台灣槓桿型ETFs績效研究

Abstract

槓桿型ETFs(LETFs以下同)是當前非常成功的金融創新商品，提供每日回報為標的市場正倍數或負倍數日報酬。在本論文中我們主要在評估在臺灣LETFs績效，本文根據績效分析在臺灣的三個正向兩倍 (2X)和三個反向一倍 (-1X) LETFs，且檢驗以上LETFs之交易敘述統計、價格偏離、槓桿比率及追蹤誤差。研究結果顯示在台灣的六檔LETFs報酬率標準差僅有二檔與預期結果接近，平均而言，在價格偏離方面大多數LETFs每日容易出現折價偏離現象，在槓桿比率方面當槓桿倍數增加，反向LETFs月報酬率之β較日、周報酬率之β與目標倍數差異頗大。在每天結束時LETFs市場暴露風險的再平衡機制會增加交易日結束時之市場波動性的結果是一致的。關於追蹤誤差，當持有期間最長至的一周以內的追蹤誤差是很小的，但是當變成為更長期持有，則追蹤誤差將增加越來越大。

Leveraged ETFs (LETFs) are a recent and very successful financial innovation. They provide daily return in a multiple or negative multiple of the daily returns on a market benchmark. In this paper we seeks to evaluate the performance of leveraged ETFs in Taiwan. This paper is based on the performance analysis of three two times (2X) and negative one time (-1X) Leveraged Exchange-Traded Funds in Taiwan, and we examine the characteristics, trading statistics, price deviations, leveraged ratio and tracking error of above sample LETFs. We find that these LETFs are only two of six LETFs’ return deviation close to our predicted results in Taiwan, and there are more LETFs’ price deviation are prone to occur discounts from its net asset value. When the leveraged ratio increase, the monthly return of bear ETFs’ beta is different from it daily and weekly return of beta. Our findings are consistent with the argument that the end-of-day rebalancing of the funds’ exposures increases market volatility at the close of trading day. As for tracking errors, they are small for holding periods of up to a week, but become increasingly larger for longer horizons.