臺灣壽險業投資債券ETF之投資分析

近年來壽險業大量買進債券型ETF當作其投資標的，由於壽險業掌握大量保戶的資產，因此監管機關在法規上訂定45%上限防範壽險業暴露在過大的匯率風險之中，但開頭所說的債券型ETF本質雖然是投資國外債券，但因為這項商品是屬於新臺幣計價，故在法規認定上不屬於國外投資，因此透過本篇研究去探討壽險公司實際上投資多少部位在國外投資。本文主要分為兩部分，第一部分是探討國際板債券以及債券型ETF市場的發展歷程，因為在研究後發現這兩個市場發展的狀況極為類似，都是壽險業有大量國外投資需求，但受限於法規的國外投資上限，進而將資金投入到這些不受國外投資上限之商品，其背後本質卻都是投資到國外，這兩個市場也因為壽險業的投資而蓬勃發展，但2018年修法後將國際板債券納入國外投資限額，使得國際板債券市場發行量大幅下降，未來債券型ETF是否也會面臨相同情形。第二部分進行實證研究，運用元大美債20年ETF的實例與追蹤指數的績效去做比較，發現投資此檔債券型ETF績效不如追蹤指數，進一步分析背後的追蹤誤差來源主要是匯率所造成，對於匯率的影響本文將匯率漲跌分為當日漲跌以及累積漲跌，會發現累計匯率漲跌對於追蹤誤差的解釋力較強，當日追蹤誤差除了匯率漲跌以外尚有其它影響因素，故會發現若在長期投資債券型ETF之下，其面臨到的追蹤誤差風險與匯率風險息息相關。

關鍵字

債券型ETF ；國際板債券；壽險業；國外投資；追蹤誤差

並列摘要

This paper mainly finds that in recent years, the life insurance industry has bought a large number of bond ETFs as its investment targets. As the life insurance industry has a large number of assets of policyholders, the regulatory authorities have set a 45% ceiling on the regulations to prevent the life insurance industry from being exposed too much FX risk. Although bond ETFs are denominated in the NTD, these products are actually invested overseas. In Taiwan's law these products are not counted in to the foreign investment because they are denominated in the NTD. This paper want to explore how much the life insurance company actually invests in foreign investment. This paper is composed of two parts. The first part of the paper is to explore the development process of Formosa bonds and bond ETF market. After the research, the situation of these two markets is very similar. They two markets are all developed by life insurance industry because of the ceiling on the regulations of the foreign investment. The life insurance industry want to invest these two markets because they want to invest overseas but limited by the regulations. After the revision of the law in 2018, the Formosa bonds were included in the foreign investment limit, which caused the circulation of the Formosa bond market to fall. And maybe bond ETFs market will face the same situation in the future. The second part of the paper conducts an empirical study. The paper compares the performance of the 20-year ETF of Yuanta US Treasury with the performance of the tracking index, and finds that the performance of the bond ETF is not as good as the tracking index. Through the analysis found that tracking difference is mainly caused by the exchange rate. And the accumulate data is more significant than daily data. It is found that the tracking difference is highly related to the FX risk when you invest bond ETFs in the long term.