ETF绩效度量研究——以沪深300 ETF为例

The Research on Performance Measurement of Exchange Traded Funds—Taking Hushen300 ETF as an Example

摘要: 基金选择对投资者来说是一项重要决策，传统的基金绩效评价方法通常是从基金的收益和风险角度衡量基金表现，但这种度量方法仅适用于主动管理型基金，并不适合以特定指数为跟踪标的、旨在减少跟踪误差的指数型基金。针对投资者对交易型开放式指数基金(Exchange-Traded Fund，以下简称ETF)的绩效评估需求，本文建立了一个基于风险度量模型的ETF绩效评价指标，并利用该指标以沪深300 ETF为例对中国ETF市场进行实证研究，同时针对不同情况提供了几种可选择的评价方案。

Abstract: Fund selection is an important issue for investors. Traditional fund performance measurement tools are mostly focused on returns and risks, but this work concerns only active managed funds, rather than index funds which aim to offer an investment vehicle that presents a very low tracking error compared to its benchmark. Responding to the investors’ requirement on ETFs’ performance measurement, this paper proposes a comprehensive performance measure based on the Value-at-Risk framework, which is perfectly adapted to ETFs. We then apply this efficiency measure to Chinese ETF market and draw a conclusion from the empirical results of Hushen300 ETFs. Alternative measures are given simultaneously by taking into account different scenarios.