2002-2010年交易所交易基金与指数基金业绩比较分析
An analytical performance comparison of exchanged traded funds with index funds: 2002-2010
摘要：
自2000年以来，交易所买卖基金（ETF）的数量及其净资产均大幅增长，证明ETF在投资界越来越受欢迎。由于ETF在本质上类似于指数共同基金，本文研究了ETF需求的增长是否可以通过其优于指数共同基金的表现来解释。我们考虑了2002年之前成立的所有ETF的数量，然后为每个ETF找到了与所选ETF具有相同投资风格且成立日期在2002年之前的所有被动指数共同基金。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2002-2010年期间匹配对的夏普比率和风险调整后的买入和持有总回报的表现。然后，我们应用Wilcoxon符号秩检验来检验ETF在样本期内是否比指数共同基金有更好的表现。在所有风格的230对配对中，ETF在夏普比率方面的表现优于指数共同基金的次数为134次，然而，假设检验显示ETF和指数共同基金在夏普比率方面的表现没有统计学显著差异。在所有风格的230对配对中，ETF在风险调整后的买入和持有总回报方面在125次中优于指数型共同基金，然而，假设检验显示ETF和指数型共同基金在风险调整后的买入和持有总回报方面的表现没有统计学显著差异。研究结果显示，ETF与被动指数共同基金在基金层面的表现并无显著差异，投资者在两者之间的选择与产品特性及税收优惠有关。
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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