The Performance Evaluation of Corporate Governance ETFs - the Case of the SSE 180 Corporate Governance ETF
Date Issued
2014
Date
2014
Author(s)
Tsai, Kuan-Chun
Abstract
Since the 1997 Asian Financial Crisis, corporate governance has been discussed extensively especially after any major management scandal. According to the 2002 Global Investor Opinion Survey released by McKinsey & Company, more than 80% of investors say that they are willing to pay a premium for a well-governed company. This survey also indicates that corporate governance has been at the heart of investment decisions especially in emerging markets.
To promote corporate governance, Taiwan''s GreTai Securities Market planned to launch the corporate governance exchange traded fund (ETF) in 2007, but there was no further development after that. On the other hand, China seemed much more aggressive. First, on January 2 2008, the Shanghai Stock Exchange (SSE) and the China Securities Index Company Limited (CSI) jointly released the SSE Corporate Governance Index. Then, they announced to launch the SSE 180 Corporate Governance Index on September 10 of the same year. At the end of 2009, Bank of Communications Schroder Fund Management Co., Ltd. was authorized to issue the SSE 180 Corporate Governance ETF, and this ETF became the first corporate governance ETF in the world.
The purpose of this research is to provide detailed information about the SSE 180 Corporate Governance ETF for future reference. Also, its performance in the past four years is evaluated from three aspects: return, risk, and risk-adjusted return. Its comparative samples are the SSE Composite Index and four other ETFs. The data indicate that the SSE 180 Corporate Governance ETF brought higher returns to its investors compared with its comparative samples. However, their means of Sharpe, Treynor, and Jensen indexes are not statistically significant at the 0.05 level of significance probably because of reduction of unsystematic risk and overlap in their constituents.
Subjects
公司治理
上證180公司治理ETF
指數股票型基金
績效
Type
thesis
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