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Description
There is a long standing debate on the various forms of investment in the growing marketplace as to which is best for the individual investor needs. Two similar types of investments are mutual funds and exchange-traded funds (ETF), which are both securities that are made up of a pool funds. They are comparable in concept but have key differences that make this study unique. Mutual funds are much more commonly used and are more prevalent in investment publications. This study addresses the benefits and drawbacks of mutual funds and ETFs and how their structures influence returns over a period of time. The purpose of this study was to take historical data of both mutual funds and ETFs to find their returns and see which, if either, outperformed the other based on several different calculations and performance measures. To improve the validity of this study, we found funds from both the technology and utility sector, for each investment vehicle in order to evaluate different classes of risk. We kept the study consistent and compared technology mutual funds to technology exchange traded funds, and so on with the utility sector. We created four portfolios consisting of around eight to ten high quality funds based on criteria. Results indicated that ETFs outperformed mutual funds in both the utility and technology sectors. In order to adjust for risk, we ran Jensen's measure and found that ETF's still outperformed mutual funds. This is significant because mutual funds are highly regarded in the investment world and often thought of as better than ETFs mainly due to their active management and long term results as they have been around for longer than ETFs. This study proves that investors should be putting more money into ETFs because they yield higher returns over time and cost less in fees, allowing the investor to retain a larger portion of their investment.
ContributorsRietman, Marissa (Co-author) / Melton, Mikayla (Co-author) / Licon, Wendell (Thesis director) / Budolfson, Arthur (Committee member) / W. P. Carey School of Business (Contributor) / School of Accountancy (Contributor) / School of International Letters and Cultures (Contributor) / Department of Finance (Contributor) / Barrett, The Honors College (Contributor)
Created2016-05
Description股票市场行业轮动现象比较明显，但轮动的机理变幻莫测。股票多头策略类的基金经理始终思考着如何构建投资组合以获得绝对收益与超额收益，必须面对与解决诸多具体问题与困惑，比如，择股与择时之惑，精选个股主动管理与跟随行业指数而被动投资之惑，趋势投资与逆向投资之惑，认知能力有限与市场机会无限之惑等问题。 面对这些现象与问题，本文研究的目的就是开发出一种有效的、以ETF为底层投资标的的基金产品投资策略，捕捉市场的行业轮动机会，并将这种策略运用于投资实践之中，促进业务的发展，这也是本文研究的实际意义所在。本文在回顾有效市场假说、道氏理论、行为金融理论、估值理论、美林时钟、换手率等理论和国内学者文献的基础上，并结合笔者工作经验，提出了几个理论假设：假设1：中国股市存在动量效应，运用双动量策略优于运用单动量策略。假设2：行业景气度与行业指数涨幅存在相关关系。假设3：估值分位与反转效应出现概率存在相关关系，在估值分位过高与过低时，指数出现反转的概率较高。假设4：行业交易拥挤度过高或过低时，行业指数反转的概率较高。
本文选取动量、行业景气度、估值分位、交易拥挤度作为自变量，选择收益率作为因变量，提取证券市场的相关数据，查找了几个行业的相关政策，运用回归分析法、概率分析法、图表分析法、案例分析法、打分法等数据处理方法，验证理论假设是否成立，并进行策略测试并分析回测结果。本文首次研究了动量、行业景气度、指数估值分位水平、交易拥挤度之间的相关关系，以及这四个因子与投资收益率之间的关系。验证表明，以ETF为底层资产开发行业轮动策略获得绝对收益或超额收益是可行的。
在数据验证的基础上，构建了行业轮动策略，包括策略的核心内容、策略的构建步骤、策略的风险、注意事项，以及研究展望。
ContributorsHuang, Xian (Author) / Shao, Benjamin (Thesis advisor) / Kan, Rui (Thesis advisor) / Zhang, Huibing (Committee member) / Arizona State University (Publisher)
Created2023