【作者】 吕小娟；

【导师】 王千红；

【作者基本信息】 东华大学 ， 产业经济学， 2007， 硕士

【摘要】 交易所交易基金(ETF)自首只ETF——TIPS1989年在加拿大发行以来，发展迅猛，截止2006年底，全球共有732只ETFs。当前全球ETF按交易活跃，基金规模排名前三甲中，完全复制型ETF就占据了两个席位。虽然我国现只有5只上市交易ETF(其中4只是完全复制型ETF)，但是ETF有助于我国资本市场结构完善，同时为投资者提供一个良好的投资渠道选择。对完全复制型ETF业绩的客观评价可以为投资者作出投资选择提供参考，可以为基金经理业绩考核提供关键依据，可以为监管者更好地引导ETF市场健康发展提供参照。因而完全复制型ETF业绩评价具有一定的理论和实证意义。本文从ETF内涵和分类入手借用指数化投资理论作为分析基础，讨论了完全复制型ETF的指数化特征，着重分析了完全复制型ETF的供给和需求，特别是完全复制型ETF投资者的投资策略和完全复制型ETF基金管理者的管理运作，在此基础上结合国内外相关研究文献认为完全复制型ETF业绩评价可以从两方面进行，一是收益率指标评价，二是运作效率指标评价。在分析中国ETF市场发展现状尤其是中国ETF市场投资特征的基础上选择运用上述完全复制型ETF业绩评价方法对我国上证50ETF业绩评价中发现，基金管理人业绩表现良好，而上证50ETF基金产品本身表现不佳，近一年以来其规模一直在缩减，究其原因，主要是我国证券市场结构不完善引起的市场需求不足。最后提出几点建议以促进我国完全复制型ETF市场发展。更多还原

【Abstract】 Since the first ETF was listed in Canada in1983, exchange-traded funds have a great development by now. By the end of 2006, there are 732 ETFs all together in the world. If ETFs are ranked by size and liquidity,the full replicated ETF have taken two seats in the top3. when the component number of index is small,ETFs always take full replication .Although there are 4 full replicated ETFs in 5 ETFs which have been listed on China exchange,ETF is helpful for completing the capital market structure and provides a good invested channel. Objective evaluation on the performance of the full replicated ETF can provide the reference to make the investment choose .It also important for the performance evaluation of the ETF manager and is helpful for the supervisor to lead the ETF healthily development. So the performance evaluation of the full replicated ETF is great significant.Based the definition and classification of ETF and theories of exponential investment, this paper discusses the exponential characteristics. After analysis of full replicated ETFs’ supply and demand especially the the investors’ investment strategy and the management operation of the ETF manager, considering inside and outside related research literatures,this paper evaluate the performance of the full replicated ETF in two aspects: return rate of net value and operating efficiency.Further, based the development of China ETF market,specially, investment characteristics of China ETF market, this paper found the performance of fund manager are good,but the performance of shanghai stock 50ETF itself are not better,during using the two methods to evaluat the shanghai stock 50ETF. We found its size is decreasing since 2006, and dued to the lessness of demand in our country security market. Finally, this paper gives some advice to promote the development of China ETF market.更多还原