Dissertations / Theses on the topic 'Exchange Traded Funds-ETF'

Exchange traded funds (ETFs) have increased significantly in popularity since they were first introduced in 1993. However, there is still much that is unknown about ETFs in the extant literature. This dissertation attempts to fill gaps in the ETF literature by using three related essays. In these three essays, we compare ETFs to closed ended mutual funds (CEFs) by decomposing the bid-ask spread into its three components; we look at the intraday shape of ETFs and compare it to the intraday shape of equities as well as examine the co-integration factor between ETFs on the London Stock Exchange and the New York Stock Exchange; we also examine the differences between leveraged ETFs and unleveraged ETFs by analyzing the impact of liquidity and volatility. These three essays are presented in Chapters 1, 2, and 3, respectively. Chapter one uses the Huang and Stoll (1997) model to decompose the bid-ask spread in CEFs and ETFs for two distinct periods—a normal and a volatile period. We show a higher adverse selection component for CEFs than for ETFs without regard to volatility. However, both ETFs and CEFs increased in magnitude of the adverse selection component in the period of high volatility. Chapter two uses a mix of the Werner and Kleidon (1993) and the Hupperets and Menkveld (2002) methods to get the intraday shape of ETFs and analyze co-integration between London and New York trading. We find two different shapes for New York and London ETFs. There also appears to be evidence of co-integration in the overlapping two-hour trading period but not over the entire trading day for the two locations. The third chapter discusses the new class of ETFs called leveraged ETFs. We examine the liquidity and depth differences between unleveraged and leveraged ETFs at the aggregate level and when the leveraged ETFs are classified by the leveraged multiples of -3, -2, -1, 2, and 3, both for a normal and a volatile period. We find distinct differences between leveraged and unleveraged ETFs at the aggregate level, with leveraged ETFs having larger spreads than unleveraged ETFs. Furthermore, while both leveraged and unleveraged ETFs have larger spreads in high volatility, for the leveraged ETFs the change in magnitude is significantly larger than for the unleveraged ETFs. Among the multiples, the -2 leveraged ETF is the most pronounced in its liquidity characteristics, more so in volatile times.

Utifrån en historisk jämförelse av de tre äldsta svenska ETFerna undersöker vi huruvida svensknoterade ETFer är en bättre placeringsstrategi än aktivt förvaltade Sverigefonder. Studien genomförs med de fyra utvärderingsmåtten Sharpe Ratio, Treynor Ratio, Jensen’s alfa samt Information Ratio för att se om ETFer ger högre riskjusterad avkastning än jämförbara aktivt förvaltade Sverigefonder. De tre ETFerna, XACT OMXS30, XACT OMXSB och XACT OMXSBULL jämförs mot samtliga aktivt förvaltade Sverigefonder som har som strategi att investera i stora bolag listade på Stockholmsbörsen. Samtliga utvärderingsmått ger tvetydiga resultat men två av de undersökta ETFerna visar sig ha genererat högre riskjusterad överavkastning än de jämförda fonderna. ETFernas överavkastning kan inte statistiskt säkerställas och bör därför tolkas med försiktighet. Vår undersökning indikerar dock att det kan vara mer fördelaktigt för privata investerare som värdesätter hög likviditet och aktierelaterade egenskaper att investera i ETFer framför aktivt förvaltade fonder.

L’objectif de cette thèse est d’étudier le processus social de légitimation des produits financiers en prenant comme exemple le développement des Exchange Traded Funds (ETF) en France. En dépit de la complexification de leur « dispositif de calcul » les encours des ETF ont connu une progression rapide. L'essor de ces innovations s'explique par l'effort de légitimation entrepris par les promoteurs. Contrairement à l'approche néo-institutionnaliste qui se focalise sur la dimension cognitive, nous partons des interdépendances pour comprendre le processus social de légitimation. Nous étudions ce processus en combinant une enquête ethnographique fondée sur des entretiens semi-directifs et des observations non-participantes avec une analyse du réseau social d'échange d'information entre les marketeurs, les traders, les journalistes, les investisseurs et les académiques. Nous montrons qu'il existe une « niche sociale » où des acteurs-promoteurs coopèrent entre eux. Ils relaient, auprès des diffuseurs d'information que sont les journalistes, un discours fondé sur les dimensions positives de leur innovation. Ils s'appuient, pour cela, sur le « contrôle social » qu'ils exercent sur la presse économique. Enfin, ces promoteurs s'associent à l'institut de recherche en finance Edhec-Risk afin de fonder la légitimité de leurs produits sur le statut académique de ce partenaire
The focus of this thesis is to study the social process of legitimizing financial products, focusing primarily on Exchange Traded Funds (ETFs) in France. Despite the complex nature of their « calculative device », ETFs have grown rapidly. This can be explained through promoters’ legitimizing efforts. Unlike neo-institutional theory which focuses on the cognitive dimension, this will emphasize the role of interdependencies and relationships in studying legitimizing efforts. This study is based on ethnographic research with semi-structured interviews and non-participant observations during conferences. We combine this qualitative research method with quantitative analysis of the network of information exchanged between marketers, traders, journalists, investors, regulators and academics. We evidence the existence of a « social niche » where competitors cooperate. The promoters exert social control on financial journalists to relay the positive aspects of their financial products. They also collaborate with EDHEC-Risk Institute to benefit from its academic status and gain more legitimacy

Between 1993 and 2016, the U.S. exchange traded fund (ETF) market has proliferated from one product worth $6.5 million USD to 1,455 products worth over $2 trillion USD. Despite its dramatic growth, the ETF market has yet to be the subject of sociological inquiry even though fields such as the social studies of finance have begun examining the origins of index derivatives (Millo 2007), options (MacKenzie 2006), hedge funds (Hardie and MacKenzie 2007), and foreign exchange markets (Knorr Cetina and Bruegger 2002). Thus, the purpose of this dissertation is to provide the first historical sociology of ETF innovation in the United States, using an approach inspired by the social studies of finance. This project empirically traces the emergence of the ETF by compiling an account of precursory strategies, concept development, regulatory negotiations, and early product marketing. The concept of agencement is used to frame the historical narrative of the ETF as a product of two distinct assemblages that formed in the U.S. between 1970 and 2000: first, the socio-technical integration between humans and their technologies that affected trading strategies, and second, the collaborative relationships that were formed between innovators and regulators. The mixed qualitative research consists of 36 interviews triangulated with archival records, documents sourced through Freedom of Information Act requests, private collections, and government files. Concluding analysis suggests that strategies foreshadowing the ETF began to emerge as early as the 1970s, and innovator-regulator collaborations were integral to early product qualification - a process not yet explored in literature on financial regulation.

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The objective of this research is to propose for high income Brazilian investors a model of dynamic allocation with international diversification that uses ETFs and the PMI manufacturing index. ETFs were selected from twelve countries, including the ETF equities in Brazil, EWZ. The portfolios were created with and without the EWZ and two procedures were adopted to weight the assets: (1) maximization of the Sharpe ratio and (2) allocation based on the proportion of GDP. An alternative method of selection of assets was presented, using the PMI manufacturing index as a decision filter for the allocation of the resources. The PMI is usually published on the first business day of each month, is researched in the major countries and is one of the first, if not the first, leading indicator of the economic cycle. When the PMI signaled economic growth, the portfolio consisted of a higher proportion of equities. To evaluate the performance of the proposed portfolio, it was compared to other three global portfolios that followed classical allocation strategies, and one of these was considered a benchmark. The proposed portfolio was also compared to a benchmark created exclusively with brazilian assets. The result suggests that the use of PMI as a decision filter in an active and internationally diversified portfolio using only foreign ETFs and weighted according to the techniques of Modern Portfolio Theory presented higher total return and Generalized Sharpe Ratio than the international and brazilian benchmarks. This result suggests that Brazilian and foreign investors and managers who adopt active management of their portfolios should include PMI as one of the indicators to be observed in the allocation strategy
O objetivo desta pesquisa ?? propor para os investidores brasileiros de alta renda um modelo de aloca????o din??mica com diversifica????o internacional que utiliza ETFs e o ??ndice PMI da manufatura. Foram selecionados ETFs de doze pa??ses, incluindo o ETF de renda vari??vel do Brasil, o EWZ. Foram criadas carteiras com e sem o EWZ e adotados dois procedimentos para ponderar os ativos: (1) maximiza????o do ??ndice de Sharpe e (2) aloca????o com base na propor????o do PIB. Foi apresentado um m??todo alternativo de sele????o de ativos, utilizando o ??ndice PMI da manufatura como filtro de decis??o para a aloca????o dos recursos. O PMI ?? divulgado, em geral, no primeiro dia ??til de cada m??s, ?? pesquisado nos principais pa??ses e ?? um dos primeiros, se n??o o primeiro, indicador antecedente do ciclo econ??mico. Quando o PMI sinalizou crescimento econ??mico, a carteira foi composta por maior propor????o de ativos de renda vari??vel. Para avalia????o da performance da carteira proposta, a mesma foi comparada a outras tr??s carteiras globais que seguiram estrat??gias cl??ssicas de aloca????o, sendo que uma destas foi considerada benchmark. A carteira proposta tamb??m foi comparada a um benchmark criado com ativos exclusivamente brasileiros. O resultado obtido sugere que o uso do PMI como filtro de decis??o em uma carteira ativa e diversificada internacionalmente usando somente ETFs estrangeiros e ponderados de acordo com as t??cnicas da Moderna Teoria de Portf??lio apresentou retorno total e ??ndice de Sharpe generalizado superiores ao benchmark internacional e ao benchmark brasileiro. Este resultado sugere que os investidores e os gestores brasileiros e estrangeiros que adotam a gest??o ativa de seus portf??lios poderiam incluir o PMI como um dos indicadores a serem observados na estrat??gia de aloca????o

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The phenomenom wich narrows and puts closer international relations around the world known as globalization has reached the development of financial markets. The Exchange Traded Funds (ETF´s) have also been involved on this process. Globalization has brought a wide exposure to international markets creating opportunities in several asset classes with lower costs and minimal investments, thus making ETF´s an extremely attractive product. This paper intends to show how ETF´s works, its creation, redemption and dealing process since such investment funds are still unknow to Brazilian investors. In addition, international portfolios will be built with ETF´s indexed cross-country equity markets, the main objective is check if a Brazilian investor may optimize his portfolio comparing international portfolios built with the brazilian asset market given by the EWZ fund
O fenômeno que estreita e aproxima as relações internacionais nos mais diversos níveis e cuja expressão globalização foi cunhada para nomeá-lo, também alcança os mercados financeiros. Os fundos de índice negociados em bolsa de valores conhecidos como ETF´s (exchange traded funds) encontram-se dentro desse processo. A possibilidade de obter exposições em diversos mercados internacionais e nas mais diversas classes de ativos a custos relativamente baixos e valores mínimos para investimento seja talvez um dos principais atrativos desse novo produto financeiro. Dessa forma, o presente trabalho pretende mostrar a criação e o funcionamento desses fundos, que ainda são pouco conhecidos no Brasil. E, a partir daí, montar carteiras internacionais, com fundos ETF indexados ao mercado de ações de diversos países, compará-las com o ativo de mercado brasileiro em dólares americanos, tentando verificar se o investidor brasileiro conseguiria otimizar a relação risco x retorno de seu portfólio por meio da diversificação com ETF´s

Börshandlade fonder (ETF:er) blir alltmer populära som spar- och investeringsalternativ. Antalet ETF:er och variationen av dessa ökar stadigt. Denna studie ser på ETF:er likställda aktier (ur ett värdepappersperspektiv) och syftar till att applicera momentumstrategier på den amerikanska ETF-marknaden, likt Jegadeesh och Titman (1993), för att testa sambandet mellan ETF:ers kapitalvärde och riskjusterad överavkastning, estimerat genom Jensens alfa. Med utgångspunkt från Banz (1981) som visar på samband mellan investeringar i småbolagsaktier och högre riskjusterad avkastning (än motsvarande investeringar i stora bolags aktier). Testet har baserats på portföljer sammansatta på momentum- och contrarianstrategier för att utröna om en ETFs storlek på kapitalvärde är avgörande för en ETFs avkastning. Populationen har delats upp efter kapitalvärde i grupper om 25% största respektive 25% minsta, varefter portföljer skapats med momentumvinnare och momentumförlorare inom respektive grupp. Resultaten är mångtydiga och är i en del fall i linje med forskning som stödjer teorier om sambandet mellan lågt kapitalvärde och hög riskjusterad överavkastning. I andra fall är resultatet motsatt. Dock ger de flesta observationer inte statistisk signifikans och sambandet kan därför inte styrkas statistiskt. Resultatet tyder snarare på att ett samband mellan dessa två variabler inte föreligger.

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
ETFs are a relatively new investment product that allows investors to achieve the diversification of a mutual fund with the trading flexibility of a stock. This and other advantages have been drastically attracting investors over the last years; however, the price of this product is a topic that remains little explored. In this paper I introduce a panel data analysis of premiums/discounts of ETFs with similar characteristics. I find that some of these characteristics are significant explanations to ETF pricing inefficiencies.

The goal of this diploma thesis is to analyze the gold market and provide readers with the necessary information and context having an impact on the price of gold. The thesis consists of three chapters. First one deals in general with the commodity market and introduces the readers to commodity exchange issues such as trading commodities in commodity exchanges, motives of commodity trading as well as the specific characteristics of commodities. Second one concerns the detailed analysis of commodity investment tools that investors might use when they feel like getting an exposure to price movements of commodities. The last chapter gears towards an analysis of the gold market in today's super globalized world and depicts what fundamental factors have an impact on the price of gold. At last, I shall summarize existing pieces of knowledge and cast light on further gold price movements.

"This paper describes our work in exploring trading strategies for the leveraged exchange-traded funds, Direxion Daily Financial Bull 3X (FAS) and Direxion Daily Financial Bear 3X (FAZ) over the first three quarters of 2009. Using minute-by-minute stock data we are able to verify the accuracy of these ETFs in regards to their target of the Russell 1000 Financial Index (RIFIN). We are then able to quantify the returns and risks involved with trading strategies that seek to exploit the ETFs objectives, specifically momentum trades, tracking-error discrepancy trades, and a combination of the two strategies we term “discount-and-up.” Bootstrap simulation techniques are employed to measure values at risk and conditional tail expectations over 30 day time horizons for each strategy. Lastly, we demonstrate the dangers of traditional buy-and-hold investing with regards to leveraged ETFs."

Background: Ever since Sharpe, Treynor and Jensen advanced the methods of fund performance evaluation in the 60’s it has been a popular field of study in academia. As the intricacies of fund performance was untangled it became clear that paying for active management doesn’t yield higher cost adjusted returns. An Index investment strategy is the most sensible approach and it’s the associated cost which separate index vehicles. Exchange traded funds have risen as a competitor to the conventional index mutual fund but the research evaluating these is very scarce. The research conducted comparing the costs of the two vehicles do not take into account implicit transaction costs that in turn depend on specific market microstructure designs and could affect the cost relationship. The problem: Do liquidity and market structural disparities between markets affect the cost relationship between exchange traded funds and index mutual funds, through the implicit transaction cost? Objective of the research: The objective of this paper is to examine whether structural differences between markets affect implicit transaction costs to the extent that the cost relationship between index funds and exchange traded funds differ from earlier findings. Method: The need to generalize the findings prompted a quantitative approach to the research. Comparative examination will be done on the microstructure and liquidity of two different markets. The transaction costs will then be measured with statistical means and incorporated in a cost comparison model. Result and conclusion: There are architectural and liquidity differences between the two sample markets allowing for systematic differences in transaction cost, which were found but were not a significant contributor to the tracking error cost of the index mutual funds. The Swedish ETF do not get more profitable as the investment sum increases. A finding which contradicts earlier findings and is likely a consequence of the Swedish tax-laws for capital gains as well as the higher levels of management fees for ETFs. ETFs might still be a worthwhile investment since they possess unique qualitative benefits.

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
In this assignment I build an intuitive panel regression model, in order to achieve a clear isolation of the impact of the inception of the first Exchange Traded Fund created on the FTSE100 index on the price efficiency of its underlying stocks. The main finding of this analysis is that price efficiency at the individual stock market decreases after ETF introduction. Thus, the adverse selection hypothesis highlights the shift of liquidity traders to the basket security, leaving informed traders exposed in the individual market. This decrease is evident and significant for different time range samples employed, as well as for the several measures of price efficiency used.

The first essay examines cross-sectional differences between money market mutual funds (MMMFs), in the context of the sponsoring fund family. While extant studies have shown that fund family characteristics impact the management of open-end equity mutual funds, results of this study’s analysis find that fund family characteristics also affect the management of MMMF assets, contributing to differences in the maturity of the fund’s holdings, expenses, and realized returns. I find that an MMMF is not simply a transitional account with a short-term low-risk investment objective, but rather, a critical role player within the fund family. Differences in maturity, yield, and expenses in MMMFs can be explained by family-specific characteristics, including diversification and cash management strategies at the family level. The second essay examines implications of substitutability of two similar financial assets: conventional index mutual funds and exchange traded funds (ETFs). I seek to explain the coexistence of these fund types, since both offer a claim on the same underlying index return process, but have different organizational structures. This study compares conventional open-end index funds with matched ETFs on various underlying indexes. Aggregate flows are used to detect substitution and clientele effects. I show that conventional funds and ETFs are substitutes, while ETFs have smaller tracking errors and lower fund expenses. However, I find that these fund types are not perfect substitutes, and their coexistence can be explained by a clientele effect that segregates them into different market niches.

Magister Commercii - MCom
The notion of market efficiency posits that stock prices fully reflect all available information in a timely manner. The efficient market hypothesis (EMH) proposed by Fama (1970) systematically rules out the profitability of information driven investing, and implicitly promulgates a passive market capitalisation weighted investment strategy such as indexing. The appeal of passive strategies has largely been driven by the growth of passive tracking instruments, which allow investors to earn underlying index performance by purchasing a single security such as an exchange traded fund (ETF). On the contrary, proponents of behavioural finance suggest that investors are irrational and subject to psychological biases. Furthermore, the noisy market hypothesis of Siegel (2006) asserts that the deviations from the economic ideal of rationality proposed by the EMH, introduces noise in the market which could lead prices to deviate from their intrinsic values. The resultant drag in performance of market capitalisation weighted indices suggests that the optimal cap-weighted market portfolio promulgated by the modern portfolio theory (MPT) of Markowitz (1952), ceases to be the most mean-variance approach to asset allocation. With the goal of testing the applications of ETF’s, this study first evaluates the performance of passive sector ETF’s in the global equity market. In addition, motivated by the potential inefficiencies of capweighted portfolios, the study tests optimisation based asset allocation techniques, and technical analysis based market timing strategies. The study employs the S&P Global 1200 sector indices and their respective sector ETF’s to test their performances and applications in passive and active investment strategies, over the period from July 5th, 2002 to February 6th, 2015. The ETF’s are evaluated based on their tracking ability and price efficiency. All 10 sector ETF’s possess insignificant tracking errors and successfully replicate the performance of their underlying indices. In addition, the globalsector ETF’s are not price efficient over the study period, as they possess persistent price deviations from their net asset values (NAV’s). Furthermore, the ETF trading strategy based on the relationship between ETF returns and price deviations, proves to be effective in outperforming the passive buy and hold strategy in the majority of the sectors. The sector decomposition of the cap-weighted S&P Global 1200 index which is employed as the market proxy, reveals that its sector allocation remains fairly stable throughout the study period. In contrast, the optimal historical sector composition incurs large changes in sector exposure from year to year and provides substantially superior performance relative to the cap-weighted market portfolio. The cap-weighted portfolio tends to overweight cyclical sectors and underweight resilient sectors during major economic downturns. The long-only, long-short and market neutral strategies developed from the S&P Global 1200 index and its constituent sector indices provide exceptional risk-adjusted performance, and more meanvariance efficient portfolios than the cap-weighted market proxy. The relaxation of the longonly constraint also improves the optimised portfolios risk-adjusted performance, mainly through risk reduction benefits. The performance of the optimised global sector based portfolios also resembles the performances of the global style based optimised portfolios developed by Hsieh (2010), thereby suggesting that the two approaches are analogous. The 3 technical market timing strategies tested in this research provide varying results. The sector momentum portfolios experience significant positive returns during bull markets, however the portfolios incur significant drawdowns during periods of economic turmoil such as the 2008 global financial crisis. As a result, all sector momentum portfolios provide inferior risk-adjusted returns relative to the passive cap-weighted buy and hold strategy. The exponential moving average (EMA) trend timing strategy promulgated by Hsieh (2010) provides impressive risk-management attributes and superior risk-adjusted performance relative to passive buy and hold benchmarks. Similarly, the alternative technical charting heuristics trend timing strategy helps reduce drawdowns during market crashes, however the charting strategy provides inferior cost and risk-adjusted performance relative to the capweighted buy and hold approach due to larger timing errors and longer hedging periods in comparison to the EMA strategy. In addition, the global tactical sector allocation (GTSA) model tests the EMA and technical charting trend timing tools in the context of a global sector portfolio, and the model provides outstanding cost and risk-adjusted performances relative to the passive investing alternatives. The portfolio based GTSA model highlights the benefits of portfolio diversification and successfully hedges market exposure during economic downturns.

Com esta dissertação de mestrado, pretendemos verificar qual a performance dos Exchange Traded Funds (ETF), fundos de investimento transacionados em bolsa, existentes na Europa. Assim sendo, o presente trabalho tem como objetivo a avaliação da performance dos ETF, enquanto alternativa de investimento na expectativa de rendibilidades superiores. Para alcançar o objectivo proposto inicialmente é feita uma análise global dos ETF e dos seus respetivos benchmark no período da amostra de 2005 a 2014. De seguida, a amostra é dividida em bull market e bear market, para compreender se o seu desempenho é persistente no tempo, bem como se esse desempenho apresenta alterações de comportamento mediante cada período. No nosso estudo, vamos ainda verificar se existe ocorrência de trancking error, com o intuito de perceber se os ETF em análise replicam o seu benchmark. De maneira a avaliar a performance dos ETF, utilizamos como medidas de avaliação de desempenho a Rendibilidade e desvio-padrão, o indicador de Sharpe, o indicador de Treynor, o indicador de Sortino e o indicador de Jensen.

碩士
國立中興大學
財務金融系所
100
ABSTRACT Asset allocation, stock selection and timing are important factors and steps to invest. This study tries to use different strategies to find better return in index funds. We use Taiwan''s 1.5 standard deviation of weighted index to be an investment range. We expect to get a disciplined investment model to obtain better returns. Considering the size of capital and stable rate of return, we hope we can offer an appropriate investment model to let investor have confidence in having a reasonable performance. According to our study, we have the following findings: 1. Taking into account of risk and return on investment, Long-term investment value averaging strategy is better than dollar cost averaging. That is because buying more units in the low-cost range will reduce the cost occurred in the high-cost range. Then, that will also reduce the total NAV and increase the total units of holders. 2. Considering risk and return when using 1.5 standard deviation of weighted index (3998 to 8738), we find investment-weighted index range setting investment strategy is better than the no weighted index range setting investment strategy, The reason is that they do not conduct ”buy-high-and-sell-low” investment rules which is an irrational investment behavior patterns. 3. After the Financial Tsunami period, we find the best strategy is weighted index in the range settings when taking into account of the "return", "Sharp ratio" and "actual profit" points. The strategy can achieve high performance if we long positions with vlaue averaging when real-return rate reaches 20% and we short positions when real-return rate reaches 20% at outside range. Key word: ETF、Asset allocation、stock selection and timing、Sharp ratio

碩士
淡江大學
管理科學學系企業經營碩士在職專班
103
Exchange-traded funds（ETF）market flourishes in Taiwan’s stock exchange market. It satisfies the demand of diversified asset allotments from investors. When ETF is bought, it has the effect that a basket of stocks are invested. As Taiwan’s first ETF, Taiwan 50 provides a major benchmark for selecting stocks on market. Since it comprises 50 largest listed companies, each dominating the market it is in, Taiwan 50 is characterized by stable revenues and sprightly transactions, and its component companies are identified as prestigious enterprises. This thesis uses data mining approach, association rules, and implements Apriori algorithm to investigate data mining results. By doing so, various Taiwan Stock Exchange listed stocks, stocks ranking A++ in transparency and disclosure by Securities & Futures Institute, and possible stocks selection recommended by foreign brokerage firms are proposed alternative components on Taiwan 50. In addition, possible portfolio suggestions from research findings are further discussed on this thesis.

碩士
真理大學
財經研究所
100
This study try to examine whether the relationship between Polaris Taiwan Top 50 Tracker Fund (Taiwan 50 ETF，first Exchange Traded Funds in Taiwan) NAV （ Net Asset Value）and Leading Indicators. Composite Index of Taiwan’s Leading Indicators is constructed by seven indicators for predicting the business cycle. Seven indicators include Index of Export Orders, Monetary Aggregates, Stock Price Index, Index of Producer's Inventory for Manufacturing, Average Monthly Overtime in Industry and Services, Approved Licenses for Constructing, SEMI Book-to-Bill Ratio. This paper use Granger Causality Test to select indicators and apply multivariate Linear Transfer Function (LTF) to analyze whether them can forecast Polaris Taiwan Top 50 Tracker Fund NAV. The results show that Monetary Aggregates and the preceding information about Polaris Taiwan Top 50 Tracker Fund NAV in a short-run are feasible for a reference.

碩士
實踐大學
財務金融與保險研究所
99
In the fast-changing world, most investors seek the assistance of professional investment institutions due to fail to effectively forecast the fluctuation of economic situation and financial market by themselves. Therefore, an alternative, which invests in stock-type ETFs (Exchange Traded Fund), has been chosen by numerous stock investors. However, the same as the general stock investment, creating an effective investment strategy to accurately manage and adjust the investment timing and cash is as well the key factor for ETF in making earnings. This study focuses on investigating the optimal investment strategies for ETF investors. Comparing with the lump-sum strategy, the majority of the theoretical researches and practical experiences consistently indicate that the dollar-cost averaging strategy for mutual fund can realize the effectiveness of dispersing the investment timing, averaging investment cost, and reducing investment risk. This study assumes that ETFs also can adopt dollar-cost averaging investment strategies as used in typical mutual funds. The increasing or decreasing in monthly investing amount is periodically determined based on appropriate combination of market condition and macroeconomic indicators at that time. As a result, an investment strategy similar to variable amount dollar-cost averaging is established to effectively capture the market variability. Furthermore, the optimal investment mode can be found out through empirical analysis and comparison. This study takes Taiwan first ETF with largest scale and trading volume ─Taiwan 50 ETF as samples and conducts the empirical study covering nine years. The empirical results show that variable amount dollar-averaging is overall superior to traditional dollar-averaging, this study is confident that the creating mode and empirical results for variable amount dollar-cost averaging strategy of ETF proposed in this study could provide the practitioners and investors with a substantial reference value.

Classificação JEL: G02; G13; G14
Neste trabalho é investigada a capacidade dos investidores, através de Exchange Traded Funds (ETFs) e contratos Futuros sobre o YEN, identificarem corretamente o sentimento do mercado cambial num momento de viragem da política económica Japonesa e consequentemente obterem retornos positivos, i.e. o denominado smart money. Utilizando um conjunto de dados de ETFs contratos Futuros em contínuo, sobre YEN foi possível identificar uma relação entre a expectativa de uma mudança na política cambial Japonesa (objetivo: desvalorização do YEN) e o comportamento dos investidores. Verifica-se alguma divergência entre os resultados sobre os ETFs Ultra YEN e os ETFs UltraShort YEN. Ambos ativos apresentam alguma evidência de smart money, mas, contrariamente ao esperado foram as posições longas que apresentaram melhores resultados. Já nas posições curtas, dada a queda significativa do seu ativo subjacente no período pré-eleitoral, seria de esperar fortes sinais de smart money no entanto estes revelaram-se pouco significativos. Foi, no entanto, junto dos intervenientes do mercado de futuros que os sinais de smart money foram mais claros, tanto Commercial como NonCommercial, estes últimos, destacam-se e mostram-se mais assertivos tanto num dado momento t, como até três semanas de antecedência. Os resultados encontrados são suportados, possivelmente, pela natureza dos ativos estudados, os ETFs procuram replicar o comportamento do YEN, enquanto os Commercial têm necessidades de cobertura de risco, já os NonCommercial visam a especulação.
This thesis investigates the ability of investors in ETFs and Futures Contracts to correctly identify the sentiment of the forex market on the YEN at a turning point in Japanese politics. I investigate the so called “smart money” hypothesis. i.e. wether investors are able to forecast positive returns. Using a data from ETFs and Futures Contracts on YEN, it was possible to identify a relationship between the expectation of a change in the Japanese exchange rate policy (goal: devaluation of YEN) and investors behavior. There is some divergence between the results on the Ultra YEN ETFs and UltraShort YEN ETFs, the last one, unlike the first, show some evidence of smart money still far from what would be expected given the significant fall in its underlying asset during the pre-election moment. The signs of smart money showed to be stronger for participants in the futures market, both Commercial and NonCommercial, the latter, stand up and show up much more assertive at a given time t, as even three weeks in advance. The results are, maybe, supported by the nature of the studied assets, ETFs seek to replicate the behavior of the YEN, while Commercial needs are hedging and the aim NonCommercial is speculation.

碩士
國立政治大學
資訊管理學系
106
ETF assets have been growing in recent years, and become a focus for many investors. The historical data said the Yuanta Taiwan Mid-Cap 100 ETF return rate is better than that of Yuanta Taiwan Top 50 ETF in serval years; moreover, the researches of Yuanta Taiwan Mid-Cap 100 ETF is very scarce. Therefore, the aim of this study is to establish a price prediction model which will become an important tool for investors in texting sentiment analysis. The past researches pointed out that LDA was the best clustering method in text sentiment analysis, and argued that TF-IDF combined with K-means had a weak effect because of sparse matrix. We use TensorFlow to implement TF-IDF combined with K-means, and we find that the effect of TF-IDF combination K-means, which is implemented by TensorFlow, is superior to the LDA model by silhouette coefficient. In the past researches of the sentiment analysis of financial news, sentimental labels was mainly based on financial dictionaries, like NTUSD, HowNet Knowledge Database and the self-expansion algorithm. It must need a lot of manual tagging, so this study proposes to use the lexical thesaurus of E-HowNet Knowledge Database mixing PAD emotional state model to digitize emotions and greatly reduce manual labeling. The results support that sentiment index has a similar trend with the stock index. Especially, the sentiment index of the subject of the stock’s information has the characteristics of the leading indicators. Eventually, we use SVM and kNN to compare in this study. The results are that the SVM model which combine with sentiment index and indirect indicators, Taiwan Weighted Stock Index, International Crude Oil Price and Exchange Rate, is the best.

碩士
輔仁大學
應用統計學研究所
99
“Buy low and sell high” is the creed of making profits from investing the stocks. In this study, the stock market is a bear or bull market depends on the rank of moving average 30, moving average 60, and moving average 240, and the target trading price is set with a geometric progression based on moving average 240 。According to the last trading situation and twin filter rules , the order imbalances are adopted to obtain profits by following the “buying low and selling high” creed when the target price of the stocks is attained. The investment benefit of trading price model and the investment risk of stock certificates are evaluated by tracing and comparing ETFS and stock certificates. During the tracing period( 02/07/2008 -01/04/2011), the ROI(Return On Investment) of “Polaris/P-Shares MSCI Taiwan Financials ETF” was 40.6%, the ROI of “Accton Technology Corp., ” was -10.7% , and the ROI of “FALCON POWER CO., was 85.3%.” The result shows that the application of trading price model to ETFs is higher in porfits but with lower risk while it would generate higher cost of capital and investment risk for stock certificates.

O estudo tem como objectivo analisar o comportamento dos Fundos de Investimento tradicionais face aos Exchange Traded Funds (ETF), instrumento recentemente introduzido no mercado e que tem vindo a assumir cada vez mais importância nas preferências dos investidores. Pretende-se verificar se a gestão activa, no caso dos fundos tradicionais, apresenta uma melhor performance face à gestão passiva, no caso dos ETF. A análise incide sobre o mercado Europeu e Americano e procura demonstrar qual das duas estratégias tem sido mais vantajosa para os investidores neste tipo de instrumento, para o período de 2005 a 2011. De forma a avaliar estes dois instrumentos foram utilizados os indicadores de performance tradicionais, tais como, Rendibilidade e Desvios-Padrão, Tracking Error, Índice de Treynor e de Índice de Sharpe, um Modelo de Factor Único baseado no Capital Asset Pricing (CAPM) e o Modelo do Três factores de Fama & French para avaliar as capacidades e qualidades dos gestores. Os resultados obtidos demonstraram que ambos os instrumentos não tiverem performances superiores ao benchmark. Os fundos tradicionais, no entanto, tiveram resultados mais favoráveis do que os ETF, apesar de não terem conseguido obter resultados significativos de rendibilidades em excesso. A análise com base no modelo de múltiplos factores veio comprovar que os resultados foram obtidos através de exposição a outros factores de risco, nomeadamente empresas de pequena capitalização e de crescimento.
This study aims to analyse the behaviour of traditional investment funds in relation to Exchange Traded Funds (ETF), an instrument recently introduced in the market and that is assuming increasing importance in investors' preferences. It is intended to check whether the active management in the case of traditional funds, has a better performance compared to the passive management in the case of ETF. The analyse focuses in European and American market and attempts to show which of the two strategies has been more advantageous for investors in this type of instrument, for the period 2005 to 2011. In order to evaluate these instruments, the traditional performance indicators were used, such as, Returns and Standard Deviations, Tracking Error, Sharpe Ratio and Treynor Ratio, a Single Factor Model based on Capital Asset Pricing (CAPM) and a The Three Factor Model of Fama & French to measure the skills of the managers. The empirical results showed that both instruments are not achieved superior returns than the benchmark. However, the traditional mutual funds had better returns compared to ETF, although not statisticaly significant. The analysis based on the multi factor pricing model of Fama & French came to prove that the results were obtained by the exposure to other risk factors, including size and growth.