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題名 主動式與被動式ETF報酬表現與追蹤誤差之分析
A Study of Returns and Tracking Errors of Active and Passive ETFs
作者 趙佑霖
Chao, Yu-Lin
貢獻者 陳鴻毅
Chen, Hong-Yi
趙佑霖
Chao, Yu-Lin
關鍵詞 主動式ETF
被動式ETF
報酬表現
追蹤誤差
Active ETF
Passive ETF
Return Performance
Tracking Error
日期 2025
上傳時間 1-Jul-2025 14:51:24 (UTC+8)
摘要 本研究針對美國的主動式、被動式股票型 ETF，分析其2017年至2025年的報酬表現與追蹤誤差。結果顯示，主動式 ETF 僅在少數情況優於被動式 ETF，例如不含避險結構的風格與規模類別。然而此優勢僅在CAPM模型出現，若是使用多因子模型分析，兩者的報酬差異即不再顯著。追蹤誤差方面，主動式ETF於2022年以前的偏離幅度較小，但是2022年後明顯上升，顯示其趨向彈性的投資策略。整體來看，主動式ETF的表現不僅受產品設計的影響，也與市場變化息息相關。而追蹤誤差上升，可能是經理人主動調整投資策略的結果，並非是複製指數失敗所致。本研究有助於釐清主動式ETF創造價值的條件，為投資決策與商品設計提供實務的參考。
This study examines the returns and tracking errors of active and passive equity ETFs in the U.S. from 2017 to 2025. The results show that while active ETFs outperform passive ETFs in specific cases, such as non-buffer Size and Style ETFs, this advantage emerges only under the CAPM model. However, once multi-factor models are applied, the return differences are no longer significant. In terms of tracking errors, active ETFs initially exhibit lower deviations before 2022. Yet, after 2022, their tracking errors rise notably, suggesting a shift toward more discretionary strategy execution. Therefore, the performance of active ETFs is shaped by both structural characteristics and evolving market dynamics. The increasing tracking deviations, in turn, may signal intentional strategy shifts rather than replication failure. Overall, this study clarifies when and how active ETFs may create value, and offers relevant insights for investment strategy and product development.
參考文獻 Bae, K., & Kim, D. (2020). Liquidity risk and exchange-traded fund returns, variances, and tracking errors. Journal of Financial Economics, 138(1), 222–253. Ben-David, I., Franzoni, F. A., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73(6), 2471–2535. Ben-David, I., Franzoni, F., Kim, B., Moussawi, R., & Koijen, R. (2023). Competition for attention in the ETF space. The Review of Financial Studies, 36(3), 987–1042. Berk, J. B., & van Binsbergen, J. H. (2015). Measuring skill in the mutual fund industry. Journal of Financial Economics, 118(1), 1–20. Bhattacharya, U., Loos, B., Meyer, S., & Hackethal, A. (2017). Abusing ETFs. Review of Finance, 21(3), 1217–1250. Blitz, D., & Vidojevic, M. (2021). The performance of exchange-traded funds. The Journal of Alternative Investments, 23(3), 81–99. Box, T., Davis, R., Evans, R., & Lynch, A. (2021). Intraday arbitrage between ETFs and their underlying portfolios. Journal of Financial Economics, 141(3), 1078–1095. Broman, M. S. (2016). Liquidity, style investing and excess comovement of exchange-traded fund returns. Journal of Financial Markets, 30, 27–53. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329–3365. Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539–560. Cremers, M., & Pareek, A. (2016). Patient capital outperformance: The investment skill of high active share managers who trade infrequently. Journal of Financial Economics, 122(2), 288–306. DeVault, L., Turtle, H. J., & Wang, K. (2021). Blessing or curse? Institutional investment in leveraged ETFs. Journal of Banking & Finance, 129, 106169. Dorocáková, M. (2017). Comparison of ETF's performance related to the tracking error. Journal of International Studies, 10(4), 154–165. Easley, D., Michayluk, D., O’Hara, M., & Putnins, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433–1471. Elton, E. J., Gruber, M. J., Comer, G., & Li, K. (2002). Spiders: Where are the bugs? The Journal of Business, 75(3), 453–472. Elton, E. J., Gruber, M. J., & de Souza, A. (2019). Passive mutual funds and ETFs: Performance and comparison. Journal of Banking & Finance, 106, 265–275. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual fund returns. The Journal of Finance, 65(5), 1915–1947. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22 Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Huang, S., O’Hara, M., & Zhong, Z. (2021). Innovation and informed trading: Evidence from industry ETFs. The Review of Financial Studies, 34(3), 1280–1316. Israeli, D., Lee, C. M. C., & Sridharan, S. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22(3), 1048–1083. Kacperczyk, M., Sialm, C., & Zheng, L. (2008). Unobserved actions of mutual funds. The Review of Financial Studies, 21(6), 2379–2416. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37. Pastor, L., Stambaugh, R. F., & Taylor, L. A. (2017). Do funds make more when they trade more? The Journal of Finance, 72(4), 1483–1528. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73–93. Poterba, J. M., & Shoven, J. B. (2002). Exchange-traded funds: A new investment option for taxable investors. American Economic Review, 92(2), 422–427. Prondzinski, D., & Miller, M. (2018). Active versus passive investing: Evidence from the 2009–2017 market. Journal of Accounting and Finance, 18(8), 119–143. Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13–22. Rompotis, G. G. (2009). Active vs. passive management: New evidence from exchange traded funds. SSRN Working Paper. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. Sushko, V., & Turner, G. (2018). The implications of passive investing for securities markets. BIS Quarterly Review, March, 113–131.
描述 碩士
國立政治大學
財務管理學系
112357022
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357022
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 趙佑霖zh_TW
dc.contributor.author (Authors) Chao, Yu-Linen_US
dc.creator (作者) 趙佑霖zh_TW
dc.creator (作者) Chao, Yu-Linen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:51:24 (UTC+8)-
dc.date.available 1-Jul-2025 14:51:24 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:51:24 (UTC+8)-
dc.identifier (Other Identifiers) G0112357022en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157779-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357022zh_TW
dc.description.abstract (摘要) 本研究針對美國的主動式、被動式股票型 ETF，分析其2017年至2025年的報酬表現與追蹤誤差。結果顯示，主動式 ETF 僅在少數情況優於被動式 ETF，例如不含避險結構的風格與規模類別。然而此優勢僅在CAPM模型出現，若是使用多因子模型分析，兩者的報酬差異即不再顯著。追蹤誤差方面，主動式ETF於2022年以前的偏離幅度較小，但是2022年後明顯上升，顯示其趨向彈性的投資策略。整體來看，主動式ETF的表現不僅受產品設計的影響，也與市場變化息息相關。而追蹤誤差上升，可能是經理人主動調整投資策略的結果，並非是複製指數失敗所致。本研究有助於釐清主動式ETF創造價值的條件，為投資決策與商品設計提供實務的參考。zh_TW
dc.description.abstract (摘要) This study examines the returns and tracking errors of active and passive equity ETFs in the U.S. from 2017 to 2025. The results show that while active ETFs outperform passive ETFs in specific cases, such as non-buffer Size and Style ETFs, this advantage emerges only under the CAPM model. However, once multi-factor models are applied, the return differences are no longer significant. In terms of tracking errors, active ETFs initially exhibit lower deviations before 2022. Yet, after 2022, their tracking errors rise notably, suggesting a shift toward more discretionary strategy execution. Therefore, the performance of active ETFs is shaped by both structural characteristics and evolving market dynamics. The increasing tracking deviations, in turn, may signal intentional strategy shifts rather than replication failure. Overall, this study clarifies when and how active ETFs may create value, and offers relevant insights for investment strategy and product development.en_US
dc.description.tableofcontents Abstract 03 1. Introduction 07 2. Literature Review 10 2.1 Active and Passive Investment 10 2.2 ETF Performance and Market Impact 11 2.3 Tracking Errors of ETFs 12 3. Research Questions 13 3.1 Return Comparison 13 3.2 Tracking Error Analysis 14 4. Research Design 14 4.1 Data and Sample Selection 14 4.2 Variable Definition 16 4.3 Summary Statistics 17 4.4 Regression Models for Return 19 4.5 Regression Models for Tracking Error 20 5. Empirical Results 23 5.1 Return: Summary Statistics 23 5.2 Return: Asset Pricing Model 25 5.3 Tracking Error: Summary Statistics 27 5.4 Tracking Error: Panel Regression 29 6 Conclusion 33 References 35zh_TW
dc.format.extent 4082246 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357022en_US
dc.subject (關鍵詞) 主動式ETFzh_TW
dc.subject (關鍵詞) 被動式ETFzh_TW
dc.subject (關鍵詞) 報酬表現zh_TW
dc.subject (關鍵詞) 追蹤誤差zh_TW
dc.subject (關鍵詞) Active ETFen_US
dc.subject (關鍵詞) Passive ETFen_US
dc.subject (關鍵詞) Return Performanceen_US
dc.subject (關鍵詞) Tracking Erroren_US
dc.title (題名) 主動式與被動式ETF報酬表現與追蹤誤差之分析zh_TW
dc.title (題名) A Study of Returns and Tracking Errors of Active and Passive ETFsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bae, K., & Kim, D. (2020). Liquidity risk and exchange-traded fund returns, variances, and tracking errors. Journal of Financial Economics, 138(1), 222–253. Ben-David, I., Franzoni, F. A., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73(6), 2471–2535. Ben-David, I., Franzoni, F., Kim, B., Moussawi, R., & Koijen, R. (2023). Competition for attention in the ETF space. The Review of Financial Studies, 36(3), 987–1042. Berk, J. B., & van Binsbergen, J. H. (2015). Measuring skill in the mutual fund industry. Journal of Financial Economics, 118(1), 1–20. Bhattacharya, U., Loos, B., Meyer, S., & Hackethal, A. (2017). Abusing ETFs. Review of Finance, 21(3), 1217–1250. Blitz, D., & Vidojevic, M. (2021). The performance of exchange-traded funds. The Journal of Alternative Investments, 23(3), 81–99. Box, T., Davis, R., Evans, R., & Lynch, A. (2021). Intraday arbitrage between ETFs and their underlying portfolios. Journal of Financial Economics, 141(3), 1078–1095. Broman, M. S. (2016). Liquidity, style investing and excess comovement of exchange-traded fund returns. Journal of Financial Markets, 30, 27–53. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329–3365. Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539–560. Cremers, M., & Pareek, A. (2016). Patient capital outperformance: The investment skill of high active share managers who trade infrequently. Journal of Financial Economics, 122(2), 288–306. DeVault, L., Turtle, H. J., & Wang, K. (2021). Blessing or curse? Institutional investment in leveraged ETFs. Journal of Banking & Finance, 129, 106169. Dorocáková, M. (2017). Comparison of ETF's performance related to the tracking error. Journal of International Studies, 10(4), 154–165. Easley, D., Michayluk, D., O’Hara, M., & Putnins, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433–1471. Elton, E. J., Gruber, M. J., Comer, G., & Li, K. (2002). Spiders: Where are the bugs? The Journal of Business, 75(3), 453–472. Elton, E. J., Gruber, M. J., & de Souza, A. (2019). Passive mutual funds and ETFs: Performance and comparison. Journal of Banking & Finance, 106, 265–275. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual fund returns. The Journal of Finance, 65(5), 1915–1947. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22 Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Huang, S., O’Hara, M., & Zhong, Z. (2021). Innovation and informed trading: Evidence from industry ETFs. The Review of Financial Studies, 34(3), 1280–1316. Israeli, D., Lee, C. M. C., & Sridharan, S. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22(3), 1048–1083. Kacperczyk, M., Sialm, C., & Zheng, L. (2008). Unobserved actions of mutual funds. The Review of Financial Studies, 21(6), 2379–2416. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37. Pastor, L., Stambaugh, R. F., & Taylor, L. A. (2017). Do funds make more when they trade more? The Journal of Finance, 72(4), 1483–1528. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73–93. Poterba, J. M., & Shoven, J. B. (2002). Exchange-traded funds: A new investment option for taxable investors. American Economic Review, 92(2), 422–427. Prondzinski, D., & Miller, M. (2018). Active versus passive investing: Evidence from the 2009–2017 market. Journal of Accounting and Finance, 18(8), 119–143. Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13–22. Rompotis, G. G. (2009). Active vs. passive management: New evidence from exchange traded funds. SSRN Working Paper. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. Sushko, V., & Turner, G. (2018). The implications of passive investing for securities markets. BIS Quarterly Review, March, 113–131.zh_TW