An Analysis of Index Tracking Performances of ETFs, Leveraged ETFs, and Inverse ETFs

• Main Author: 許婉珍
• Other Authors: 呂瑞秋
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/43102157305655966610

碩士 === 逢甲大學 === 金融碩士在職專班 === 104 === This thesis studies the index tracking performance of the two exchange-traded funds (Yuanta/P-shares Taiwan Top 50 ETF and Proshare S&P 500), the two leveraged ETFS (Yuanta Daily Taiwan 50 Bull 2X ETF and Ultra S&P 500), and the two reverse ETFS (Yuanta Daily Taiwan 50 Bear -1X ETF and Short S&P 500). The data used is the daily returns from November 3, 2014 to January 29, 2016. The estimated slopes, the R-squared and the residual standard errors of simple linear regression models are used for the performance measurement. The empirical results show the ETFs, the leveraged ETFs and the reverse ETFs of S&P 500 have better tracking performances than those of ETFs in Taiwan. According to the estimated slopes, on average, when the underlying index is up one percent, the S&P500 ETF up 0.99%, but the Taiwan Top 50 ETF is only up 0.89%; The Ultra S&P500 ETF is up 1.99%, but the Taiwan 50 Bull 2X ETF is only up 1.68%; The Short S&P500 ETF is down -1% while the Taiwan 50 Bear -1X ETF is only down -0.81%.