Does the actively managed ETF outperform the passively managed ETF?
碩士 === 南臺科技大學 === 財務金融系 === 104 === ETFs (Exchange Traded Funds) that are designed to track an index have been available in the U.S. and European markets since 1990s. As investors become familiar with traditional ETF, the appearance of actively managed ETF, which is allowed to market-time trades or...
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| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ge29b6 |
| Summary: | 碩士 === 南臺科技大學 === 財務金融系 === 104 === ETFs (Exchange Traded Funds) that are designed to track an index have been available in the U.S. and European markets since 1990s. As investors become familiar with traditional ETF, the appearance of actively managed ETF, which is allowed to market-time trades or deviate from the index, raises an issue about its ability to beat the passive ETF. This study uses daily data in the U.S. market to examine whether the actively managed ETF can outperform the passively managed ETF. Our empirical results show that the Sharpe index and the α value of actively managed ETFs are not superior to that of the passive, and both kinds of ETFs fail to beat the buy-and-hold strategy and S&P 500 index as well. We conduct strategies ruled by the KD technical indicator to trade both kinds of ETFs and find no evidence of ETFs’ performance persistence and predictability. Our study seemingly confirms the long-swirling market rumor about the inferior performance of the actively managed ETF compared to the passive tracker.
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