We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds-PowerShares Water Resources Portfolio, Power Shares Global Water, First Trust ISE Water Index Fund, and Guggenheim S&P Global Water Index ETF using the Markov switching model for the period 2007-2015. The generated transition probabilities in this paper show that there is a high and low probability of switching between Regimes 1 and 3, respectively. Moreover, we find that the idiosyncratic risk for most of the exchange traded funds move from low volatility (Regime 2) to very low volatility (Regime 1 and 3). Our study also identify that the beta coefficients are positive and entire values are less than 1. Thus, it seems that water investment has a lower systematic risk and a positive effect on the water exchange traded index funds returns during different regimes.
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机译：我们使用2007年的马尔可夫转换模型，研究了四种水上交易基金（PowerShares水资源投资组合，Power Shares Global Water，First Trust ISE水指数基金和Guggenheim S＆P全球水指数ETF）之间的特殊风险与收益之间的关系。 2015年。本文中生成的过渡概率表明，分别在方案1和方案3之间切换的可能性很高和很低。此外，我们发现大多数交易所买卖基金的特质风险从低波动性（第2类）转移到非常低的波动性（第1和3类）。我们的研究还发现，β系数为正，整个值均小于1。因此，在不同的制度下，水投资似乎具有较低的系统风险，并且对水交易指数基金的收益具有积极影响。
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