槓桿型與反向型ETF長短期追蹤績效之研究

Abstract

本文研究分為兩部分。第一部分以台灣上市的4檔槓桿型反向型ETF為研究對象，檢驗其長短期追蹤績效。在1%顯著水準下，四檔基金單日追蹤績效都顯著異於基金投資目標，長天期報酬均顯著偏離標的指數目標倍數報酬。四檔槓桿型反向型ETF的持有期間累積報酬在1%顯著水準下均沒有顯著不對稱性。 第二部分以滿足所需曝險量跟淨值限制自行配置的投資組合進行不同調整週期的動態調整機制模擬，雖然所有組合單日報酬均顯著異於指數單日目標倍數報酬，但以剩餘現金最少之整數解配置的組合追蹤兩倍槓桿報酬績效最好，且比目前台灣的兩檔兩倍槓桿型ETF單日追蹤績效都來得佳。 期貨的基差風險及規格僵固，基金經理人對手續費之議價能力，剩餘現金占投資組合比重大小，對標的指數的路徑相依性，以及投資工具的標的指數與槓桿型反向型ETF所追蹤的標的指數是否一致，皆會影響追蹤績效。

This paper is composed of two parts. The first part of the paper examines long-term and short-term tracking performances of four leveraged and inverse ETFs listed on the stock exchange in Taiwan. At 1% level of significance, daily tracking performance of the leveraged and inverse ETFs significantly deviate from the investment objectives of the funds. The cumulative returns of the leveraged and inverse ETFs over holding period are also significantly different from positive or negative multiple of cumulative returns of underlying index over corresponding period. There are no significant asymmetry in positive and negative returns. The second part simulates the dynamic rebalancing mechanism of leveraged and inverse ETFs using different length of adjustment period on portfolios subject to needed exposure and net asset value constraints. Although daily returns of all of the portfolios dynamically rebalanced on any length of period basis are significantly different from multiple of index daily return, the portfolio allocated by the integer solution with minimized cash amount tracking two times underlying index daily return performs better than the leveraged ETFs of Taiwan. The basis risk and standardization of futures, the bargaining power of fund managers, the percentage of cash amount that takes up, path dependence on underlying index and whether underlying index of investment vehicle is consistent with that of leveraged and inverse ETFs can affect tracking performances of leveraged and inverse ETFs.