學術產出-學位論文
| 題名 | 從美國主動型ETF探討臺灣主動型ETF發展 Study of the Future of Active ETFs in Taiwan through Development of Active ETFs in the USA |
| 作者 | 劉沛岑 Liu, Pei-Tsen |
| 貢獻者 | 林靖庭 Lin, Ching-Ting 劉沛岑 Liu, Pei-Tsen |
| 關鍵詞 | 主動型ETF 透明度 案例研究 共同基金 投信公司 Active ETF Transparency Case study Mutual Fund Asset management |
| 日期 | 2024 |
| 上傳時間 | 3-三月-2025 13:49:50 (UTC+8) |
| 摘要 | 主動型ETF為近年來市場上十分熱絡的新金融商品，美國法規允許ETF可以不需每日揭露持股明細，也就是非透明主動型ETF。臺灣金管會與投信投顧公會於2023年開始討論開放主動型ETF，因此本文欲從美國主動型ETF市場概況，以及共同基金轉變為ETF上市，包括Dimensional Fund Advisors公司及J.P. Morgan Asset Management之案例，以了解主動型ETF於美國的發展，並分析以臺灣目前的市場環境，包括ETF熱潮、共同基金現況等，探討臺灣在發行主動型ETF可採取之作法。
本文發現，美國有許多共同基金申請轉變為主動型ETF，並多採用透明架構，儘管美國開放不需每日揭露持股明細的非透明主動型ETF，但近幾年資產管理公司仍以發行透明型為主，且本文進行美國透明與非透明主動型ETF之績效研究，研究顯示非透明主動型ETF之績效在2022年至2023年並未顯著優於透明主動型ETF。
本文建議，臺灣主動型ETF應採取透明架構，使投資人可更加了解商品資訊。而在臺灣ETF過於熱絡之市場下，在開放投信業者將既有的共同基金轉換為主動型ETF上市時，應針對特定類型基金加以限制，以免ETF與共同基金市場更加失衡。 Active managed ETFs have become a highly popular new financial product in recent years. In the U.S., regulations allow ETFs to operate without daily disclosure of their holdings, known as active non-transparent ETFs (ANTs). Since 2023, Taiwan's Financial Supervisory Commission (FSC) and the Securities Investment Trust & Consulting Association (SITCA) have been discussing the introduction of active ETFs. This paper aims to explore the market of active ETFs in the U.S., including cases of mutual funds converting to ETFs, to understand the development of actively managed ETFs in the U.S. Furthermore, the paper analyzes Taiwan's current market environment, including the ETF boom and the state of mutual funds, to explore possible approaches for issuing actively managed ETFs in Taiwan. This paper finds that many mutual funds in the U.S. have applied to convert to actively managed ETFs, mostly adopting a transparent structure. Although the U.S. has allowed non-transparent actively managed ETFs that do not require daily disclosure of holdings, asset management companies have predominantly issued transparent ETFs in recent years. The paper conducts a performance study of transparent versus non-transparent ETF in the United States, showing that ANTs did not significantly outperform transparent active ETFs from 2022 to 2023. The paper suggests that Taiwan's actively managed ETFs should adopt a transparent structure to provide investors with more comprehensive product information. Given the overly active ETF market in Taiwan, when allowing investment trust companies to convert existing mutual funds to actively managed ETFs, specific types of funds should be restricted to prevent further imbalance between the ETF and mutual fund markets. |
| 參考文獻 | 吳遵新 (2011)。淺析積極管理型ETF發展的動因。中國學術期刊，2011年第4期，頁72-73。 童蕙鈴 (2019)。ETF 是否增加股票波動度? 以臺灣股市為例。國立臺北大學，碩士論文。 楊喬惠 (2020)。指數調整成分股對ETF投資人之影響-以元大臺灣50為例。國立交通大學，碩士論文。 高瑜君 (2023年8月1日)。ETF 20周年／ETF是「天時、地利、人和」的產物大事紀一次看。經濟日報。檢自https://money.udn.com/money/story/123587/7277423 (May 16, 2024) 陳于晴 (2024年5月2日)。金管會「鼓勵投信躍進計畫」修正排除ETF 為主動式基金添誘因。鉅亨網。檢自https://news.cnyes.com/news/id/5544466 (May 16, 2024) 楊筱筠、廖珮君 (2024年1月31日)。金管會：主動式ETF最快6月問世。經濟日報。檢自https://money.udn.com/money/story/5613/7744311 (May 6, 2024) Agarwal, V., Mullally, K. A., Tang, Y., & Yang, B. (2015). Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. The Journal of Finance, 70(6), 2733-2776. DOI: 10.1111/jofi.12245 Beck, K. L., Chong, J., & Phillips, G. M. (2017). Risk-adjusted performance of the largest active ETFs. The Journal of Wealth Management, 20(3), 52-63. DOI:10.3905/jwm.2017.20.3.052 Ben‐David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility?. The Journal of Finance, 73(6), 2471-2535. DOI: 10.1111/jofi.12727 Dolvin, S. D. (2014). An update on the performance of actively managed ETFs. Journal of Index Investing, 4(4), 10-18. DOI: 10.3905/jii.2014.4.4.010 Li, X. (2022). Performance of Actively Managed Exchange Traded Funds (Doctoral dissertation, Washington University in St. Louis). Mackintosh, P. (2017). It's All about Active ETFs. The Journal of Index Investing, 7(4), 6-15. DOI: 10.3905/jii.2017.7.4.006 Parida, S., & Teo, T. (2018). The impact of more frequent portfolio disclosure on mutual fund performance. Journal of Banking & Finance, 87, 427-445. DOI: 10.1016/j.jbankfin.2015.01.018 Rompotis, G. G. (2009). Active vs. Passive management: New evidence from exchange traded funds. Passive Management: New Evidence from Exchange Traded Funds (February 4, 2009). Rompotis, G. G. (2011). The performance of actively managed exchange-traded funds. The Journal of Index Investing, 1(4), 53-65. DOI: 10.3905/jii.2011.1.4.053 Rompotis, G. G. (2015). A Performance Evaluation of the Canadian Actively Managed ETFs. The Journal of Index Investing, 6(2), 57-75. DOI: 10.3905/jii.2015.6.2.057 Sherrill, D. E., & Upton, K. (2018). Actively managed ETFs vs actively managed mutual funds. Managerial Finance, 44(3), 303-325. DOI: 10.1108/MF-03-2017-0067 Allen, S. (2024). ETF trends for ASX investors to watch in 2024. Retrieved from https://www.marketindex.com.au/news/inside-the-recent-etf-listings-on-the-asx (May 3, 2024). Almazora, L. (2019). What non-transparent ETFs could mean for Canada. Retrieved from https://www.wealthprofessional.ca/investments/etfs/what-non-transparent-etfs-could-mean-for-canada/321693 (May 3, 2024). Boyde, E. (2020). What are active non-transparent ETFs? Retrieved from https://www.ft.com/content/e919ac5e-3b4b-4015-b93b-48961d78a487 (May 3, 2024). Carrel, L. (n.d.). ETFs vs. mutual funds: Cost comparison. Retrieved from https://www.fidelity.com/learning-center/investment-products/etf/etfs-cost-comparison (May 5, 2024). Dimensional Adds Three New US Equity ETFs to Growing Offering. (2022). Retrieved from https://www.dimensional.com/us-en/newsroom/dimensional-adds-three-new-us-equity-etfs-to-growing-offering (May 3, 2024). Dore, K. (2023). Many mutual funds are converting to exchange-traded funds. Here’s what investors need to know. Retrieved from https://www.cnbc.com/2023/12/15/many-mutual-funds-are-converting-to-etfs-heres-what-you-need-to-know.html (May 6, 2024). Katie Greifeld. (2022). Dimensional, JPMorgan Flip Billions From Mutual Funds Into ETFs. Retrieved from https://www.bloomberg.com/news/articles/2022-05-09/dimensional-jpmorgan-flip-billions-from-mutual-funds-into-etfs (May 7, 2024) Kirk, E. (2021). Activate your portfolio with Active ETFs. Retrieved from https://www.asx.com.au/blog/investor-update/2021/activate-your-portfolio-with-active-etfs (May 3, 2024). Kramer, Nichole. (2021). A-tisket, A-tasket, a Custom ETF Basket—Passive, Active & Semi-Transparent. Retrieved from https://www.ssctech.com/blog/a-tisket-a-tasket-a-custom-etf-basketpassive-active-semi-transparent (Mar. 27, 2024) |
| 描述 | 碩士 國立政治大學 金融學系 111352003 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0111352003 |
| 資料類型 | thesis |
| dc.contributor.advisor | 林靖庭 | zh_TW |
| dc.contributor.advisor | Lin, Ching-Ting | en_US |
| dc.contributor.author (作者) | 劉沛岑 | zh_TW |
| dc.contributor.author (作者) | Liu, Pei-Tsen | en_US |
| dc.creator (作者) | 劉沛岑 | zh_TW |
| dc.creator (作者) | Liu, Pei-Tsen | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 3-三月-2025 13:49:50 (UTC+8) | - |
| dc.date.available | 3-三月-2025 13:49:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-三月-2025 13:49:50 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111352003 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/155929 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 111352003 | zh_TW |
| dc.description.abstract (摘要) | 主動型ETF為近年來市場上十分熱絡的新金融商品，美國法規允許ETF可以不需每日揭露持股明細，也就是非透明主動型ETF。臺灣金管會與投信投顧公會於2023年開始討論開放主動型ETF，因此本文欲從美國主動型ETF市場概況，以及共同基金轉變為ETF上市，包括Dimensional Fund Advisors公司及J.P. Morgan Asset Management之案例，以了解主動型ETF於美國的發展，並分析以臺灣目前的市場環境，包括ETF熱潮、共同基金現況等，探討臺灣在發行主動型ETF可採取之作法。 本文發現，美國有許多共同基金申請轉變為主動型ETF，並多採用透明架構，儘管美國開放不需每日揭露持股明細的非透明主動型ETF，但近幾年資產管理公司仍以發行透明型為主，且本文進行美國透明與非透明主動型ETF之績效研究，研究顯示非透明主動型ETF之績效在2022年至2023年並未顯著優於透明主動型ETF。 本文建議，臺灣主動型ETF應採取透明架構，使投資人可更加了解商品資訊。而在臺灣ETF過於熱絡之市場下，在開放投信業者將既有的共同基金轉換為主動型ETF上市時，應針對特定類型基金加以限制，以免ETF與共同基金市場更加失衡。 | zh_TW |
| dc.description.abstract (摘要) | Active managed ETFs have become a highly popular new financial product in recent years. In the U.S., regulations allow ETFs to operate without daily disclosure of their holdings, known as active non-transparent ETFs (ANTs). Since 2023, Taiwan's Financial Supervisory Commission (FSC) and the Securities Investment Trust & Consulting Association (SITCA) have been discussing the introduction of active ETFs. This paper aims to explore the market of active ETFs in the U.S., including cases of mutual funds converting to ETFs, to understand the development of actively managed ETFs in the U.S. Furthermore, the paper analyzes Taiwan's current market environment, including the ETF boom and the state of mutual funds, to explore possible approaches for issuing actively managed ETFs in Taiwan. This paper finds that many mutual funds in the U.S. have applied to convert to actively managed ETFs, mostly adopting a transparent structure. Although the U.S. has allowed non-transparent actively managed ETFs that do not require daily disclosure of holdings, asset management companies have predominantly issued transparent ETFs in recent years. The paper conducts a performance study of transparent versus non-transparent ETF in the United States, showing that ANTs did not significantly outperform transparent active ETFs from 2022 to 2023. The paper suggests that Taiwan's actively managed ETFs should adopt a transparent structure to provide investors with more comprehensive product information. Given the overly active ETF market in Taiwan, when allowing investment trust companies to convert existing mutual funds to actively managed ETFs, specific types of funds should be restricted to prevent further imbalance between the ETF and mutual fund markets. | en_US |
| dc.description.tableofcontents | 摘要 1 Abstract 2 目錄 3 表目錄 4 圖目錄 5 第一章 緒論 6 第二章 主動型ETF介紹 8 第一節 主動型ETF概要 8 第二節 主動型ETF類型—透明及不透明架構 9 第三章 美國主動型ETF相關法規及市場概況 11 第一節 美國主動型ETF市場概況 11 第二節 美國非透明主動型ETF市場概況 14 第四章 美國主動型ETF績效實證研究 18 第一節 資料描述 18 第二節 統計方法 19 第三節 實證結果 20 第五章 共同基金轉變為主動型ETF市場案例研究 22 第六章 臺灣基金市場現況與發展 29 第一節 臺灣基金市場現況 29 第二節 臺灣主動型ETF發展與展望 34 第七章 結論與建議 36 第八章 參考資料 37 | zh_TW |
| dc.format.extent | 1381461 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111352003 | en_US |
| dc.subject (關鍵詞) | 主動型ETF | zh_TW |
| dc.subject (關鍵詞) | 透明度 | zh_TW |
| dc.subject (關鍵詞) | 案例研究 | zh_TW |
| dc.subject (關鍵詞) | 共同基金 | zh_TW |
| dc.subject (關鍵詞) | 投信公司 | zh_TW |
| dc.subject (關鍵詞) | Active ETF | en_US |
| dc.subject (關鍵詞) | Transparency | en_US |
| dc.subject (關鍵詞) | Case study | en_US |
| dc.subject (關鍵詞) | Mutual Fund | en_US |
| dc.subject (關鍵詞) | Asset management | en_US |
| dc.title (題名) | 從美國主動型ETF探討臺灣主動型ETF發展 | zh_TW |
| dc.title (題名) | Study of the Future of Active ETFs in Taiwan through Development of Active ETFs in the USA | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 吳遵新 (2011)。淺析積極管理型ETF發展的動因。中國學術期刊，2011年第4期，頁72-73。 童蕙鈴 (2019)。ETF 是否增加股票波動度? 以臺灣股市為例。國立臺北大學，碩士論文。 楊喬惠 (2020)。指數調整成分股對ETF投資人之影響-以元大臺灣50為例。國立交通大學，碩士論文。 高瑜君 (2023年8月1日)。ETF 20周年／ETF是「天時、地利、人和」的產物大事紀一次看。經濟日報。檢自https://money.udn.com/money/story/123587/7277423 (May 16, 2024) 陳于晴 (2024年5月2日)。金管會「鼓勵投信躍進計畫」修正排除ETF 為主動式基金添誘因。鉅亨網。檢自https://news.cnyes.com/news/id/5544466 (May 16, 2024) 楊筱筠、廖珮君 (2024年1月31日)。金管會：主動式ETF最快6月問世。經濟日報。檢自https://money.udn.com/money/story/5613/7744311 (May 6, 2024) Agarwal, V., Mullally, K. A., Tang, Y., & Yang, B. (2015). Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. The Journal of Finance, 70(6), 2733-2776. DOI: 10.1111/jofi.12245 Beck, K. L., Chong, J., & Phillips, G. M. (2017). Risk-adjusted performance of the largest active ETFs. The Journal of Wealth Management, 20(3), 52-63. DOI:10.3905/jwm.2017.20.3.052 Ben‐David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility?. The Journal of Finance, 73(6), 2471-2535. DOI: 10.1111/jofi.12727 Dolvin, S. D. (2014). An update on the performance of actively managed ETFs. Journal of Index Investing, 4(4), 10-18. DOI: 10.3905/jii.2014.4.4.010 Li, X. (2022). Performance of Actively Managed Exchange Traded Funds (Doctoral dissertation, Washington University in St. Louis). Mackintosh, P. (2017). It's All about Active ETFs. The Journal of Index Investing, 7(4), 6-15. DOI: 10.3905/jii.2017.7.4.006 Parida, S., & Teo, T. (2018). The impact of more frequent portfolio disclosure on mutual fund performance. Journal of Banking & Finance, 87, 427-445. DOI: 10.1016/j.jbankfin.2015.01.018 Rompotis, G. G. (2009). Active vs. Passive management: New evidence from exchange traded funds. Passive Management: New Evidence from Exchange Traded Funds (February 4, 2009). Rompotis, G. G. (2011). The performance of actively managed exchange-traded funds. The Journal of Index Investing, 1(4), 53-65. DOI: 10.3905/jii.2011.1.4.053 Rompotis, G. G. (2015). A Performance Evaluation of the Canadian Actively Managed ETFs. The Journal of Index Investing, 6(2), 57-75. DOI: 10.3905/jii.2015.6.2.057 Sherrill, D. E., & Upton, K. (2018). Actively managed ETFs vs actively managed mutual funds. Managerial Finance, 44(3), 303-325. DOI: 10.1108/MF-03-2017-0067 Allen, S. (2024). ETF trends for ASX investors to watch in 2024. Retrieved from https://www.marketindex.com.au/news/inside-the-recent-etf-listings-on-the-asx (May 3, 2024). Almazora, L. (2019). What non-transparent ETFs could mean for Canada. Retrieved from https://www.wealthprofessional.ca/investments/etfs/what-non-transparent-etfs-could-mean-for-canada/321693 (May 3, 2024). Boyde, E. (2020). What are active non-transparent ETFs? Retrieved from https://www.ft.com/content/e919ac5e-3b4b-4015-b93b-48961d78a487 (May 3, 2024). Carrel, L. (n.d.). ETFs vs. mutual funds: Cost comparison. Retrieved from https://www.fidelity.com/learning-center/investment-products/etf/etfs-cost-comparison (May 5, 2024). Dimensional Adds Three New US Equity ETFs to Growing Offering. (2022). Retrieved from https://www.dimensional.com/us-en/newsroom/dimensional-adds-three-new-us-equity-etfs-to-growing-offering (May 3, 2024). Dore, K. (2023). Many mutual funds are converting to exchange-traded funds. Here’s what investors need to know. Retrieved from https://www.cnbc.com/2023/12/15/many-mutual-funds-are-converting-to-etfs-heres-what-you-need-to-know.html (May 6, 2024). Katie Greifeld. (2022). Dimensional, JPMorgan Flip Billions From Mutual Funds Into ETFs. Retrieved from https://www.bloomberg.com/news/articles/2022-05-09/dimensional-jpmorgan-flip-billions-from-mutual-funds-into-etfs (May 7, 2024) Kirk, E. (2021). Activate your portfolio with Active ETFs. Retrieved from https://www.asx.com.au/blog/investor-update/2021/activate-your-portfolio-with-active-etfs (May 3, 2024). Kramer, Nichole. (2021). A-tisket, A-tasket, a Custom ETF Basket—Passive, Active & Semi-Transparent. Retrieved from https://www.ssctech.com/blog/a-tisket-a-tasket-a-custom-etf-basketpassive-active-semi-transparent (Mar. 27, 2024) | zh_TW |