我国ETF绩效评价实证分析
发布时间：2018-08-20 12:04
【摘要】：ETF,即交易型开放式指数基金,集合了开放式基金、封闭式基金以及传统指数基金的优点。投资者既可以在一级市场上申购或者赎回ETF份额,也可以在二级市场上买卖ETF份额。由于同时存在二级市场买卖交易和申购赎回机制,投资者可以在ETF二级市场交易价格与基金单位净值之间存在差价时进行套利交易。套利机制的存在,使得ETF能够避免封闭式基金普遍存在的折价问题。ETF通常追踪特定指数,与传统指数基金相比,有更小的追踪误差。此外ETF还具有强流动性、高透明度、成本低廉和交易灵活等优势,被认为是过去十几年中最重要的金融创新之一 本文主要由四部分内容以及一个总结组成,其框架和内容如下： 第一部分,主要介绍本文的选题背景,研究意义,国内外文献综述以及本文的创新和不足。从国际看,上世纪八十年代后期,投资界提出了交易型开放式指数基金,即ETF的产品构想。1989年,在加拿大多伦多股票交易所诞生了全球第一支ETF基金。1993年1月,美国市场上第一只ETF—SPDRs成功发行,并在纽交所挂牌交易。初期的ETF产品种类比较单一,制度设计不够完善,未能被投资者广泛接受,所以在最初的时间里发展比较缓慢。但是进入21世纪以后,ETF在全球得到飞跃式的发展。截至2011年8月底,全球跟踪股票、固定收益、大宗商品及其指数的ETF产品数量已经达到2867只,总计管理规模达1.36万亿美元。从国内看,我国早在2004年11月就推出沪深交易所首支ETF一上证50ETF,与欧美发达国家相比,我国ETF发展比较缓慢,在2004—2009年间,两市总共只有5只ETF挂牌交易。但是这一局面从2009年起开始出现变化,沪深交易所不断的推出一系列创新型ETF基金产品,我国的ETF迎来难得的发展机遇。截止到2012年2月,两市的ETF迅速扩容到37只。在我国发展ETF产品具有重大的现实意义。首先,ETF的发展壮大有助于完善我国基金业的产品体系；其次,ETF能够活跃和稳定市场；最后,ETF提供了一种有效的套利手段。本部分把研究重点放在ETF的绩效评估上。国外对于ETF绩效评价的文献数量众多,它们大多是从追踪误差、折溢价水平、产品定价以及套利机制等几个方面出发,对ETF与传统指数基金,开放式偏股型基金进行对比研究。从研究结论看,ETF由于在交易成本以及税收效率等方面对比共同基金有很大优势,因而能够取得较好的收益；ETF的追踪误差是很微小的,交易成本、抽样复制、成份股的变化、现金替代、红利发放等因素是造成追踪误差的主要原因；红利和资本回报是造成ETF出现折溢价的主要原因,而美国国内型ETF折溢价较小,较之国际性ETF运作的更有效率,套利机会以及市场的投资回报会对ETF的折溢价幅度产生影响,反过来,ETF的折溢价交易又会产生相应的套利机会；样本股的调整产生的市场冲击成本会造成收益率的波动,进而影响ETF的市场表现。而国内的研究则大多局限在ETF追踪误差或者折溢价水平的研究上,评估的样本基金较少,样本区间较短,研究方法单一,并不能对ETF的整体绩效水平进行有效的评估。 第二部分,主要介绍ETF的起源,ETF与其它基金产品的界定,以及运作的理论基础,最后引入跨境ETF产品的介绍。从历史上看,ETF的产生是金融中介服务机构为大型客户提供对冲交易工具而创设出来的。一方面,一些大的机构投资者希望通过一次性的买卖报价实现一揽子股票组合的交易,并将其作为对冲工具与其它风险工具配合使用；另一方面,随着市场的变化和产品创新的发展,一些中小投资者也对这种投资工具产生需求。于是,在市场需求下,这种“标准化的产品”出现了,如SuperUnits、SuperShares、Optimized Portfolios (OPALS)等,都是以某一个特定的股票指数为基准指数,并以一揽子股票组合为基础而设立起来的。这种“标准化的产品”是在传统指数基金、开放式基金和封闭式基金的基础上发展起来的一种混合性基金产品。它既具有传统指数基金、开放式基金和封闭式基金的基本属性,同时又具有自身的特性。ETF的理论发展过程中,先后出现了均值一方差模型,资本资产定价模型,套利定价模型以及有效市场理论,最终确立了ETF的理论基础。近期,上交所,深交所和港交所合作欲推出跨市场跨境ETF,而且基本准备就绪。于是,随着行业ETF、主题ETF、大中小盘ETF等迅速发展,不断完善之后,更多的ETF产品即将进入投资者的视野。 第三部分,主要是对ETF与传统指数基金,开放式基金的绩效进行对比分析。通过搜集大量的文献和数据资料,首先采用经典基金绩效评估方法中的夏普指数对ETF与传统指数基金,开放式偏股型基金的绩效进行对比研究,研究的样本涵盖了2011年1月10日—2012年1月10日之间具有可比条件的20只ETF,22只传统指数基金以及24只开放式偏股型基金。实证研究发现：(1)ETF基金的绩效明显优于传统指数型基金以及开放式偏股型基金；(2)与对应的跟踪同一指数标的的传统指数基金相比,也有更好的绩效；(3)与大盘指数相比,具有超越大盘指数的表现。接着,为了进一步说明样本之间的绩效考核情况,采用信息比率深入分析,通过建立基金收益率的一元线性回归模型,从回归结果中选取若干参数,并结合三大经典绩效评估方法以及信息比率,再次论证ETF基金绩效优于其它基金品种,并且通过T统计量检验方法,增加结论的有效性。我国境内ETF与传统指数型基金,开放式偏股型基金相比,有着更好的投资绩效。这个结论不仅在牛市中得到检验,而且在熊市中也是如此,这在很大程度上是由于ETF自身的一些特性所决定的,它能够完全复制或抽样复制标的指数(招募说明书规定一般要保证95%以上的股票仓位,实际这一比例经常会达到97%甚至更高),这使得它对于标的指数能够保证最小的跟踪误差,从而达到拟合指数的目的,至少取得市场平均收益。目前我国股票市场正处于弱式有效向半强式有效过渡的状态,这决定了基本分析方法仍然可能获得超额收益,而我国目前发行的ETF跟踪的指数标的大多是沪深大盘指数,蓝筹风格指数,这些指数中的标的股票具备业绩优良、分红派息率高、细分行业领先、股价走势稳定、市场形象良好等特点,所以从它们当中选股一般会带来很好的市场回报,而ETF跟踪的是一揽子这样的股票,在一级市场上进行实物申购和赎回,在二级市场上来回买卖交易,甚至进行套利操作,这就相当于只花费很少的钱,很低的交易费,就可以取得相应的ETF份额,事实上也就取得了跟踪指数的标的股票,这样一方面避免了来回买卖股票导致的高额交易费以及“T+1”交易制度带来的市场风险,另一方面还可以有效减少机构投资者羊群效应造成的市场追涨杀跌行为,稳定市场情绪。 第四部分,本文对ETF内部的绩效进行评估。分别选取半年期、一年期、二年期、三年期的ETF作为样本研究对象进行实证分析。结果表明：沪深两市运行中的ETF表现出一定的业绩分化与趋同。具体来说,上海证券交易所运行中的ETF与深圳证券交易所运行中的ETF业绩总体差异较大,而如果考虑到上交所内部ETF,则这种差异与趋同现象更加明显,即跟踪大盘蓝筹指数的ETF业绩表现趋同,而它同时与跟踪中小盘成长指数的ETF业绩表现存在一定差异。产生这种现象的原因要追溯到ETF的本源,即它所跟踪的标的指数的多元化。这种多元化更多的导致ETF的业绩出现分化。实证研究发现：大盘指数与中小盘指数之间在一定时期的变化率往往是有差别的。这表现在市场轮动或者板块轮动趋势下,两者往往会出现跷跷板效应；而当市场出现单边行情的时候,两者的走势也不尽相同。所以,跟踪两者指数的ETF之间由于拟合程度比较高,市场冲击成本、交易成本以及运作策略等方面也比较接近,所以它们之间也会表现出和指数同样的差异。当然,如果是数只跟踪大盘指数或者中小盘指数的ETF,那么它们之间的业绩会表现出趋同的特征,而且时间越短,这种特征越明显。除此之外,指数样本股的调整以及ETF的复制程度都会造成ETF之间的业绩分化。 综合以上分析,我们可以得出结论：考虑风险调整收益法对ETF绩效进行评估,ETF总体上看是优于传统指数基金以及开放式偏股型基金的投资品种。这就对个人或者机构投资者有一定的启示,即：主动型投资需要花费大量的时间和交易成本,而且由于择时和择股能力的不同使得投资结果充满不确定性,而作为被动型投资的ETF,它一方面像指数型基金一样跟踪复制指数,充分分享股市的平均收益,同时交易费用更低,跟踪误差更小；另一方面既避免封闭式基金大幅折价的问题,又能够在一级市场上申购或者赎回,在二级市场上挂牌买卖,并进行套利操作。这样,对广大的投资者来说,投资ETF是一个非常的好的选择。
[Abstract]:ETF, or transactional open-end index funds, combines the advantages of open-end funds, closed-end funds and traditional index funds. Investors can either buy or redeem ETF shares in the primary market or buy and sell ETF shares in the secondary market. The existence of an arbitrage mechanism enables ETFs to avoid the widespread discount problem of closed-end funds. ETFs usually track specific indices with less tracking error than traditional index funds. In addition, ETFs have strong liquidity and high transparency. Strength, low cost and flexibility are considered to be one of the most important financial innovations of the past decade.
This article is composed of four parts and a summary. Its framework and contents are as follows:
The first part mainly introduces the background of this paper, the significance of the research, the literature review at home and abroad, and the innovation and shortcomings of this paper. King. In January 1993, the first ETF-SPDRs on the U.S. market were successfully issued and traded on the NYSE. The early ETF products were relatively single in type, and the system design was not perfect enough to be widely accepted by investors, so the development was relatively slow in the initial period. But after entering the 21st century, the ETF has developed rapidly in the world. By the end of August 2011, the number of ETFs tracking stocks, fixed income, commodities and their indexes has reached 2 867, with a total management scale of $1.36 trillion. There were only five ETFs listed in the two markets during 2009. But this situation has changed since 2009. The Shanghai and Shenzhen Stock Exchanges have continuously launched a series of innovative ETF products, and China's ETFs have a rare opportunity for development. By February 2012, the ETFs of the two markets have expanded rapidly to 37. The development of ETF products in China is of great significance. First of all, the development of ETF helps to improve the product system of China's fund industry; secondly, ETF can activate and stabilize the market; lastly, ETF provides an effective arbitrage tool. This part focuses on the performance evaluation of ETF. There are many literatures on the performance evaluation of ETF abroad, most of them are tracked. Based on error, discount premium level, product pricing and arbitrage mechanism, this paper compares ETF with traditional index funds and open-end partial equity funds. Trading costs, sample replication, changes in constituent stocks, cash substitution, dividend payments and other factors are the main causes of tracking errors; dividends and capital returns are the main causes of discount premiums in the ETF, while the United States domestic ETF discount premium is smaller, more efficient than international ETF operations, arbitrage opportunities and The return on investment in the market will affect the discount premium of ETF. Conversely, the discount premium trade of ETF will produce corresponding arbitrage opportunities; the market impact cost caused by the adjustment of sample stocks will cause the fluctuation of the return rate, which will affect the market performance of ETF. However, most domestic studies are limited to ETF tracking error or discount premium. On the level of research, the evaluation of the sample fund is less, the sample interval is shorter, the research method is single, can not effectively evaluate the overall performance level of ETF.
The second part mainly introduces the origin of ETF, the definition of ETF and other fund products, as well as the theoretical basis of operation, and finally introduces cross-border ETF products. One-off trading quotation realizes the trading of a portfolio of stocks and uses it as a hedging tool in conjunction with other risk instruments. On the other hand, with the changes in the market and the development of product innovation, some small and medium-sized investors also have demand for this investment tool. Therefore, in the market demand, this "standardized product" SuperUnits, SuperShares, Optimized Portfolios (OPALS), etc., have emerged as benchmark indices based on a particular stock index and based on a portfolio of stocks. It has the basic attributes of traditional index funds, open-end funds and closed-end funds, but also has its own characteristics. In the theoretical development of ETF, there have been one-way difference model, capital asset pricing model, arbitrage pricing model and efficient market theory, and finally established the theoretical basis of ETF. Recently, the Shanghai Stock Exchange, the Shenzhen Stock Exchange and the Hong Kong Stock Exchange cooperate to launch cross-market cross-border ETF, and the basic preparations are ready.
The third part is mainly about the comparative analysis of the performance of ETF and traditional index funds and open-end funds. Through collecting a large number of literature and data, the paper firstly compares the performance of ETF with traditional index funds and open-end partial equity funds by using Sharp index of classical fund performance evaluation methods. The sample covers the study. From January 10, 2011 to January 10, 2012, there are 20 ETFs, 22 traditional index funds and 24 open-end partial equity funds with comparable conditions. Gold also has better performance than the market index. (3) Compared with the market index, it has a performance that surpasses the market index. Then, in order to further explain the performance appraisal between the samples, we use the information ratio analysis, through the establishment of a unitary linear regression model of fund returns, select a number of parameters from the regression results, combined with the three classics. The performance evaluation method and information ratio prove that the performance of ETF fund is superior to that of other fund types again, and increase the validity of the conclusion by T-statistics test method. In bear markets, too, this is largely determined by the ETF's own characteristics, which can replicate or sample the underlying index completely (the prospectus stipulates that more than 95% of the stock position is normally guaranteed, often up to 97% or more), making it the most guaranteed for the underlying index. At present, China's stock market is in a state of transition from weak efficient to semi-strong efficient, which determines that the basic analysis method is still possible to obtain excess returns, while most of the ETFs issued in China follow the index of Shanghai and Shenzhen stock markets. Blue-chip Style Index. The underlying stocks in these indices have the characteristics of good performance, high dividend payout rate, leading industry segmentation, stable stock price trend, and good market image. Therefore, selecting stocks from them will generally bring good market returns, while ETF tracks a package of such stocks and makes physical purchases in the primary market. And redemption, trading back and forth in the secondary market, or even arbitrage operations, which is equivalent to only a small amount of money, very low transaction costs, you can get the corresponding ETF share, in fact, also obtained the tracking index of the underlying stock, so on the one hand to avoid trading back and forth caused by high transaction costs and "T + 1" payment. On the other hand, it can effectively reduce the market risk caused by the herding effect of institutional investors and stabilize market sentiment.
In the fourth part, this paper evaluates the internal performance of ETFs, and selects six-month, one-year, two-year and three-year ETFs as the samples for empirical analysis. The overall performance of ETFs in the operation of exchanges varies greatly, and if the internal ETFs of the Shanghai Stock Exchange are taken into account, the difference and convergence phenomenon is more obvious, that is, the performance of ETFs tracking the large blue-chip index converges, and it is also different from the performance of ETFs tracking the small and medium-sized stock growth index. This kind of diversification leads to the divergence of the ETF's performance. Empirical research finds that the rate of change between the large index and the small and medium-sized index is often different in a certain period of time. This shows that under the market rotation or the plate rotation trend, the two tend to appear seesaw. So the ETFs that track the two indices also show the same differences as the indices because of their high degree of fit, market impact costs, transaction costs and operational strategies. In addition, the adjustment of sample stocks and the degree of replication of ETFs will cause the performance differentiation between ETFs.
Based on the above analysis, we can draw a conclusion: considering the risk-adjusted return method to evaluate the performance of ETF, ETF is generally superior to the traditional index funds and open-end equity-biased funds. As a passive investment, ETF, on the one hand, tracks and replicates the index like an index fund to fully share the average return of the stock market, while trading costs are lower and tracking errors are smaller; on the other hand, it avoids large discounts of closed-end funds. Price problem, and can be bought or redeemed in the primary market, listed in the secondary market trading, and arbitrage operations. Thus, for the majority of investors, investment ETF is a very good choice.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2193546
[Abstract]:ETF, or transactional open-end index funds, combines the advantages of open-end funds, closed-end funds and traditional index funds. Investors can either buy or redeem ETF shares in the primary market or buy and sell ETF shares in the secondary market. The existence of an arbitrage mechanism enables ETFs to avoid the widespread discount problem of closed-end funds. ETFs usually track specific indices with less tracking error than traditional index funds. In addition, ETFs have strong liquidity and high transparency. Strength, low cost and flexibility are considered to be one of the most important financial innovations of the past decade.
This article is composed of four parts and a summary. Its framework and contents are as follows:
The first part mainly introduces the background of this paper, the significance of the research, the literature review at home and abroad, and the innovation and shortcomings of this paper. King. In January 1993, the first ETF-SPDRs on the U.S. market were successfully issued and traded on the NYSE. The early ETF products were relatively single in type, and the system design was not perfect enough to be widely accepted by investors, so the development was relatively slow in the initial period. But after entering the 21st century, the ETF has developed rapidly in the world. By the end of August 2011, the number of ETFs tracking stocks, fixed income, commodities and their indexes has reached 2 867, with a total management scale of $1.36 trillion. There were only five ETFs listed in the two markets during 2009. But this situation has changed since 2009. The Shanghai and Shenzhen Stock Exchanges have continuously launched a series of innovative ETF products, and China's ETFs have a rare opportunity for development. By February 2012, the ETFs of the two markets have expanded rapidly to 37. The development of ETF products in China is of great significance. First of all, the development of ETF helps to improve the product system of China's fund industry; secondly, ETF can activate and stabilize the market; lastly, ETF provides an effective arbitrage tool. This part focuses on the performance evaluation of ETF. There are many literatures on the performance evaluation of ETF abroad, most of them are tracked. Based on error, discount premium level, product pricing and arbitrage mechanism, this paper compares ETF with traditional index funds and open-end partial equity funds. Trading costs, sample replication, changes in constituent stocks, cash substitution, dividend payments and other factors are the main causes of tracking errors; dividends and capital returns are the main causes of discount premiums in the ETF, while the United States domestic ETF discount premium is smaller, more efficient than international ETF operations, arbitrage opportunities and The return on investment in the market will affect the discount premium of ETF. Conversely, the discount premium trade of ETF will produce corresponding arbitrage opportunities; the market impact cost caused by the adjustment of sample stocks will cause the fluctuation of the return rate, which will affect the market performance of ETF. However, most domestic studies are limited to ETF tracking error or discount premium. On the level of research, the evaluation of the sample fund is less, the sample interval is shorter, the research method is single, can not effectively evaluate the overall performance level of ETF.
The second part mainly introduces the origin of ETF, the definition of ETF and other fund products, as well as the theoretical basis of operation, and finally introduces cross-border ETF products. One-off trading quotation realizes the trading of a portfolio of stocks and uses it as a hedging tool in conjunction with other risk instruments. On the other hand, with the changes in the market and the development of product innovation, some small and medium-sized investors also have demand for this investment tool. Therefore, in the market demand, this "standardized product" SuperUnits, SuperShares, Optimized Portfolios (OPALS), etc., have emerged as benchmark indices based on a particular stock index and based on a portfolio of stocks. It has the basic attributes of traditional index funds, open-end funds and closed-end funds, but also has its own characteristics. In the theoretical development of ETF, there have been one-way difference model, capital asset pricing model, arbitrage pricing model and efficient market theory, and finally established the theoretical basis of ETF. Recently, the Shanghai Stock Exchange, the Shenzhen Stock Exchange and the Hong Kong Stock Exchange cooperate to launch cross-market cross-border ETF, and the basic preparations are ready.
The third part is mainly about the comparative analysis of the performance of ETF and traditional index funds and open-end funds. Through collecting a large number of literature and data, the paper firstly compares the performance of ETF with traditional index funds and open-end partial equity funds by using Sharp index of classical fund performance evaluation methods. The sample covers the study. From January 10, 2011 to January 10, 2012, there are 20 ETFs, 22 traditional index funds and 24 open-end partial equity funds with comparable conditions. Gold also has better performance than the market index. (3) Compared with the market index, it has a performance that surpasses the market index. Then, in order to further explain the performance appraisal between the samples, we use the information ratio analysis, through the establishment of a unitary linear regression model of fund returns, select a number of parameters from the regression results, combined with the three classics. The performance evaluation method and information ratio prove that the performance of ETF fund is superior to that of other fund types again, and increase the validity of the conclusion by T-statistics test method. In bear markets, too, this is largely determined by the ETF's own characteristics, which can replicate or sample the underlying index completely (the prospectus stipulates that more than 95% of the stock position is normally guaranteed, often up to 97% or more), making it the most guaranteed for the underlying index. At present, China's stock market is in a state of transition from weak efficient to semi-strong efficient, which determines that the basic analysis method is still possible to obtain excess returns, while most of the ETFs issued in China follow the index of Shanghai and Shenzhen stock markets. Blue-chip Style Index. The underlying stocks in these indices have the characteristics of good performance, high dividend payout rate, leading industry segmentation, stable stock price trend, and good market image. Therefore, selecting stocks from them will generally bring good market returns, while ETF tracks a package of such stocks and makes physical purchases in the primary market. And redemption, trading back and forth in the secondary market, or even arbitrage operations, which is equivalent to only a small amount of money, very low transaction costs, you can get the corresponding ETF share, in fact, also obtained the tracking index of the underlying stock, so on the one hand to avoid trading back and forth caused by high transaction costs and "T + 1" payment. On the other hand, it can effectively reduce the market risk caused by the herding effect of institutional investors and stabilize market sentiment.
In the fourth part, this paper evaluates the internal performance of ETFs, and selects six-month, one-year, two-year and three-year ETFs as the samples for empirical analysis. The overall performance of ETFs in the operation of exchanges varies greatly, and if the internal ETFs of the Shanghai Stock Exchange are taken into account, the difference and convergence phenomenon is more obvious, that is, the performance of ETFs tracking the large blue-chip index converges, and it is also different from the performance of ETFs tracking the small and medium-sized stock growth index. This kind of diversification leads to the divergence of the ETF's performance. Empirical research finds that the rate of change between the large index and the small and medium-sized index is often different in a certain period of time. This shows that under the market rotation or the plate rotation trend, the two tend to appear seesaw. So the ETFs that track the two indices also show the same differences as the indices because of their high degree of fit, market impact costs, transaction costs and operational strategies. In addition, the adjustment of sample stocks and the degree of replication of ETFs will cause the performance differentiation between ETFs.
Based on the above analysis, we can draw a conclusion: considering the risk-adjusted return method to evaluate the performance of ETF, ETF is generally superior to the traditional index funds and open-end equity-biased funds. As a passive investment, ETF, on the one hand, tracks and replicates the index like an index fund to fully share the average return of the stock market, while trading costs are lower and tracking errors are smaller; on the other hand, it avoids large discounts of closed-end funds. Price problem, and can be bought or redeemed in the primary market, listed in the secondary market trading, and arbitrage operations. Thus, for the majority of investors, investment ETF is a very good choice.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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