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The assets under management in the financial product Exchange Traded Funds has been steadily rising the past years. The purpose of this bachelor thesis is to identify if Exchange Traded Funds are a suitable asset class for private investors and how this asset class can be applied to special investment strategies. Particular emphasis is placed on criteria of private investors to choose their capital investment and an analysis of ETFs in terms of performance, cost, tracking error and risk. A survey on 356 German custodians revealed the most important criteria for capital investment as capital security, comprehensibility and profitability. The 84 analyzed ETFs showed differences in terms of performance, cost, tracking error and risk depending on the geographic region of the index the ETFs track. ETFs tracking indices of industrialized nations perform more steadily, are less volatile, cost less and track their indices more precisely than ETFs tracking developing or emerging countries’ markets. Due to the fact that ETFs are diversified in itself and established as special funds, they are secure investment products. They are easily understandable and can have a steady return. Those results indicate that ETFs are a suitable asset class for private investors.
In the period from 2007 to October 2017, exchange traded funds (ETFs) exhibited an exceptional growth in assets under management from 0.8 to 4.4 trillion US-Dollar, causing significant developments within the financial industry that raised concerns regarding their negative impact on market quality and systemic risk. This work examines the development of ETFs and evaluates their effects on the financial system by conducting an analysis of secondary research and market data. Thereby, the findings do not recognise a significant risk stemming from ETFs, but in fact identify multiple necessary areas of research. Firstly, it is demonstrated that the growth of ETFs benefits investors through their stimulating effect on competition within the fund industry, as well as their essential role in robo-advise. Moreover, the alleged negative effect of passive ETF investments on companies’ corporate governance are examined and in fact turn out to exhibit a positive impact. Furthermore, it is shown that ETFs deteriorate liquidity and information efficiency of their underlying stocks in the long run, yet there has been no examination of the implications so far. Lastly, it becomes apparent that the pricing mechanism of ETFs requires further exploration as there are proofs of an inherent capability of transferring and amplifying liquidity shocks between ETFs and their underlying assets, causing price distortions and drops.
Das Thema ETPs/ETFs im Allgemeinen ist, obgleich nicht mehr brandneu, nach wie vor eines der aktuellsten und relevantesten des Investmentbankings. Untermauert wird diese Feststellung durch das ständige Wachstum und die Innovation der Branche sowie durch das Volumen an Vermögen, das heute in ETFs verwaltet wird (Assets under Management).
In dieser Arbeit werden verschiedene Methoden und Aspekte der Indexkonstruktion, sowie die Funktionsweise von ETFs erklärt und diskutiert, um anschließend, basierend auf den gewonnenen Erkenntnissen, einen Produktvorschlag für das Fondsmanagement der Deka Investment GmbH ETFs herauszuarbeiten. Hierbei handelt es sich um ein Indexkonzept, das abzubilden die Aufgab eines neuen Deka ETFs wäre. Die zentralen Punkte, die untersucht werden sind die allgemeine Funktionsweise und Struktur von ETFs, Gewichtungsmethoden und Faktoren sowie deren Rolle bei der Indexkonstruktion.
Mit gewissen Vorgaben durch das Unternehmen und durch eigene Recherche wird eine Strategie formuliert, die eigenständig mit Hilfe der Portfolio Management Software von FactSet getestet und optimiert wird. Hierbei wird unter anderem durch einen Backtest untersucht, wie sich der Index, bei Quartalsweiser Anpassung in den letzten 10 Jahren verhalten hätte.