政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/106822

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/106822

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113451/144438 (79%)
Visitors : 51326296 Online Users : 859

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/106822

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/106822

Title:	槓桿型與反向型ETF之理論乘數與實際表現 Performance of the leveraged and inverse ETFs and their multiples
Authors:	江怡婷 Chiang, Yi-Ting
Contributors:	周冠男 Chou, Robin K. 江怡婷 Chiang, Yi-Ting
Keywords:	槓桿槓桿型指數基金複利效果波動度台灣50 Leveraged LETF Compounding Effect Volatility Taiwan 50
Date:	2017
Issue Date:	2017-03-01 17:04:15 (UTC+8)
Abstract:	自從槓桿型指數基金於各股票市場發行後，各國主管機關皆紛紛發出聲明表示，該商品並不適合長期持有；因此，該類型投資商品的公開說明書皆會註明不宜長期投資。然而，本研究實證結果發現，持有期間長短並非主要風險來源。雖然，如大家所知，槓桿型指數基金多是以「日」為單位追蹤指數，而導致複利效果 (Compounding Effect) 使基金長期報酬與槓桿倍數不同。根據算出上述的報酬差異(Return Difference)可以發現不論是正向2倍或是反向1倍皆與台灣50報酬率的標準差有統計上顯著關係。反向1倍皆與台灣50報酬率的標準差有顯著負相關；反之，正向2倍與台灣50報酬率的標準差有顯著正向相關。然而，從已實現乘數(Realized Multiple)的分佈中可發現，不合理值並不隨投資期間越長而越多。意即儘管投資期間越長，並不一定會導致複利效果越大，而與目標槓桿倍數脫節。再者，隨著投資期間越長，波動度(volatility)的對於報酬差異的解釋力越強；因此，若想長期投資槓桿型指數資金，預測標的波動度的能力更顯為重要。 When we browse the reports about the inverse and leveraged ETF, most of them emphasize that the LETF is not appropriate to long-term investors. However, in this research, we attempt to demonstrate the main factor of the performance of the leveraged and inverse ETF is not how long the LETF we hold, but the volatility of the underlying index or ETF. Observing the empirical test, no matter how long the investment horizon is, the coefficient of the variance of the Taiwan 50 is statistically significant both in the Taiwan 50 Bear -1X and the Taiwan 50 Bull. However, its effect on the Bear -1X is opposite to that on the Bull 2X. First, the relationship between the volatility and the return difference of Taiwan 50 and the Bear -1X is negative. In contrast, the relationship between the volatility and the return difference of Taiwan 50 and the Bull 2X is positive. However, in accordance with the distribution of the realized multiples, the frequency of either the Bear -1X or Bull 2X was not more and more when the holding period is longer. As a result, our research show the variance has a significant effect on both, no matter how long investors hold. If the volatility is moderate, the return difference may be close to zero; then the LETFs would be a convenient way to investors who desire to magnify the market return. Moreover, due to the increasing explanatory power of the volatility, we may make a further inference that whether the compounding effect is positive or negative depends on the volatility, especially within longer holding period. Therefore, without the great ability to forecast the variance, the LETFs are not recommended to the long-term investors.
Reference:	Cheng, Minder, and Ananth Madhavan, (2009). The Dynamics of Leveraged and Inverse Exchange- Traded Funds. Journal of Investment Management 7, 43-62. Financial Supervisory Commission (FSC), (2015). 2015 Annual Report R.O.C. Joanne M.Hill and George O.Foster, (2009). Understanding Returns of Leveraged and Inverse Funds and Examining Performance over Time. IEOR Columbia, 10-16. Lu, Lei, Jun Wang and Ge Zhang, (2009). Long-term Performance of Leveraged ETFs. Working paper, SSRN. Little, P.K., (2010). Inverse and Leveraged ETFs: Not Your Father’s ETF. The Journal of Index Investing, 1, pp. 83-89. Marco Avellaneda, Stanley Zhang, (2009). Path-Dependence of Leveraged ETF Returns. Society for Industrial and Applied Mathematics, 2, 586-596. Richard Co, (2009). Leveraged ETFs vs. Futures: Where Is the Missing Performance? CME Group Research & Product Development, 1-4. Robert Murphy and Colby Wright, (2010). An Empirical Investigation of the Performance of Commodity-Based Leveraged ETFs. Journal of Index Investing, 3, 14-23 Trainor, W.J., and E. Baryla, (2008). Leveraged ETFs: A Risky Double That Doesn’t Multiply by Two. Journal of Financial Planning, 21 , 48-55. Trainor, W.J., (2011). Solving the Leveraged ETF Compounding Problem. Journal of Index Investing, 21, 1-9.
Description:	碩士國立政治大學財務管理研究所 104357007
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0104357007
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

Files in This Item:

File	Size	Format
700701.pdf	664Kb	Adobe PDF2	318	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback