交易所买卖基金的业绩比较分析 指数基金：2002-2010年

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摘要翻译：
自2000年以来，交易所交易基金(ETF)的数量和资产净值的高速增长证明了它在投资界越来越受欢迎。由于ETF在本质上与指数型共同基金相似，在本文中，我们研究了ETF的需求增长是否可以通过其优于指数型共同基金的表现来解释。我们考虑了所有成立日期在2002年之前的ETF的总体，然后针对每只ETF找到了所有与所选ETF具有相同投资风格且成立日期在2002年之前的被动指数共同基金。在每种投资风格中，我们将每只ETF与该投资风格中的所有被动指数基金进行了匹配，并比较了匹配对在2002-2010年期间的夏普比率和风险调整后的买入和持有总收益方面的表现。然后，我们应用Wilcoxon符号秩检验来检验ETF在样本期间是否比指数型共同基金有更好的表现。在230个配对组合中，ETF在夏普比方面有134次优于指数型基金，但假设检验显示ETF和指数型基金在夏普比方面没有显著差异。在230个类型的配对中，ETF在风险调整后的买入和持有总收益方面有125次优于指数型共同基金，但假设检验显示ETF和指数型基金在风险调整后的买入和持有总收益方面没有显著差异。研究结果表明，ETF和被动指数型共同基金在基金层面上的表现在统计上没有显著差异，投资者对两者的选择与产品特性和税收优惠有关。
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英文标题：
《An analytical performance comparison of exchanged traded funds with
  index funds: 2002-2010》
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作者：
Mohammad Sharifzadeh, Simin Hojat
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this paper we examined if this growing demand for ETFs can be explained through their outperformance as compared to index mutual funds. We considered the population of all ETFs with inception dates prior to 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had inception date prior to 2002. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharp Ratios and risk adjusted buy and hold total returns for the period 2002-2010. We then applied the Wilcoxon signed rank test to examine if ETFs had better performances than index mutual funds during the sample period. Out of the 230 paired matches of all the styles, ETFs outperformed index mutual funds in 134 of the times in terms of Sharpe Ratio, however, the test of the hypothesis showed no statistically significant difference between ETFs and index funds performances in terms of Sharpe ratio. Out of the 230 paired matches of all the styles, ETFs outperformed index mutual funds in 125 of the times in terms of risk adjusted buy and hold total return, however, the test of hypothesis showed no statistically significant difference between ETFs and index funds performances in terms of risk adjusted buy and hold total return. These findings indicate there is statistically no significant difference between ETFs and passive index mutual funds performances at the fund level and investors' choice between the two is related to product characteristics and tax advantages.
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PDF链接：
https://arxiv.org/pdf/1111.0389

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关键词：比较分析 指数基金 交易所 Quantitative Optimization 增长 方面 risk ETF 净值