高通膨環境下的養券策略：美國公債與抗通膨公債養券之比較

Abstract

本研究嘗試探討在高通膨環境下是否存在較優的投資策略，主要比較美國抗通膨公債（Treasury Inflation-Protected Security, TIPS）之養券策略以及一般公債之養券策略。結果發現在高通膨預期之下，每操作一張抗通膨公債平均每日可以獲得1.03美元的養券利潤，雖不及操作一般公債的25.14美元，但若將資本利得納入考慮後，抗通膨公債養券總報酬將大幅優於一般公債養券總報酬；然而在預期通膨下降時期，抗通膨公債之養券收入大幅低於一般公債，且高昂的養券成本讓無論抗通膨公債還是一般債券皆面臨養券損失（Negative Carry），資本損益的部分則受到其他總經面因素影響，無論抗通膨公債還是一般公債皆面臨資本損失（Capital Loss），在此環境下抗通膨公債養券之總報酬低於普通債券養券之總報酬。 本研究將提供投資者在預期通膨上升的環境之下另一個投資策略，在保有利息收入的同時避免驟升的通膨將養券利潤侵蝕殆盡，更能進一步使債券受到保護，甚至產生資本利得。

This article compares the performance of carry trade between the U.S. Treasury and U.S. Treasury Inflation-Protected Security (TIPS) during different inflation situations. The results show that during the period of high inflation, the average daily profit for each TIPS is $1.03, which is lower than UST’s $25.14. However, TIPS’ total return will be significantly better than UST's because of capital gain. On the other hand, both carry profit and capital gain(loss) of TIPS will be significantly lower than that of UST in the deflation period. This article provides an investment strategy in an environment when inflation is expected to rise. It can earn some interest revenue and protect bonds’ capital loss at the same time.