The Performance of Commodity Exchange Traded Funds：Evidence for Oil ETFs

• Main Authors: Wan-Ting Chen, 陳婉婷
• Other Authors: Yueh-Chung Chu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/41048955380614159584

碩士 === 南台科技大學 === 財務金融系 === 97 === According to Elton et al. (2004), he found significant differences return under the examination of 52 S&P 500 index funds from 1996 to 2001. The following study is done for testing whether the performance of oil ETFs would have significant differences as there was large oil price fluctuation in the past several years. In this paper, unconditional and conditional four-factor models were used to examine the future and industrial types of oil ETFs. Since the establishment period of ETFs was short, bootstrap approach is used to measure the performance of oil ETFs as this approach could avoid problems such as short time horizon and assumption of distribution. Moreover, the study period is divided into 20days, 60days, 120days, one year, two years and three years to examine will there be different results in measuring the performance and risk persistence of Oil ETFs. The analysis showed that: 1) Referring to the results of ETFs, there were differences in the results of every crude oil ETFs. However, there were no significant differences between future and industrial types of oil ETFs. 2) Referring to the examination performance of predictability, short-term results are predictable. However, there is a reversal occurrence in long-term results. 3.) In response to the examination of risk and performance persistence, prolonging the period of assessment would reduce their persistence.