金融危機對台灣各類型ETF績效影響分析

本文探討歐債危機對於台灣各類型ETF績效的影響性，以2010年12月及2011年12月為時間切割點，檢視歐債危機發生前後對台灣ETF造成的影響，從投資ETF之報酬率、標準差、β係數、Sharpe值、風險值等財務指標進行探討，根據ETF投資標的差異，比較一般型ETF、電子股型ETF、金融股型ETF、傳產型ETF何者受歐債危機影響較深。結果顯示，歐債危機前期後的平均月報酬率由1.90%下降到-1.60%再回到1.09%，Sharpe值則由歐債危機前期後的0.34下降到-0.07再回到-0.04，雖然歐債危機發生時的報酬率是負值，影響整體績效表現，隨著歐債危機逐漸解除，歷經一年之後的報酬率已明顯回升，目前未能回到危機前的水準，但已擺脫持續下滑的跡象，顯示在歐盟、德法及各國努力之下，危機有漸緩的趨勢，也顯示投資人的信心逐漸恢復中。最後，探討一般型ETF、電子股型ETF、金融股型ETF、傳產型ETF與歐債危機的影響。由實證結果可知，歐債危機前期中期以傳產類股型表現佳，歐債危機後期則以金融類股型表現最好。

關鍵字

金融危機；指數股票型基金；績效；歐債

並列摘要

In this paper, eleven Taiwan ETF of 0050, 0051, 0052, 0053, 0054, 0055, 0056, 0057, 0058, 0059 and 0060, selected from XQ Database for their better performance and having been issued for a long period of time, are reviewed and further discussed. The average, the standard deviation, the β in the CAPM, and the Sharp Ratio are employed to compare the investment rates of return with the value at risk (VaR) for Taiwan ETF before/after the financial crisis calculated by means of the absolute VaR- the relative VaR, the Historical Simulation, and the Monte Carlo Simulation. The results showed that, before the Eurozone Debt Crisis, the eleven Taiwan ETF's average return rate is 1.9%, standard deviation is 6.77%, Sharp value is 0.34, the risk value is 3.76%, during the Eurozone Debt Crisis, the eleven Taiwan ETF's average rate of return is -1.6% and standard deviation is 5.64%, Sharp value is -0.071, the risk is 3.54%, after the Eurozone Debt Crisis, the eleven Taiwan ETF's average return rate is 1.09%, standard deviation is 3.91%, Sharp value is -0.036, the risk value is 2.31%. The findings from this research illustrates that in the pursuit of high reward-high risk investment, Type of traditional industries is superior to other funds as target investment for its milder slump in the rate of return before/after he Eurozone Debt Crisis; the risk considered, however, Type of Finance is recommendable as target investment owing to its higher annual rate of return before/ after the Eurozone Debt Crisis.