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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: | 2025-07-01 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. |
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| 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 |
| 顯示於類別: | [財務管理學系] 學位論文
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