台、日、韓槓桿反向型ETF追蹤誤差與影響因素

Abstract

槓桿型及反向型ETF一直以來無論在資產規模，或是佔ETF權重皆越來越大且成長快速，然而對於亞洲國家而言它們是近期才新引進的金融商品。因此，本文試圖檢驗槓桿型及反向型ETF的追蹤績效表現。 本文研究分為兩部分，第一部分檢驗槓桿型及反向型ETF報酬率在長短期是否達到宣稱目標，其中樣本包含台、日、韓三地共十二檔槓桿型及反向型ETF，並以一日、二日、五日、十日、三十日、六十日等不同持有期間來檢定之。 第二部分則研究台、日、韓三地影響槓桿型及反向型ETF追蹤誤差的因素，並探討標的指數前後期相關性(路徑相依性)對於短期及長期的追蹤誤差影響。此外，也進行價值破壞(Value destruction)之影響因素分析，其中選擇變數為標的指數報酬率、標的指數波動度並進行多元回歸。 影響追蹤績效的可能因素包含標的指數前後期相關係數、標的指數報酬率以及標的指數波動度，推測其他可能的影響因素為避險工具的使用、交易成本、匯率波動度、基金平衡頻率以及現金拖累。

The trading volume of leveraged and inverse ETFs became larger but they were still new financial products to the Asian. They grew fast in AUM and the weight in ETF kept rising. Accordingly, this paper tries to examine the tracking performance of the leveraged and inverse ETFs. This paper is composed of two parts. The first part examines whether the leveraged and inverse ETFs can reach the goal to provide the promised return in the short-term and in the long-term. The sample includes 12 leveraged and inverse ETFs from Taiwan, Japan and Korea. The holding period includes 1-day, 2-day, 5-day, 10-day, 30-day and 60-day. The second part analyzes the source of the tracking error and examines the effect of path dependence on short-term and long –term. Besides, perform analysis on the effect of the value destruction. The variables include returns and volatility of the underlying index. The factors which influence tracking performance might be the correlation coefficient between return of underlying index in time t and return in time t-1, return and volatility of the underlying index. The possible factors include the tools to track the performance, transaction costs, the volatility in exchange rate, the frequency to rebalance and the cash drag.