Empirical Research On The Performance Of Exchange Traded Funds In China

The Exchange Traded Funds (hereinafter referred to as ETF), ETF is a passive index fund, has both advantages of open-ended funds and close-ended funds. compared with the traditional index fund, ETF’s replication is better, cost is lower, liquidity is stronger, sale is more convenient, and can take the arbitrage-trading. So, it has a unique attraction for investors. Although China’s ETF is lower than the level of developed countries, but our ETF market will have a bright future following with the continuous innovation of the ETF products and the constantly improved market heat. As the ETF’s superiority express gradually, it has draw more and more attention from investors. But the ETF has a complex variety of products, and its evaluation system is also not complete, so this article takes every point of view of the fund evaluation, to evaluate ETF in China completely, give reasonable advice to investors and give some advice about improving and developing our ETF market, and how to improve our ETF’s performance.This article looks the Exchange Traded Funds in China as the object of study, on the basis of the relevant research literature in domestic and international, states the ETF’s definition and characteristics, and the theoretical basis of the evaluating performance. It also reveals the development history of our ETF, and the present situation from three aspects of the products, liquidity and investors. Besides, this article takes the data from2011to2013as a sample, evaluates separately and ranks our mature ETF from four aspects, which is income level, risk level, adjusted income by risk and the ability of time choosing and stock selecting. After that, this article makes a overall performance ranking for the sample by taking the factor analysis of SPSS, and gives some advice to the investors to invest the Exchange Traded Funds in china.The article combines the present situation of our ETF, gives some advice about improving and developing our ETF market from two aspects enhancing the ETF’s performance and developing the ETF market. The advice is:for enhancing the ETF’s, we should enhance the fund management’s ability to spread risk, and enhance the fund manager’s ability of time choosing; for developing our ETF market, we should enlarge the related product of our ETF, improve the liquidity, and develop more types of investors vigorously.