Background: Ever since Sharpe, Treynor and Jensen advanced the methods of fund performance evaluation in the 60’s it has been a popular field of study in academia. As the intricacies of fund performance was untangled it became clear that paying for active management doesn’t yield higher cost adjusted returns. An Index investment strategy is the most sensible approach and it’s the associated cost which separate index vehicles. Exchange traded funds have risen as a competitor to the conventional index mutual fund but the research evaluating these is very scarce. The research conducted comparing the costs of the two vehicles do not take into account implicit transaction costs that in turn depend on specific market microstructure designs and could affect the cost relationship. The problem: Do liquidity and market structural disparities between markets affect the cost relationship between exchange traded funds and index mutual funds, through the implicit transaction cost? Objective of the research: The objective of this paper is to examine whether structural differences between markets affect implicit transaction costs to the extent that the cost relationship between index funds and exchange traded funds differ from earlier findings. Method: The need to generalize the findings prompted a quantitative approach to the research. Comparative examination will be done on the microstructure and liquidity of two different markets. The transaction costs will then be measured with statistical means and incorporated in a cost comparison model. Result and conclusion: There are architectural and liquidity differences between the two sample markets allowing for systematic differences in transaction cost, which were found but were not a significant contributor to the tracking error cost of the index mutual funds. The Swedish ETF do not get more profitable as the investment sum increases. A finding which contradicts earlier findings and is likely a consequence of the Swedish tax-laws for capital gains as well as the higher levels of management fees for ETFs. ETFs might still be a worthwhile investment since they possess unique qualitative benefits.

[pt] O objetivo deste trabalho é analisar a eficiência na precificação de três dos Exchange-Traded Funds brasileiros mais líquidos (BOVA11, SMAL11 e PIBB11), buscando determinar se eles seguem com bastante proximidade os índices que procuram replicar, comparando com o que é observado na literatura internacional no que diz respeito ao desempenho de ETFs estrangeiros. Inicialmente verificou-se a estratégia de replicação adotada, bem como a qualidade dessa replicação a partir da avaliação do tracking error observado nesses fundos. Em seguida buscou-se avaliar se há algum desvio na precificação entre o preço de negociação e o valor patrimonial líquido (NAV) do respectivo ETF, ou seja, se o ativo está sendo negociado, na média, com prêmio ou desconto. Por fim, foi analisada a persistência dos prêmios ou descontos encontrados, isto é, quanto tempo leva até o preço de mercado e o NAV voltarem ao equilíbrio. Os resultados encontrados mostram que os fundos BOVA11 e PIBB11 adotam uma estratégia de full replication, enquanto o SMAL11 apresenta uma estratégia de otimização. O tracking error encontrado está em linha com aqueles observados em ETFs europeus e os três fundos estudados são negociados, na média, com desconto. Finalmente, tanto BOVA11 e PIBB11 levam sete dias para voltarem ao equilíbrio, bastante acima da média observada na literatura internacional, enquanto o SMAL11 leva apenas dois dias para isso, o que é inesperado já que é o fundo menos líquido dentre os analisados. Os resultados indicam que as ferramentas de arbitragem não estão sendo utilizadas de maneira eficiente. / [en] The objective of this study is to analyze the pricing efficiency of three of the most liquid brazilian Exchange-Traded Funds (BOVA11, SMAL11 and PIBB11) and determine if they follow closely the indexes they try to replicate, comparing with the international literature regarding the foreign ETFs performance. Firstly, this study verifies which strategy is adopted by each fund, as well as the quality of this replication by evaluating the tracking error observed in these funds. Then it is analyzed if there is any deviation between the trading price and the net asset value (NAV) of the respective ETF, that is, if the security is being traded, on average, with a premium or discount. Finally, it is evaluated the persistence of those premiums and discounts found, that is, how much time it takes until the trading price and the NAV go back to equilibrium. The results showed that both BOVA11 and PIBB11 adopt a full replication strategy, while SMAL11 presents an optimization strategy. The tracking error found is in line with those observed in European ETFs and the three funds are traded, on average, with a discount. Finally, both BOVA11 and PIBB11 take seven days to go back to equilibrium, while SMAL11 only takes two days, an unexpected result as this is the least liquid fund of the three that are part of this study. Therefore, the arbitrage tools are not being used efficiently.

Tracking ability of leveraged and inverse exchange traded funds can be very important to investors looking for a dependable return. If the investor wants to put their money on a certain index they feel strongly about, they expect their investment vehicle to track that return appropriately. Over the years, we have seen tremendous growth in the exchange traded fund industry. In 2006, leveraged and inverse funds were introduced to the market, allowing investors to take leveraged and directional trades on indices. These investment vehicles can be traded as easily as any stock, and therefore need some attention. Since any novice investor can access and trade these funds, they need to be aware of the risks they are taking. In this study, I test whether the ProShares S&P tracking leveraged and inverse exchange traded funds track their appropriate index multiple as promised. I did this by running regressions on each fund against the appropriate multiple of their underlying indices. I did this for funds of different market capitalization, for different holding periods, and with different amounts of leverage, to compare how these funds track in different conditions. I found that the large cap funds tend to track the best, with the small cap funds tracking the worst. I also find that tracking error tends to increase with longer holding periods. I find that the distribution of excess returns becomes less normal over longer holding periods, and begins to flatten out and widen. There does not seem to be a concrete conclusion as to whether or not the amount of leverage affects the tracking ability of the funds. I end up with mixed results when comparing amounts of leverage by model fit and by tracking error. Direction also does not seem to play any role in the tracking ability of these funds.

In the context of the Sustainable Development Goals and the Paris Agreement, the European Union has devised a sustainable finance strategy that relies on the engagement of both institutional and private investors in responsible investing to deliver on those goals. Several studies have found high interest in responsible investing among retail investors, but a relatively low engagement therein. Research up to this point on the responsible investing experience of retails investors has not established a clear cause for the gap between interest and engagement and has particularly neglected the increasingly popular investment type of exchange-traded funds (ETFs). This thesis therefore aims to shed light on the obstacles that prevent retail investors from investing in responsible ETFs. The research is organized by a five-stage framework for the responsible ETF investing process that identifies potential obstacles in the first three process stages problem recognition, information search, and evaluation of alternatives. An empirical analysis was performed by means of an online survey of European retail ETF investors and non-ETF investors (n = 101). The results indicate that the majority of retail investors experience a gap between their interest and engagement in responsible ETF investing. The most difficult stage of the responsible ETF investing process appears to be the evaluation of alternatives. Incomparability of information on responsible ETFs and a lack of labels and standardization present obstacles that impair investors’ ability to evaluate different options for responsible ETFs. The incomparability of information can be ascribed to the divergence of environmental, social and governance (ESG) ratings. The survey further found a high support among ETF investors for the planned standardizations and regulations by the EU and increased willingness to invest in responsible ETFs if these measures are implemented. These findings emphasize the role of regulations in facilitating responsible investing and pave the way for more comprehensive studies on the information needs and obstacles of European retail ETF investors. / Inom ramen för målen för hållbar utveckling och Parisavtalet har Europeiska unionen utformat en hållbar finansstrategi som bygger på att både institutionella och privata investerare engagerar sig i ansvarsfulla investeringar för att uppnå dessa mål. Flera studier har visat stort intresse för att göra ansvarsfulla investeringar bland privatinvesterare, men ett relativt lågt engagemang däri. Forskning som är aktuell om privatinvesterare erfarenheter har inte visat någon tydlig orsak till klyftan mellan intresse och engagemang och har särskilt försummat den alltmer populära investeringstypen av börshandlade fonder (ETF). Avhandlingen syftar därför till att belysa de hinder som hindrar privatinvesterare från att investera i ansvarsfulla ETF:er. Forskningen är organiserad av ett femstegsramverk för den ansvarsfulla ETF-investeringsprocessen som identifierar potentiella hinder i de tre första processtegen för problemigenkänning, informationssökning och utvärdering av alternativ. En empirisk analys utfördes med hjälp av en online-undersökning av europeiska ETF-investerare och icke-ETFinvesterare (n = 101). Resultaten visar att majoriteten av privatinvesterare upplever ett gap mellan deras intresse och engagemang för ansvarsfull ETF-investering. Det svåraste steget i den ansvariga ETF-investeringsprocessen verkar vara utvärderingen av alternativ. Ojämförbarheten mellan information om ansvarsfulla ETF:er och brist på klassificering och standardisering utgör betydande hinder som försämrar investerarnas förmåga att utvärdera olika alternativ för ansvariga ETF:er. Informationens ojämförbarhet kan tillskrivas skillnaderna mellan miljömässiga, sociala och styresmässiga (ESG) betyg. Undersökningen fann vidare ett stort stöd bland ETF-investerare för EU:s planerade standardiseringar och regler och ökad vilja att investera i ansvarsfulla ETF om dessa åtgärder genomförs. Dessa resultat  betonar regelverkets roll för att underlätta ansvarsfulla investeringar och banar väg för mer omfattande studier om informationsbehov och hinder för europeiska ETF-privatinvesterare.

本文係針對臺灣50指數期貨與基金於2003年6月30日上市之後，臺灣期貨及現貨市場報酬率間領先落後關係與波動性的變化來進行探討。研究分為兩部份，第一部份是觀察臺灣50指數期貨與現貨之間的關聯性，並探討臺灣加權股價指數、金融保險類股股價指數及電子類股股價指數期貨與現貨市場間的變化；第二部份是採用可模擬現貨走勢的臺灣50指數基金、國泰金及臺積電的股價來做為現貨的替代變數，觀察其與期貨之間的關連性是否與第一部份的結果類似，若是實證結果極為相同，則相關機構與一般投資人將可運用各期貨與其標的指數中市值最大的股票來進行套利操作。此外，本文在進行模型估計時，首度採用一階段估計法，來聯合估計雙變量GARCH模型中的條件平均數方程式與條件變異數方程式，以避免過去相關文獻將兩條方程式個別估計時所造成的估計誤差。 實證結果所獲得的重要結論如下：首先，臺灣期貨市場的發展仍未趨成熟，並不具有價格發現的功能，在考慮風險溢酬方面，僅有臺灣50指數期貨與現貨的投資人會在報酬率之外，額外要求用以補償的風險溢酬，再者，臺灣50指數期貨與基金的上市，並沒有對臺灣現有的期貨與現貨市場造成顯著的影響，然而，替代變數並不能完全取代現貨指數，但相較之下，國泰金在臺灣50指數期貨與基金上市之後的那段期間模擬成效最好。 / This paper investigates the change of lead-lag relationship in returns and volatilities in Taiwan futures and spot markets after the introduction of Taiwan 50 Futures and Taiwan Top50 Tracker Fund (TTT) on June 30, 2003. The study divides into two parts. The first part examines the relationship between Taiwan 50 Futures and spot markets, and also discusses the change of Taiwan Stock Exchange Capitalization Weighted Stock Index, Taiwan Stock Exchange Banking and Insurance Sector Index, and Taiwan Stock Exchange Electronic Sector Index in futures and spot markets. Another part uses the stock price of TTT, Cathay Financial Holding Company and Taiwan Semiconductor Manufacturing Company as the substitutive variables of spot index and goes a step further to examine the relationships between them and futures individually. Additionally, this research used One-Pass Method for first time to estimate jointly the conditional mean equation and conditional variance equation of Bivariate GARCH Model to avoid estimating error in previous relative studies with Two-Pass Method. The major empirical results are as follows: first, the development of Taiwan futures market is incomplete. The futures market does not play the price discovery role to the spot market. Second, under the consideration of risk premium, only investors in Taiwan 50 Futures and spot markets would ask for compensated risk premium excepting returns. Third, the opening of Taiwan 50 Futures and TTT does not influence significantly Taiwan futures and spot markets. Last but not least, these substitutive variables can not replace spot index perfectly. However, comparing with others, the stock price of Cathay Financial Holding Company is the very model of Taiwan Stock Exchange Banking and Insurance Sector Index after the introduction of Taiwan 50 Futures and TTT.