| Summary: | 碩士 === 南台科技大學 === 財務金融系 === 99 === The Performance of Actively Managed
Exchange Traded Fund
Abstract
One of the characteristics of ETF is to replicate index and it is also the reason why it is popular for investors. But in the diversified-development financial market, actively managed ETFs came out in 2008. Until 2011, actively managed ETFs have established for 3 years; thus, the purpose of this study is to examine the performance between original ETFs and actively managed ETFs. Moreover, according to Elton et al. (2004), they believe people can use the historic information of the index funds to predict its performance including return and risk. In this study, it also follows the same method to predict the performance of actively managed ETF. First and foremost, this study would observe how different between original ETF and actively managed ETF is by calculating Sharpe Ratio and Treynor Index. Then, this study uses the bootstrap approach in order to offset the excessively short establishment period of actively managed ETFs. Besides, this study period is divided into 5-days, 20-days and 60-days to examine whether their performance is different in different periods. The result in this study shows that actively managed ETFs' performance is not better than original ETFs
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