Investment Performance Analysis Of Exchange-Traded Fund In China

In essence,Exchange-traded Fund (ETF) is an open-end index fund that trades just like stocks on major stock exchanges. ETF concentrates some advantages of closed-end fund,open-end fund and index fund,and surmounts some deficiencies of the original fund,therefore it obtains great success in the international capital market in the last ten years.ETF has a very short history in China. China's first ETF,Shangzheng 50 ETF,was listed on the Shanghai stock exchange in February 2005.By the end of May 2007,there are five ETFs available in China. Compared with developed countries,the development of ETF in China is at the initial and exploration stage. Domestic studies conducted on investment performance of ETF is limited. In order to promote the healthy development of ETF in China,it is particularly urgent to evaluate investment performance of domestic existing ETFs using a comprehensive and systematic approach.After reviewing the research on investment performance of ETF by the domestic and foreign scholars,the paper attempts to explore a new idea on using sharpe index to evaluate investment performance of ETF of our country from the perspective of efficiency of the capital market.In this article,I start this thesis with the rise process,the characteristics,the theoretical basis of operation and the investment performance evaluation methodology of ETF.Then evaluate three ETFs including Shangzheng 50 ETF,Shangzheng 180 ETF and Shenzheng 100 ETF by using three methods:tracking error,premium/discount,sharpe index.The result shows that the three ETFs have a good investment value,and on the whole the performance of the three ETFs on tracking error,premium/discount and sharpe index is good.However,they don't behave well in some respects.For example,the three ETFs have a larger daily tracking error many times in the short term,the three ETFs have the premium/discount phenomenon that the size of premium/discount is larger and the premium/discount exists longer to certain frequencies,and the size of tracking error and premium/discount of the three ETFs is larger than SPDR's.In light of these problems,I propose some policy recommendations to improve investment performance of ETF of our country at the end of this article.