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| Title: | 衡量臺灣證券市場上槓桿及反向指數股票型基金之績效
Evaluating the Performance of Leveraged and Inverse Exchange-Traded Funds in Taiwanese Stock Market |
| Authors: | 彭思涵 |
| Contributors: | 林信助
彭思涵 |
| Keywords: | 槓桿及反向指數股票型基金
管理績效
追蹤誤差
複利效果
融資效果
Leveraged and Inverse ETF
funds performance
tracking error
compounded effect
financing effect |
| Date: | 2016 |
| Issue Date: | 2016-08-02 15:50:33 (UTC+8) |
| Abstract: | 本文以臺灣證交所上市的前九檔槓桿及反向指數股票型基金(LETFs)作為 樣本,根據 Charupat and Miu(2014)研究方法衡量其績效。傳統衡量指數股票 型基金(ETFs)績效的方式,為單純將基金淨值報酬對指數累積報酬做簡單迴 歸,若將此方法應用在衡量 LETFs 之績效上,由於許多影響基金淨值報酬的因素 沒被分離出來,常造成迴歸結果存在嚴重偏誤,或是難以解釋。本文是第一篇研 究國內 LETFs 績效的著作,透過在迴歸式中納入複利效果、融資效果,以更精確 的方式比較分析影響 LETFs 基金淨值報酬的因素,及各 LETFs 之管理績效。本 文實證結果除了證實融資效果確實存在,也證實大部分複利效果及融資效果的理 論性質,最重要的是,顯示出追蹤上証 180 指數的三檔 LETFs 在準確複製報酬槓 桿倍數上比較傑出,而追蹤台灣 50 指數的三檔 LETFs 在基金管理效率方面有比 較優秀的表現。
Using Leveraged and Inverse Exchange-Traded Funds (LETF) listed in the Taiwan Stock Exchange, this thesis evaluates the performance of these LETFs based on the methodology proposed by Charupat and Miu (2014). The traditional approach of performance evaluation of ETFs is to regress the fund’s net asset value (NAV) returns on the underlying index’s returns. However, such an approach fails to account for important factors, such as compounding and financing effects, that affect the NAV of the LETFs, and unavoidably leads to serious estimation biases. This is the first thesis which evaluates the performance of LETFs listed in the Taiwan Stock Exchange. By considering compounded effect and financing effect in the regression model, the proposed method is more precise and appropriate in disentangling factors that affect the performance of the LETFs. Our empirical evidence shows how compounding effect, financing costs, and management factors influence LETFs’ tracking errors. Most of all, the three LETFs tracking the SSE180 index have the best tracking ability of the underlying asset return, while the LETFs tracking the FTSE TWSE Taiwan 50 index have the best management performance among all LETFs examined in this these. |
| Reference: | N, Charupat. and P. Miu, 2011. The pricing and performance of leveraged exchange-traded funds, Journal of Banking and Finance 35, 966–977.
N, Charupat. and P. Miu, 2013. The pricing efficiency of leveraged exchange- traded funds: Evidence from the U.S. markets, Journal of Financial Research 36, 253–278.
N, Charupat. and P, Miu. 2014. A New Method to Measure the Performance of Leveraged Exchange-Traded Funds, The Financial Review, 49, 735-763.
Co, R., 2009. Leveraged ETFs vs. futures: Where is the missing performance? Chicago Mercantile Exchange research paper, CME Group.
Elton, E.J., M.J. Gruber, G. Comer, and K. Li, 2002. Spiders: Where are the bugs? Journal of Business 75(3), 453–472.
Frino, A. and D.R. Gallagher, 2001. Tracking S&P 500 index funds, Journal of Portfolio Management 28(1), 44–55.
Gastineau, G.L., 2004. The benchmark index ETF performance problem, Journal of Portfolio Management 30(2), 96–103.
Lu, L., J. Wang, and G. Zhang, 2009. Long term performance of leveraged ETFs. Working paper, SSRN.
Newey, W.K. and K.D. West, 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55(3), 703–708.
Shum, P.M. and J. Kang, 2013. Leveraged and inverse ETF performance during the financial crisis, Managerial Finance 39(5), 467–508. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
103351039 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103351039 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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| 103901.pdf | 1234Kb | Adobe PDF2 | 223 | View/Open |
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