槓桿及反向型ETF追蹤績效之研究

隨著ETF市場的蓬勃發展及產品種類的推陳出新，投資人交易與避險的需求逐漸提升，槓桿型及反向型ETF便成為發行商及投資者所熱衷的新型投資商品。簡而言之，槓桿型(Leveraged)ETF為追蹤標的指數報酬率正向倍數的ETF，在台灣多為正向2倍型。而反向型（Inverse）ETF則為追蹤標的指數報酬率反向倍數的ETF，在台灣僅有反向1倍型。為了能獲取目標倍數之報酬，槓反型ETF需利用衍生性商品進行配置，因此發行商需要通過每日重新平衡機制（Daily Rebalancing），以降低單日追蹤誤差。本文將探討槓反型ETF之追蹤績效如何，觀察其單日及長期追蹤偏離狀況，以及影響追蹤績效之因素。研究樣本為台灣投信公司所發行的7檔槓反型ETF，其追蹤標的皆為中國大陸指數。本研究發現，在樣本期間內，槓桿型ETF之追蹤偏離度以正數居多，即其淨值報酬率高於指數報酬率之次數較多。觀察長期累積報酬率，發現其累積追蹤偏離度達10%以上。如果以Covin-19疫情為時間節點，在疫情發生後槓反型ETF之追蹤偏離程度均加大。至於影響槓反型ETF追蹤績效之因素，以匯率波動度及富時中國A50指數期貨收盤價漲跌幅最為顯著。另外本文也發現樣本期間內槓反型ETF以折價狀態居多，且和追蹤偏離度呈反向關係。本實證以蒙地卡羅法對槓反型ETF及其指數價格進行模擬，證實在長期持有下，其價值會逐漸減損，不適合投資人長期持有。

關鍵字

槓桿型ETF ；反向型ETF ；追蹤偏離度；每日重新平衡機制

並列摘要

With the booming ETF market and the introduction of new products, investors' demand for trading and hedging is increasing. Leveraged ETFs track positive multiples of the underlying index return, mostly positive 2X in Taiwan. On the other hand, inverse ETFs track the inverse multiple of the underlying index return, which is only 1X inverse in Taiwan. In order to obtain the target multiple, leveraged and inverse ETFs need to use derivatives for allocation, and therefore issuers need to adopt a daily rebalancing mechanism to reduce the single-day tracking error. This article examines the tracking performance of leveraged and inverse ETFs, looking at their single-day and long-term tracking difference, and the factors that affect their tracking performance. The sample consists of 7 leveraged and inverse ETFs issued by Taiwan fund companies, all of which track indices in Mainland China. This study found that the tracking difference of leveraged ETFs was mostly positive during the sample period. Looking at the long-term cumulative returns, it is found that the cumulative tracking difference is more than 10%. If we take the Covin-19 outbreak as the time point, the tracking difference of leveraged and inverse ETFs increased after the outbreak. As for the factors affecting the tracking performance of leveraged ETFs, exchange rate volatility and the closing price range of the FTSE China A50 Index Futures were the most significant. This paper also found that leveraged and inverse ETFs were mostly at a discount during the period, with an inverse correlation with tracking difference. This empirical evidence has used the Monte Carlo method to simulate the prices of leveraged ETFs and their indices, and has confirmed that the value of leveraged ETFs will gradually diminish over the long term, making them unsuitable for investors to hold over the long term.