我国ETF绩效评价的实证研究

发布时间：2018-05-04 20:58

本文选题：ETF + 绩效评价　；参考：《贵州财经大学》2014年硕士论文

【摘要】：交易型开放式指数基金，简称ETF，是兴起于上个世纪90年代的一种金融工具。自2004年推出首支ETF——华夏上证50ETF以来，我国ETF市场取得了飞速的发展。截至2014年2月28日，我国ETF市场上共有ETF85只，其中83只已上市。ETF是被动投资的一种，它集开放式基金、封闭式基金以及传统指数基金的优点于一身，具有双重交易机制、实物申购和赎回以及交易成本低等特点，被认为是过去十几年中最重要的金融创新之一。本文旨在对ETF做出全面的评价并给与投资建议，以帮助投资者选择适合自己的ETF。本文在梳理国内外ETF发展历程的基础上，从分析ETF的特点和原理着手，借鉴了以往学者对于基金绩效评价的方法，从中选择用来评价ETF绩效的指标，主要从风险调整收益、运作效率和市场表现三个方面对ETF做出绩效评价。实证分析分为三个部分，第一部分是ETF和传统指数基金在风险调整收益方面的比较研究，第二部分是ETF之间绩效的比较研究，第三部分是ETF绩效的综合评价。第一部分中，风险调整收益主要通过夏普指数来衡量,并引入传统指数基金作为对比，此外，为了探究不同市场行情对ETF和传统指数基金收益的影响，本文选取了不同行情的三个样本区间，以获得不同行情下ETF和传统指数基金的业绩表现。第二部分选取了截至2013年底上市满一年的46只ETF，对它们的运作效率和市场表现进行了实证研究。运作效率方面，选用当前业界普遍采用的评价标准——跟踪误差和绝对平均偏差来考察ETF跟踪指数的能力，市场表现方面，选用折溢价率和流动性比率来衡量ETF的套利效率。第三部分，根据前两部分的评价结果，对五个指标分别进行了等级评价，，以得到更加全面直观的评价结果。最后，根据实证结果得出结论：在持续上涨和下跌的行情中，ETF的风险调整收益优于传统指数基金，尤其是对于表现活跃的板块，比如2013年的创业板，ETF的表现更为突出；在震荡下跌的行情中，ETF并没有表现出比传统指数基金更好的业绩；几乎所有的ETF的跟踪误差都在合理范围内，而且基金经理对于使基金跟踪标的指数的能力都比较稳定，所以对于长期投资者来说，可以主要参考基金经理的以往业绩，特别是之前管理的ETF的业绩表现来选择跟踪误差小的ETF；而对于ETF的套利投资者，可以密切关注成立时间较早或是跟踪的标的指数非常具有代表性的ETF，比如沪深300指数等，这些ETF往往套利成本较低，有利于套利的顺利进行。
[Abstract]:Transaction-based open-end index fund (ETF) is a kind of financial instrument rising in the 1990 s. Since the launch of the first ETF-China Shanghai 50ETF in 2004, China's ETF market has made rapid development. As of February 28, 2014, there are only 83 ETF85 listed in the ETF market in our country, which is a kind of passive investment. It combines the advantages of open-end funds, closed-end funds and traditional index funds, and has a dual trading mechanism. Physical purchase and redemption, as well as low transaction costs, are considered to be one of the most important financial innovations in the past decade. This paper aims to make a comprehensive evaluation of ETF and give investment advice to help investors choose their own ETFs. On the basis of combing the development course of ETF at home and abroad, this paper begins with the analysis of the characteristics and principles of ETF, draws lessons from the methods used by scholars to evaluate the performance of the fund, and selects the indexes used to evaluate the performance of ETF, mainly from the risk adjustment income. Operational efficiency and market performance three aspects of ETF performance evaluation. The empirical analysis is divided into three parts. The first part is the comparative study of ETF and traditional index funds in risk-adjusted returns. The second part is the comparative study of performance between ETF and the third part is the comprehensive evaluation of ETF performance. In the first part, risk-adjusted returns are mainly measured by Sharp index, and traditional index funds are introduced as a contrast. In addition, in order to explore the impact of different market prices on ETF and traditional index fund returns, This paper selects three sample intervals of different prices to obtain the performance of ETF and traditional index funds under different prices. In the second part, 46 ETFs which have been listed for one year up to the end of 2013 are selected, and their operational efficiency and market performance are studied empirically. In the aspect of operation efficiency, the ability of ETF tracking index is evaluated by using tracking error and absolute average deviation, which is widely used in industry at present. In market performance, the arbitrage efficiency of ETF is measured by using discount premium rate and liquidity ratio. In the third part, according to the evaluation results of the first two parts, the five indexes are evaluated in order to get more comprehensive and intuitive evaluation results. Finally, according to the empirical results, it is concluded that the risk-adjusted returns of ETFs are better than those of traditional index funds, especially for the active sectors, such as the gem ETFs in 2013. ETFs do not perform better than traditional index funds in volatile and falling markets; almost all ETF tracking errors are within a reasonable range, and fund managers' ability to track underlying indices is more stable. So for long-term investors, you can mainly refer to the past performance of fund managers, especially the performance of previously managed ETF, to select ETFs with small tracking errors; for ETF arbitrage investors, We can pay close attention to the ETFs, such as the Shanghai-Shenzhen 300 index, which are very representative of the target indexes that were established earlier or tracked. These ETF tend to have lower arbitrage cost, which is good for the arbitrage to proceed smoothly.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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