台灣高股息ETF投資績效與追蹤能力之探討

Investment Performance and Tracking Ability of Taiwan High Dividend ETFs

近年來，台灣的交易所買賣基金(ETF)成長迅速，特別是高股息ETF 深受投資者青睞。本研究以三檔在台灣上市的國內成分證券高股息ETF 為研究對象，探討其投資績效與追蹤能力。研究結果發現，元大高股息ETF (Yuanta 0056)的平均報酬率和風險調整後績效表現為最佳。此外，迴歸分析結果顯示，高股息ETF 不會產生顯著的超額報酬；高股息ETF 的每單位淨值報酬可由各自的標的指數報酬來解釋，然而其市價報酬不僅受到標的指數報酬的影響，還受到加權指數報酬的影響；以市價計算的追蹤誤差大於以淨值計算的追蹤誤差；採用最適化追蹤方式的元大台灣高息低波ETF (Yuanta 00713)之追蹤誤差並非最高。此外，追蹤指數有標榜低波動率的兩檔高股息ETF，其報酬波動非為最低。本文的研究結果有助於學術研究者、投資者以及發行人更加瞭解高股息ETF 的投資績效與追蹤能力。

"Exchange-traded funds (ETFs) have grown rapidly in Taiwan in recent years, specifically, high dividend ETFs have become an increasingly popular choice for investors. This study aims to examine the investment performance and tracking ability of domestic high dividend ETFs listed on Taiwan Stock Exchange. In our sample, Yuanta/P-shares Taiwan Dividend plus ETF (Yuanta 0056) gets the best average return and risk-adjusted performance. Furthermore, our regression results show that high dividend ETFs do not produce any significant excess return (positive or negative). The NAVPS (net asset value per shares) returns of the high dividend ETFs can be explained by the returns of their respective underlying indices. Whereas, the trading price returns are affected not entirely by the returns of underlying indices but also by the returns of the stock market. Tracking error estimators in trading price terms are higher than NAVPS tracking errors. The Yuanta Taiwan High Dividend Low Volatility ETF (Yuanta 00713) that adopts the optimized sampling method to replicate the underlying index does not necessarily have high tracking error. We also find that two high dividend ETFs that track low volatility indices do not inherently have low volatilities. Our findings contribute to a better understanding of the investment performance and tracking ability of high dividend ETFs and are of great relevance to academics, investors as well as the ETF providers."