槓桿型ETF追蹤誤差之成因分析與實證探討──以台灣50槓桿型ETF為例

Source Analysis and Empirical Study for Tracking Error Involving in the Leveraged ETF -Evidences from Taiwan 50 Leveraged ETF

跟隨國際發展趨勢，台灣也於2014年推出槓桿型ETF上市交易，槓桿型ETF主要用以進行短期槓桿投機與避險交易，並且利用每日再平衡操作（daily rebalancing）以達成目標倍數報酬，儘管如此，槓桿型ETF仍然存在某些追蹤誤差（tracking error）而導致其實際報酬率偏離預設目標倍數。追蹤誤差主要源起於複利效果及ETF價格與標的資產價格變動不同步（非複利效果），本研究深入探究與分析槓桿型ETF追蹤誤差之成因性質與結構。
同時，本研究選取台灣50正向二倍與反向一倍ETF作為實證研究對象，並進行長達9年之實證研究，最後，實證發現整體來看複利效果產生之追蹤誤差約佔40%，而非複利效果產生之追蹤誤差約佔60%。另外，標的資產價格波動度分別顯著負向與正向影響正向二倍與反向一倍ETF的總追蹤誤差及複利效果追蹤誤差，標的資產日平均報酬率則分別顯著負向與正向影響總追蹤誤差及非複利效果追蹤誤差。這些實證發現應對於槓桿型ETF之發行與管理機構及投資人具備實務參考價值。

Following the international development tendency, leveraged ETFs have also been listed and traded in 2014 in Taiwan. Leveraged ETFs are mainly used for short-term leveraged speculation and hedging trades. Moreover, leveraged ETFs implement the daily rebalancing to achieve the target multiple return. Nevertheless, there is still a certain tracking error and thus results in the real return rate of leveraged ETFs to deviate from their presetting target multiples. Tracking error is mainly generated by the compounding effect and the fact that the ETF price is not synchronized with the price of the underlying asset (non-compounding effect), and this study deeply explores and analyzes the nature and cause structure involving the tracking error for leveraged ETFs. At the same time, this study takes the T50 2X and T50 -1X as the empirical samples, and conducts empirical study for 9 years. Finally, it is empirically found that, overall, the tracking error generated by the compounding effect and non-compounding effect accounts respectively for about 40% and for about 60%. In addition, the price volatility of the underlying asset significantly positively and negatively impacts on the total tracking error and compounding effect tracking error of the T50 2X and T50 -1X, respectively. While, the average daily return rate of the underlying assets has a significant negative and positive impact on the total tracking error and non-compounding effect tracking error, respectively. These empirical findings should have practicable reference value for the leveraged ETFs issuers and managers, and investors.