Performance Comparison Between Active and Passive Investment Strategies Under Different VIX Volatilities

• Main Authors: CHUANG,HUI-CHING, 莊惠菁
• Other Authors: CHEN,TA-HSIN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/57vxb2

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 106 === This study has collected 5 different fund companies investing in American stocks from 2005 to 2017 as active investing samples, while SPY used as passive investing samples. It explores the performance comparisons between active investing and passive investing under different VIX (Volatility Index). It explores whether the performance of passive investing is better than that of passive investing when the VIX (Volatility Index) fluctuates. Additionally, it explores whether the TED Spread has the same significant impact, aside from the VIX (Volatility Index) as well. In this study, the regression analysis is made by using serial correlation and detection of heterogeneity for obtaining the best unbiased estimator. According to the empirical results, the following results can be concluded: 1. Through the statistical analysis of data, it can be seen that the fluctuation of passive investing ETF (Exchange Traded Funds) roughly synchronizes with the trend of benchmark index. Secondly, it is shown that the performance of active investing is not worse than that of passive investing through the comparison and analysis of daily and monthly rate of return of active investing fund and passive investing ETF (Exchange Traded Funds); 2. There is a negative correlation between the VIX (Volatility Index) and the fluctuation of rate of return margin of the active and passive funds. It also reflects the emotional impact of panic market on fund managers’ operation. 3. There is no correlation between the TED Spread and the rate of return margin of the active and passive investing.