摘要
本篇論文旨在研究一種名為Altar Score之嶄新的ETF績效指標。Altar Score是由AltaVista Independent Research所研發出來的專利指標，且此種指標的計算方式，乃是依據每一檔ETF旗下之成分股的基本面為基礎。此篇論文使用美國的ETF資料，對於Altar Score以及其他不同的績效指標，提供了一個綜合性的比較。在此篇論文中，本人於每年使用調整後Altar Score和其他幾種傳統指標，包括：夏普指標、崔諾指標、單因子Alpha、三因子Alpha，以及四因子Alpha，對ETF進行排序。研究結果顯示，調整後Altar Score所產生之排序與其他傳統指標所產生之排序，其相關程度相當低。此外，調整後的Altar Score所產生之排序與ETF未來報酬之間，具有顯著的負向關係，此結果顯示，這個新指標具有一定程度的預測能力。再者，此篇論文指出，調整後Altar Score提供了一些關於ETF未來報酬的額外資訊，且這些資訊是其他傳統指標所未包含的。最後，透過使用Cross-Product Ratio以及Chi-Squared test進行實證研究，本人發現調整後Altar Score具有很高程度的持續性。
並列摘要
This study examines a new performance measure for Exchange Traded Funds (ETFs), called “Altar Score”. Altar Score is developed by AltaVista Independent Research for the proprietary measure of an ETF, where this new measure is based on the fundamentals of the underlying securities that comprise an ETF. This study provides a comprehensive comparison of Altar Score and various performance measures based on the ETF data in the U.S. In this study, I use adjusted Altar Score explained in this study and several traditional measures, including Sharpe ratio, Treynor ratio, single-factor Alpha, Fama and French three-factor Alpha and Carhart four-factor Alpha, to rank ETFs every year. It is found that the adjusted Altar Score has low correlation with the traditional measures. In addition, the adjusted Altar Score has significantly negative relation to next-year return of ETFs, indicating prediction power of this new measure to some extent. Furthermore, this study documents that the adjusted Altar Score provides additional information for future ETF returns that is not contained in the traditional measures. Finally, by applying the Cross-Product Ratio and Chi-Squared test, I find that the adjusted Altar Score generates a strong degree of persistence.
參考文獻
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