槓桿型反向型ETF每日重新平衡機制之研究

Abstract

本文主要以六檔於台灣證券交易所上市的槓桿型反向型且追蹤中國市場之ETF作為研究對象。由於受到市場波動的影響，槓桿型反向型ETF可能會偏離其應有的槓桿倍數，因此基金經理人需每日於標的指數之市場接近收盤時，至期貨市場去買入或是賣出期貨契約，以讓基金每日都能達到足夠的曝險值以維持其槓桿倍數，此機制稱為每日重新平衡(Daily Rebalancing)。 本文分為兩個部份。第一部份探討六檔基金之每日平衡機制是否加劇了新華富時A50指數期貨市場尾盤價格的波動(end-of-day volatility)。於1%顯著水準下，顯示每日平衡的調整值以及六檔基金之A50股指期貨交易密度（Trading Intensity）對於尾盤報酬率會有同向的影響，即當每日平衡的調整值為正、正向交易密度越大，均會加大尾盤報酬率漲幅。第二部份探討由於槓桿型反向型ETF每日重新平衡時，部位調整方向與標的指數變動方向一致，亦即重新平衡機制會帶來期貨尾盤價格追漲殺跌的效果。因此比較不同時間點進入A50股指期貨市場所能獲得之報酬率，並提出最佳的進場時間。以A50股指期貨日間價格資料去計算不同情境之下所能獲得的淨報酬率，其中發現於下午兩點半進場，且設定觸發買賣點為±0.2%的漲跌幅，能夠獲得最大的總淨報酬率。

This paper mainly examines the daily rebalancing mechanism of six leveraged and inverse ETF which all focus on China market and are listed on Taiwan Stock Exchange. Affected by the volatile market, leveraged and inverse ETF is highly possible to deviate from its required leveraged ratio. Therefore, when the market tracked by leveraged and inverse ETF is close to the end of day, fund managers have to adjust their portfolios by buying or selling future contracts to reach enough risk exposure. This mechanism is called daily rebalancing. The paper is composed of two parts. The first part of the paper examines whether daily rebalancing of six leveraged and inverse ETF drives up FTSE China A50 Index Future ‘s end-day-volatility. At 1% level of significance, the result shows daily rebalancing amounts have a positive impact on the end-day rate of return. That is, when daily rebalancing amount is positive, it enlarges the positive rate of return near the market’s close. The second part of the paper constructs different front-running strategies based on the direction of expected trades associated with the rebalancing activities of leveraged ETFs and suggests the best timing to enter the future market by analyzing each net rate of return. The best strategy turns out to be entering the future market at 2:30 PM when the market return rises beyond 0.2% or falls below -0.2%.