatility, ETF may deviate from its NAV significantly.

Liquidity risk - Although there are market makers to provide liquidity, investors may still unable to sell or buy ETF at their target prices any time they wish.

Counterparty risk - Some ETFs that use synthetic replication, like buying structured notes that replicate the index, the funds may be exposed to the credit risk of the note-issuers.