Empirical Study On The Performance Evaluation Of ETF In China

Exchange-traded funds(ETF),a collection of open-ended funds, closed-end fund, as well as the advantages of traditional index funds. Investors in a market either purchase or redempt of ETF shares in the secondary market trading of the ETF shares. Due to the existence of secondary market transactions and subscription and redemption mechanism, investors can be different between the ETF secondary market trading price and NAV arbitrage trading. The existence of the arbitrage mechanism makes the ETF avoid the common closed-end fund discount. ETF typically tracks a particular index, compared with the traditional index funds, a smaller tracking error. In addition, the ETF also has a strong liquidity, high transparency, low cost and trading flexibility advantages, considered with any one of the most important financial innovation in the past ten years.ETF and index funds, open-ended fund performance were analyzed. By collecting a large number of documents and data, the first classic fund performance evaluation method of Sharpe index ETF and index funds, open partial shares of the Fund’s performance compared to a sample of the study covers the January10,2011,20ETFs with comparable conditions between January10,2012,22traditional index funds and24open partial stock funds. Empirical study found that:(1)the performance of the ETF is significantly better than traditional index funds, as well as partial shares of open-ended fund;(2)compared to traditional index funds tracking the same index of the corresponding subject of the better performance;(3)compared with the market index to exceed the performance of the market index. Then, in order to further illustrate the performance evaluation between the sample, the ratio of in-depth analysis of the information, select a number of parameters through a linear regression model to establish the yield of the fund, from the regression results, combined with the three classical performance evaluation methods, and information ratio once again demonstrated ETF performance is superior to other fund products, and the T-statistic testing methods to increase the validity of the conclusions.In this thesis, the performance of the ETF internal assessment were selected semi-annual, one-year, two, three years of the ETF as an empirical analysis of samples study. The results show that the Shanghai and Shenzhen markets in the operation of the ETF to show some results of differentiation and convergence, specifically, ETF in the ETF and the Shenzhen Stock Exchange and Shanghai Stock Exchange in the operation of the operation performance of the overall difference is greater if you take into account the Shanghai Stock Exchange internal ETF, this difference and convergence is more pronounced, ie, tracking the broader market blue-chip index ETF the performance of convergence, and it is at the same time there are some differences in performance with the trace Small Cap Growth index ETF performance.The reasons for this phenomenon dates back to the origin of the ETF,the diversification of the underlying index it tracks. This diversity in polarization at the leading ETF performance. The empirical study found that often there is a difference in the rate of change in a certain period of time between the market index and the small cap index. This is reflected in the market wheeled or sector rotation and trends, both tend to seesaw effect; unilateral market when the market trend of the two is different.Therefore, the ETF tracking the index between the two fitting a relatively high degree of market impact costs, transaction costs, and operational strategies is also relatively close to, so they also show the same difference and the index. Of course, if it is the only track the market index or the Small Cap Index ETF, their results will show the convergence characteristics, and the shorter the time, this characteristic is more obvious. In addition, the adjustment of the index constituent stocks and ETF degree of replication will cause the ETF’s performance differentiation.Based on the above analysis, we can conclude:Considering the assessment of risk-adjusted income ETF performance ETF, Overall, is superior to the traditional index funds and open partial shares of the Fund’s investment products. This individual or institutional investors have some inspiration, namely:the active investment takes a lot of time and transaction costs, and full of uncertainty, timing and stock selection ability makes the investment as passive investment the ETF, on the one hand, like index funds track to replicate the index, share fully in the average yield of the stock market, lower transaction costs, the smaller the tracking error; the other hand, both to avoid a substantial discount of closed-end funds, but also in a level market for subscription and redemption, the secondary market traded back and forth. Thus, the majority of investors, the investment in ETF is a very good choice.