指數股票型基金之市場發展、操作管理及投資策略

股票指數型基金(ETF)是具有開放式共同基金與封閉式共同基金特色、而在股票交易市場買賣的指數型基金，是近年來發展最為快速的金融商品之一。股票指數型基金是被動式管理的代表，其投資組合透明、風險分散、交易方便、成本低廉的特性，深受投資人喜歡。 ETF除了追蹤股票指數外，債券、貨幣、能源、原物料、農產品…等各類資產皆有相關的ETF在證券交易所買賣。ETF豐富多元的類型，讓投資人可以輕鬆投資各類型資產。ETF具有多樣性的投資策略，具有套利、價差、避險等交易上的功能。ETF可以融券放空，這是一般共同基金所做不到的；而槓桿型與放空型ETF，讓投資人有更多的選擇機會與投資策略。ETF投資標的的多樣性，及可多、可空、可槓桿的選擇，大大開展了投資人的投資視野與投資彈性。不管在股市多頭或空頭期間，投資人都可在眾多的ETF中找到適合的投資標的 ETF的績效必須釘住指數。看似簡單，但在實務上，ETF經理人的工作並不如想像中的簡單。舉凡成份股除權、除息；成份股變更；成份股股本變動…等，都可能影響ETF追蹤指數的績效，經理人要隨時注意，而事先作因應。若許多細節未能面面俱到，追蹤誤差可能就會在不知不覺之間被擴大。主動式ETF追蹤的指數有主動選股機制，從績效分析，可以初步判斷主動式ETF所使用的選股指標與平均分配權重的方式確實有增加報酬的效果。而要管理槓桿型ETF和放空型ETF，除了股票外，還必須要大量使用衍生性金融商品，如權益交換契約和指數期貨，對基金公司與主管機關都是一大挑戰。國內為了發展ETF，財政部與證期局開放的法令就達17條，台灣證券交易所也修訂了14項以上的相關法規。2008年，國內ETF的市場，發行檔數從7檔增加到11檔，管理的總資產從439億成長到474億，ETF管理的資產規模並未因為股市的重挫而下滑，反而逆勢上揚了8.0%。顯見，ETF已獲得國內投資人的認同，漸漸成為國人重要的投資工具之一。台灣要再進一步擴大ETF的市場，除了持續開發適合國內投資人的新產品外，將國內產品推向國際也是可行的方案。能否國際化與國內產品市場健全與否有直接的關係，所以發展重點還是開發新產品。只要能夠推出成功且受投資人歡迎的商品，想要國際化就事半功倍。預期，除了資產規模將持續放大外，ETF也將朝多樣化、客製化、國際化的方向發展。台灣一直有發展成為亞太金融中心的企圖，而更開放的金融環境、更多元的金融商品，是台灣朝向亞太金融中心不可或缺的元素。目前，海峽兩岸已脫離敵對的情勢，雙方開始展現善意，除了加強經貿交流外，金融產業的互助與交流是台灣很好的重新出發點。發展ETF，建立兩岸交易平台，則是台灣再造金融產業的起步。

關鍵字

股票指數型基金；被動式管理；追蹤誤差；資產配置；主動式ETF ；槓桿型ETF ；放空型ETF ；套利

並列摘要

Exchange Traded Fund (ETF) is an index fund that has both roles of open-end mutual funds and closed-end mutual fund, and trading in the stock market. ETF is one of the most developed financial products in recent years. ETF is the most popular in the passive management, those characteristics including transparency of its investment portfolio, risk diversification, transaction convenience, low cost properties, was favorite by investors. Besides, ETF tracking stock indices, kinds of assets like the bonds, currencies, energy, raw materials, agricultural products, etc... there are related ETF trading at the stock market. So that investors can easily invest in various types of assets by abundant types of ETF. ETF has a diversity of investment strategies, arbitrage, spread, and hedge. ETF can margin short, it is generally impossible by the mutual Fund. The lever-type and short-type ETF make investors have more opportunity to select investment strategies. ETF investment in the subject of diversity, and can be long, can be short, can be leveraged, much widen investors’ investment vision and investment flexibility. No matter in the period of bull market or bear market, investors can find appropriate vehicle to invest in the ETF field. ETF performance must stick on index. It looks like easy to achieve. But in practice, ETF manager's jobs are not as easy as it imagine at all. The performance of ETF can be influence by all the constituent stocks of ex-dividend, index change constituent stocks; constituent stocks changes in capital, the manager must keep the attention of all and take reaction in advance. Tracking error may be extended in unknowingly, if many of the details cannot be comprehensive. Active ETF track the index, which runs Rule-Based Model to select constituent stocks. Based on active ETF performance analysis, it is fair that active ETF return enhanced by Rule-Based Model or equally weight distribution. And to manage short-type ETF and lever-type ETF, in addition to stocks, it is necessary to large-scale use of derivatives, such as equity swap contracts and index futures. For now on, it’s a major challenge of competent authority and fund house in Taiwan. For the development of the domestic ETF, the Ministry of Finance with the Securities and Futures Bureau had opened up over 17 provisions, the Taiwan Stock Exchange also proposes to amend more than 14 relevant laws and regulations. In 2008, the domestic ETF market issued 11 ETF from 7 ETF last year, managing total assets grow to 47.4 billion from 43.9 billion, ETF assets under management does not scale because the stock market big drop, on the contrary, growth by 8.0 percent. Obviously, ETF has been the recognition of domestic investors to become an important investment vehicle, gradually. In order to expand ETF market further, in addition to, keep on developing the suitable products to domestic investors, and introduce local ETF to the international is another effective way. The internationalization of ETF has a direct relationship with soundness of the domestic product market, so the focus of development is develop new products. As long as be able to launch successful and popular ETF to investors, it is easy to internationalize it. In addition to the assets is expected to continue to enlarge, ETF will also be towards diversification, customization, internationalization direction. Taiwan has attempted to develop into the Asia-Pacific financial center. And more open financial environment, more diversified financial products are indispensable elements for Taiwan towards the Asia-Pacific financial center. At present, cross-strait situation has gone beyond the hostile; the two side government begin to show goodwill, In addition to strengthening economic and trade exchanges, mutual assistance and communication of financial industry are very good re-starting point for Taiwan. Development of ETF, set up cross-strait trading platform, it is Taiwan's financial industry to start recycling.

並列關鍵字

Exchange Traded Fund ； Passive Management ； Tracking Error ； Active ETF ； Lever-Type ETF ； Short-Type ETF ； Arbitrage

參考文獻

Gary P. Brinson, L. Randolph Hood, and Gilbert L. Beebower, July/August 1986. Determinants of Portfolio Performance, The Financial Analysts Journal.

Gary P. Brinson, Brian D. Singer, and Gilbert L. Beebower, 1991. Determinants of Portfolio Performance II: An Update, The Financial Analysts Journal.

Roger G. Ibbotson and Paul D. Kaplan, 2000. Does Asset Allocation Policy Explain 4%, 90%, or 100% of Performance?, The Financial Analysts Journal, January

【中文參考文獻】