槓桿型及反向型ETFs擇時能力之實證研究

The Empirical Research of Timing Ability on Leveraged and Inversed ETFs

陳建華(Chien-Hua Chen)；徐玥圓(Yueh-Yuan Hsu)；段旭銘(Syu-Ming Duan)

擇時能力 ； 槓桿型與反向型ETFs ； MA技術指標組合策略 ； Timing Ability ； Leveraged and Inversed ETFs ； MA Technical Indicators Strategy

明新學報

41卷2期（2015 / 08 / 01）

79 - 94

繁體中文

本文擇時設定MA（Moving Average）短天期（1～10）與長天期（10～60）交叉買進賣出策略，操作標的為元大寶來公司於2014 年10 月31 日發行台灣首檔槓桿型ETF（T50正2）與反向型ETF（T50反1），運用MatLab數學軟體程式跑出最佳之MA技術指標組合。進一步分析槓桿型ETF（T50正2）與反向型ETF（T50反1）之個別績效與操作價值。此外還探討金融海嘯時期對操作策略之影響。研究結果顯示：（1）經由方案一至方案四中依序挑選出來的MA技術指標組合（5,59）、（1,59）、（1,59）、（1,57），即使在考慮交易成本的前提下，績效都可擊敗大盤基準Benchmark。（2）在509個樣本中若只做空，其損益績效僅有3個為正值，且正值最高僅12,607，故即使擇時採用最佳MA技術指標組合操作反向型ETF（T50反1），亦很難獲得明顯的超額報酬。（3）經由綜合判斷出最佳的MA 技術指標組合（1,59），在509個指標組合中，無論方案一至方案四，排名都穩定在前兩名以內，在四種情境中穩定性最佳，且獲利明顯超越大盤基準Benchmark，交易次數為平均每年11.5次，每次平均持有天數為24.0天，頗符合穩健型操作策略之要求。（4）經過適當擇時篩選出的最佳的MA技術指標組合（1,59），實證在台灣操作槓桿型ETF（T50正2），的確可以有效獲得超額報酬。

Buying and selling strategies are set as MA (Moving Average) short-day period (1 to 10) and the long-day period (10 to 60). Operations subject to Yuanta Polaris issued the first leveraged ETF and reversed ETF on October 31, 2014. Applying MatLab, the mathematical software program, run the best combination of technical indicators MA. Further to analyze the leveraged ETF, reversed ETF the individual performance and operational value. And also explore the impact of the Financial tsunami on the operating strategy of the period. The results show that, 1. Even considering transaction costs, the combination of technical indicators MA selected (5, 59), (1, 59), (1, 59) and (1, 57) from case1 to case 4, can beat the market benchmark. 2. In short strategy, among 509 samples, only 3 of them is positive, and the highest profit is only 12,607, so it's difficult to obtain significant excess returns as operating reversed ETF. 3. Through a comprehensive judgment, the best combination of technical indicators is MA (1, 59). It has the best stability of the four cases and ranked within the top three. The average number of transactions per year is 11.7 times and 23.9 holding-days which is in line with the requirements of steady operating strategy. 4. Through the appropriate choice, the best combination of technical indicators MA is (1, 59). It can indeed be effective to obtain excess returns from empirical operating leveraged ETF in Taiwan.

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