Passive management fund research-The case of the Tiger Cub Economies ETF
| Autor: | Juei-Fang Hsu, 徐瑞芳 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 The categories of instruments in financial investment, in addition to stocks, bonds and the money market and other common investment products also include diversified financial derivatives, which have also become the targets and choices of investors. Because the cost of investing in passive management funds is lower than in other financial instruments, the link index is divided into various regions, industries and the combinations are quite extensive; hence is favored by many investors and have also become for these investors, one of the most important choices for risk diversification. This research has been conducted during the period starting January 1st, 2015 to December 31st, 2015, the subject of the study being Asia’s four tiger cubs economies’ passive management funds, respectively iShares MSCI Indonesia ETF ( EIDO )、iShares MSCI Philippines ETF（EPHE）、 iShares MSCI Thailand Index ETF（THD）、 iShares MSCI Malaysia ETF（EWM）issued by the Exchange-Traded Funds (ETF). Methods and results are standard deviation, beta-coefficient, the rate of return, Sharpe ratio and other methods to measure performance and then the value at risk model including variance method – Ancova, historical simulation method, Monte Carlo simulation to calculate the risk value. The outcomes show that the results of the rate of return, the monthly average rate of iShares Indonesia ETF (EIDO) is the best and iShares MSCI Philippines ETE (EPHE) is the worst. With the results in standard deviation in iShares MSCI Philippines ETF (EPHE), the standard deviation minimum volatility best performance, iShares MSCI Indonesia ETF (EIDO) standard deviation has the largest fluctuation’s worst performance. The results of the beta-value, the four countries’ ETF is less than 1, which means that the rising range is less than the market index. According to the SHARP Index results, the four ETF gears are greater than zero, showing the four ETF gears’ excess return rate is higher than the calculated risk-free return rate. The results calculated for value at risk were highest for iShares MSCI Indonesia ETF ( EIDO ) and lowest for iShares MSCI Malaysia ETF（EWM）. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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