In the recent years, there has been growing talk of investing in commodities in the financial markets. In the past, the commodity markets served for purposes of the producers and the end-users of commodities. With gradual innovation of the financial markets in the 19th and 20th century the modern commodity markets evolved and became more standardized. This process was accompanied by the increasing interest of financial speculators. In contrast with the commercial participants, the goal of these new investors in the commodity markets is not to hedge against adverse changes in commodity prices but to profit on the price movements of commodities. The inflow of this group was intensified by the development of new financial instruments enabling these investors to enter the commodity markets. It is undisputable that speculators have positive effect on the markets, by providing liquidity and lowering transaction costs. What remains to be answered is the real effect which the speculators have on the commodity prices, and if their action does not create distortion in the commodity prices. The price development on the commodity markets during the recent financial crisis gives strong arguments in the hands of those accusing the speculators of the negative impact on the commodity prices, which sometimes lead to creation of price bubbles. The goal of this thesis will be the analysis of the effect of speculators on the commodity markets, and if this prejudice is justified.

JANKOVÁ, Z. A Performance Comparison of mutual funds and ETF. Mendel University in Brno, 2017. Diploma thesis. The diploma thesis is focused on performance comparison of open-end mutual funds and ETF. Selected funds are separated by region USA, World, European and Emerging markets equities. Funds are analyzed in the practical part for the period between 2007 and 2016. The first part introduced defines notion of collective investment, advantages and disadvantages. Funds are analyzed in the terms of return, risk, cost and including foreing exchange risk.

No description available.

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.

Diese Dissertation besteht aus fünf empirischen Studien. Zwei Studien befassen sich mit passiv gemanagten Finanzprodukten. Sie untersuchen den Replikationsprozess von Exchange Traded Funds (ETFs) und vergleichen hierbei die Replikationsgüte von synthetischen und physischen ETFs. Oftmals wird darauf verwiesen, dass synthetische ETFs eine höhere Replikationsgüte besitzen als physische ETFs. Dies lässt sich für Renten-ETFs bestätigen, allerdings nicht für Aktien-ETFs. Zudem wird gezeigt, dass ETFs und Indexzertifikate, die sich im direkten Wettbewerb befinden, im Hinblick auf ihre Geldmittelflüsse komplementär, allerdings nicht perfekt komplementär zueinander sind. Dieser Effekt lässt sich mithilfe der Replikationsgüte und einer Zuordnung beider Indexprodukte in verschiedene Marktnischen erklären. Weitere drei Studien befassen sich mit aktiv gemanagten Finanzprodukten. Sie widmen sich der Frage, ob mithilfe von Fondsbewertungen wie dem Feri Trust Rating, der Finanztest-Bewertung und der FondsNote die zukünftige Performance deutscher Aktienfonds prognostiziert werden kann. Hintergrund ist, dass Investoren Fondsbewertungen in ihre Anlageentscheidung einbeziehen. Sie investieren vor allem in Fonds, die eine Top-Bewertung aufweisen. Die Prognosefähigkeit von Fondsbewertungen kann sich allerdings stark voneinander unterscheiden. Die Ergebnisse zeigen, dass mithilfe der FondsNote am besten zwischen sich zukünftig besser und schlechter entwickelnden Fonds differenziert werden kann. Die Prognosefähigkeit lässt sich durch Kombination der drei Fondsbewertungen sogar erhöhen. Dies hängt allerdings von der Kombination und dem verwendeten Performancemaß/-zeitraum ab. Zudem werden Faktoren untersucht, die einen Einfluss auf die Prognosefähigkeit haben können. Es wird gezeigt, dass qualitative Bewertungsfaktoren nicht zu einer Erhöhung der Prognosefähigkeit beitragen. Stattdessen weisen die Fondskosten und das Verhalten der Investoren einen signifikanten Einfluss auf. / This thesis consists of five empirical studies that deal with actively and passively managed financial products. The first two studies focus on the replication process of exchange-traded funds (ETFs) and compare the tracking ability of ETFs based on physical replication of their benchmark indices with those of synthetic ETFs. Contrary to conventional wisdom, synthetic equity ETFs are not different in terms of tracking errors from their physical counterparts. However, synthetic fixed-income ETFs have lower tracking errors than physical fixed-income ones. Moreover, the second study examines the coexistence of ETFs and index certificates within one market by analyzing the relationship between their money flows. Evidence shows that ETFs and index certificates complement each other, but not in a perfect way. This effect can be explained by similar tracking abilities and a segmentation of investors into different market niches. The other three studies address the question if fund ratings like the Feri Trust rating, the Finanztest-Bewertung, and the FondsNote can predict the future performance of German equity mutual funds. The reason is that investors include fund ratings in their decision-making. They primarily invest in funds which have the best fund rating. However, fund rating predictability can significantly differ among fund ratings. Results indicate that the FondsNote can best distinguish between well and poorly performing funds. Predictability can be enhanced by a combination of fund ratings. However, it depends on the particular fund rating combination, the chosen performance measure, and the post-rating period. Moreover, these three studies analyze factors that could influence the predictability of fund ratings. It is shown that qualitative factors can hardly improve the predictability. By contrast, the costs of funds and the behavior of investors with regard to fund ratings significantly influence the ability to predict future performance.

Made available in DSpace on 2015-12-03T18:33:06Z (GMT). No. of bitstreams: 1 Jose_Raymundo_de_Faria_Junior.pdf: 1267452 bytes, checksum: 6a478b16fd990211249d441f2100f6b4 (MD5) Previous issue date: 2014-02-18 / The objective of this research is to propose for high income Brazilian investors a model of dynamic allocation with international diversification that uses ETFs and the PMI manufacturing index. ETFs were selected from twelve countries, including the ETF equities in Brazil, EWZ. The portfolios were created with and without the EWZ and two procedures were adopted to weight the assets: (1) maximization of the Sharpe ratio and (2) allocation based on the proportion of GDP. An alternative method of selection of assets was presented, using the PMI manufacturing index as a decision filter for the allocation of the resources. The PMI is usually published on the first business day of each month, is researched in the major countries and is one of the first, if not the first, leading indicator of the economic cycle. When the PMI signaled economic growth, the portfolio consisted of a higher proportion of equities. To evaluate the performance of the proposed portfolio, it was compared to other three global portfolios that followed classical allocation strategies, and one of these was considered a benchmark. The proposed portfolio was also compared to a benchmark created exclusively with brazilian assets. The result suggests that the use of PMI as a decision filter in an active and internationally diversified portfolio using only foreign ETFs and weighted according to the techniques of Modern Portfolio Theory presented higher total return and Generalized Sharpe Ratio than the international and brazilian benchmarks. This result suggests that Brazilian and foreign investors and managers who adopt active management of their portfolios should include PMI as one of the indicators to be observed in the allocation strategy / O objetivo desta pesquisa ?? propor para os investidores brasileiros de alta renda um modelo de aloca????o din??mica com diversifica????o internacional que utiliza ETFs e o ??ndice PMI da manufatura. Foram selecionados ETFs de doze pa??ses, incluindo o ETF de renda vari??vel do Brasil, o EWZ. Foram criadas carteiras com e sem o EWZ e adotados dois procedimentos para ponderar os ativos: (1) maximiza????o do ??ndice de Sharpe e (2) aloca????o com base na propor????o do PIB. Foi apresentado um m??todo alternativo de sele????o de ativos, utilizando o ??ndice PMI da manufatura como filtro de decis??o para a aloca????o dos recursos. O PMI ?? divulgado, em geral, no primeiro dia ??til de cada m??s, ?? pesquisado nos principais pa??ses e ?? um dos primeiros, se n??o o primeiro, indicador antecedente do ciclo econ??mico. Quando o PMI sinalizou crescimento econ??mico, a carteira foi composta por maior propor????o de ativos de renda vari??vel. Para avalia????o da performance da carteira proposta, a mesma foi comparada a outras tr??s carteiras globais que seguiram estrat??gias cl??ssicas de aloca????o, sendo que uma destas foi considerada benchmark. A carteira proposta tamb??m foi comparada a um benchmark criado com ativos exclusivamente brasileiros. O resultado obtido sugere que o uso do PMI como filtro de decis??o em uma carteira ativa e diversificada internacionalmente usando somente ETFs estrangeiros e ponderados de acordo com as t??cnicas da Moderna Teoria de Portf??lio apresentou retorno total e ??ndice de Sharpe generalizado superiores ao benchmark internacional e ao benchmark brasileiro. Este resultado sugere que os investidores e os gestores brasileiros e estrangeiros que adotam a gest??o ativa de seus portf??lios poderiam incluir o PMI como um dos indicadores a serem observados na estrat??gia de aloca????o

配對交易策略為一被廣為使用的交易策略，其特性為使用數個關聯性高的資產同時建立多空部位，藉此消除大部分的市場風險，賺取與市場趨勢無關聯性的報酬；本研究欲探討共整合法配對交易策略應用於兩類標的資產上之可行性及其功效:台灣證券交易所掛牌的6檔陸股ETF、以及COMEX黃金期貨與CME日幣期貨之組合。本研究使用之配對交易策略應用於6檔陸股ETF大部分參數設定下可獲得正報酬，獲利性卻不如預期，且共整合性質較佳之配對無法保證其交易績效亦較佳；COMEX黃金期貨及CME日幣期貨雖相對共整合性質不佳，仍以原策略測試可獲得較優秀的績效，此結果顯示共整合法配對交易策略於兩類資產上可行性皆不高，而配對交易策略於黃金、日幣組合上可能仍有其功效，尚須以不同方法進行驗證。 / Pairs trading strategy is one kind of market neutral strategy which take both long and short positions in two or more highly correlated assets. By doing this pairs trading strategy can eliminate market risk and make profits which are not correlated with market trends. This paper aims to figure out if pairs trading strategy work well on China ETFs listed in TWSE and the COMEX gold-CME yen future pair. We use the cointegration approach to test and simulate trading performance on the securities mentioned. The result shows that pairs trading strategy profit on China ETFs under most of the parameters, but the returns are insufficient. Furthermore, good cointegration property in the input periods can’t guarantee better performances in the outputs periods. For COMEX gold future and CME yen future, cointegration property in the input periods are worse than China ETFs, but using the same strategy we find a more profitable outcome. The empirical result indicate that pairs trading strategy might still work on gold and yen, but the cointegration approach is not suitable for these two groups of assets.

本文以在中國大陸證券市場上交易量最大，流動性最好的兩隻指數型ETF——華夏上證50ETF（SH510050）和華泰柏瑞滬深300ETF（SH510300）,為一個配對組合，進行統計套利。本文先簡要配對交易的實質和常用方法，以及這一策略目前在全球市場和中國大陸市場上的應用和研究狀況。而後又介紹了這兩隻ETF的標的物——上證50指數和滬深300指數，並闡明為何選取這兩個指數相關的ETF作為統計套利的原因。 接著，分析了華夏上證50ETF和華泰柏瑞滬深300ETF的相關性，從這兩隻ETF的相關性出發，建立共振合模型，並建立一階誤差修正模型對兩隻ETF的短期非均衡狀態進行補充。在此基礎上設定交易規則進行模擬交易。同時我們還在文中後續探討了交易成本和止損點的設置情況。 經過模擬交易，我們發現在一個標準差為開倉閾值的情況下出現的套利機會非常少且收益率較低。因此我們修改交易規則，來探討模型存在的問題，發現當將開倉閾值設為價差序列兩個標準差時，交易次數沒有增加，但收益率有所好轉。當將開倉閾值設為移動平均數和移動標準差，交易次數明顯增加，但收益率並沒有好轉。為進一步驗證上述結論，我們通過樣本外資料進行測試，發現與上述結果一致。此外，我們還通過延長時間序列的方式增加樣本量，得到結果也與上述一致。在用高頻資料交易結果不理想的情況下，我們採用了兩隻ETF的日收盤價格序列建立統計模型和模擬交易，發現在這種情況下，存在套利空間，但第一和第二種策略的套利機會較少，第三種策略套利機會相較前兩種策略要多得多。 分析上述結果產生的原因，主要原因有二：第一，在採用高頻資料的時候，模型的殘差項標準差較小，也就意味著該模型的偏離程度不高，因此套利空間較小。第二，這一配對組合所建立的模型其ECM項係數均非常小，也就意味著模型的長期穩定對時間序列的短期波動影響很小，因此出現的套利機會非常少。 此外，在此說明的是本文所採用的樣本資料為華夏上證50ETF和華泰柏瑞滬深300ETF在2016年7月1日到2016年10月31日每十分鐘的高頻交易價格資料，資料來源為中國大陸的WIND資料庫。 / This essay uses Huaxia SSE50 ETF (Code: SH510050) and Huataiborui CSI300 ETF (Code: SH510300), the two ETFs with the largest trading volume and the best liquidity in the China’s security market, as a pair for statistical arbitrage. Firstly, we introduce the definition of the strategy—pair trading, and its current application in the global and China’s mainland stock market. Then, the essay presents the underlying assets of the two ETFs, SSE50 Index and CSI300 Index, and explains why we choose the two ETFs for statistical arbitrage. Secondly, we analyze the correlation between Huaxia SSE50 ETF and Huataiborui CSI300 ETF, and build the co-integration model based on the correlation. Meanwhile, we establish the first-order error correction model to supplement the short-term imbalance of the two ETFs. On this basis, we set trading rules for simulated transaction. Moreover, we consider trading costs and stop-loss points in this article. After simulated trading, we find that both the trading time and the return are not good enough when we set a standard deviation as the threshold. So we modify trading rules, using the two standard deviations and moving standard deviation as thresholds, but it still doesn’t work. In order to further verify the above conclusion, we change the sample data by adding two times of the original and using the daily closing price, and it reveals that when we use the daily closing price to trade, the yield is better than the high-frequency trading price. There are two reasons for this conclusion. First, the standard deviation of the model’s residual is so little that the arbitrage space is small. Second, the coefficients of ECM is too little, which means the long-term stability of the model has little effect on the short-term volatility of the time series, thus leading to fewer arbitrage chances. In addition, the data used in the article are from the Wind Database in China.

This thesis focuses on the derivatives market. The goal is to choose ones that are suitable for use for the benefit of family finances and planning. Mapping the world market derivatives, and then describes the basic characteristics of the main types of contracts. After the general characteristics of the derivatives in the introduction, are briefly described two types (forwads and swaps) that are not directly used in the family finances. In their description, however, are pointed out the fundamental principles of derivatives and trading with them. In the next section, the focus is on those derivatives that are suitable for use in household budgets. They include Futures, Options, Warrants, Investment Certificates, Exchange Traded Funds (ETF), Contracts for diference (CFD). There are also discussed basic principles of these instruments, their use and the current bid.

I kölvattnet av finanskrisen 2008 har regleringen på det finansiella området ökat markant. En del av den finansiella marknaden som varit nästintill oreglerad innan 2008 års finanskris är verksamheten för förvaltare av alternativa investeringsfonder (AIF-förvaltare). Sedan 2011 omfattas dock denna verksamhet av reglering på såväl unionsrättslig nivå, i och med Europaparlamentets och rådets direktiv 2011/61/EU, som på nationell nivå, i och med direktivets implementering i svensk rätt genom lagen (2013:561) om förvaltare av alternativa investeringsfonder (LAIF). Motiven för reglering på det finansiella området i allmänhet och för AIF-förvaltare i synnerhet har varit flera, emellertid är säkerställande av stabilitet i det finansiella systemet det mest framträdande. I uppsatsen undersöks huruvida regleringen avseende marknadsföring av AIF-fonder till icke-professionella investerare är ändamålsenlig. För att besvara frågeställningen om regleringens ändamålsenlighet identifieras LAIF:s övergripande såväl som underliggande ändamål och används som utvärderingsvariabel. Med hjälp av utvärderingsvariabeln undersöks i vilken utsträckning de övergripande ändamålen tillgodoses med regleringens utformning.  Regleringen av marknadsföring av AIF-fonder till icke-professionella investerare skiljer sig åt. Dessa skillnader föranleds av motivet att skydda investerare, ty olika AIF-fonder har olika starkt investerarskydd. Investerarskyddet vid marknadsföring av AIF-fonder tar sig uttryck genom bestämmelser om informationsgivning och produktingripande åtgärder. Kraven på informationsgivning ämnar hjälpa investerare att fatta väl övervägda och kvalitativt bättre investeringsbeslut. I uppsatsen påvisas dock att omfattande informationsgivning, något som kraven på informationsgivning i LAIF föranleder, till stora delar är ett ineffektivt skydd emedan informationsgivningen inte sällan leder till informationsöverflöd. Anledningen härför är investerares, främst konsumenters, tillkortakommanden i form av bristande kognitiv förmåga. Vidare försvårar den befintliga investerarklassificeringen för investerare att erhålla ett adekvat skydd genom informationsgivning. Klassificeringen av investerare medför att även institutionella investerare faller in under kategorin ”icke-professionella investerare” trots att skyddsnivån i regleringen är anpassad efter konsumenters skyddsbehov. De produktingripande åtgärderna, å andra sidan, förhindrar marknadsföring av AIF-fonder, i form av riskkapitalfonder, till konsumenter med anledning av att dessa AIF-fonder bedöms för riskfyllda för konsumenter att investera i. Utformningen av de produktingripande åtgärderna i LAIF får dock följden att erhållet skydd beror på personlig status, eftersom det skydd konsumenterna erhåller utgörs av en miniminivå för investering.  I uppsatsen ifrågasätts således investerarskyddets utformning vid marknadsföring av AIF-fonder i LAIF och hur långt detta skydd kan sträcka sig i förhållande till andra i lagen beaktansvärda intressen. Till diskussionen är även gränsdragningen mellan investerares legitima skyddsbehov och överbeskydd, av vikt. Frågan om huruvida regleringen avseende marknadsföring av AIF-fonder till icke-professionella investerare är adekvat utformad, besvaras i uppsatsen nekande. Därtill presenteras förslag på förändring av regleringens utformning de lege ferenda, i syfte att uppnå en mer ändamålsenlig reglering.