放空型ETF的評價

Abstract

本篇文章使用一般化自我相關條件異質變異模型(Generalized Autoregressive Conditional Heteroscedasticity ; GARCH)以及動態條件相關係數模型(Dynamic Conditional Correlation ; DCC)來對放空型指數股票型基金(Exchanged-Traded Fund ; ETF)的追蹤誤差和避險績效進行評價。本文發現對於同一指數的放空和雙倍放空ETF的追蹤誤差而言，道瓊工業平均指數以及標準普爾中型企業400的放空型ETF比起雙倍放空ETF有較小的追蹤誤差，相反的，標準普爾的雙倍放空ETF比放空型ETF有較佳的追蹤能力。而在不同指數間的比較上，那斯達克100的放空型ETF與標準普爾中型企業400的雙倍放空型ETF有最大的追蹤誤差。本文也證實了指數與ETF報酬間的不完全相關會產生ETF的追蹤誤差。在產生追蹤誤差的因素上，我們發現由於ProShares在操作雙倍放空ETF時使用了較多的指數期貨，因此如同預期，實證結果也顯示出標準普爾以及標準普爾中型企業400此兩種指數的雙倍放空ETF的追蹤誤差比起放空ETF的追蹤誤差更容易受到指數期貨的波動所影響，此外，本文也觀察到放空和雙倍放空ETF的追蹤誤差會隨著交易量的增加而上升。最後，我們比較了放空以及雙倍放空型ETF的避險績效，對於道瓊工業平均指數以及標準普爾中型企業400而言，放空型ETF比起雙倍放空ETF有較佳的避險績效，而標準普爾的雙倍放空ETF比起放空型ETF有較好的避險績效。在跨指數的比較中，標準普爾中型企業400的放空型ETF與標準普爾的雙倍放空ETF 擁有最好的避險績效。這些結果可以作為投資人在投機交易以及避險上的一個參考依據。

Based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) of Bollerslev (1986) and the Dynamic Conditional Correlation (DCC) Model of Engle (2002), we investigate the tracking errors and the hedging effectiveness of each short ETF. We find that when it comes to tracking errors of Short/UltraShort ETFs related to the same benchmark, the Short ETFs of DJIA and S&P400 MidCap outperform the UltraShort ETFs of these two indices. On the contrary, the UltraShort ETF of S&P500 has the better tracking ability than the Short ETF of the S&P500. As for the cross indices comparison, the Short ETF of NASDAQ100 is the worst on tracking performance in the group of Short ETFs while the MZZ has the worst tracking ability in the group of UltraShort ETFs. Furthermore, we also examine the relationship between tracking errors and volatilities of their related index futures as well as that between tracking errors and trading volumes. We conclude that the tracking errors of DOG and DXD are affected almost equally by the volatilities of DJIA index futures while the volatilities of S&P500 (S&P400 MidCap) index futures have more influences on the tracking errors of SDS (MZZ) than on those of SH (MYY). These results coincide with the facts that the ProShares uses more index futures on UltraShort ETFs than on Short ETFs. We also find that over-trading on the shot ETFs may lead to larger tracking errors, and this effect is quite obvious regarding MYY and MZZ. Finally, we research the hedging performance of each short ETFs. We find that Short ETFs outperform UltraShort ETF when DJIA and S&P400 MidCap are concerned while the UltraShort (SDS) ETF of S&P500 has the better hedging performance than SH. Besides, the MYY has the best hedging performance among the Short ETFs when SDS has the best hedging effectiveness among the UltraShort ETFs.