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題名 ETFs 風險歸因分析：以台灣股票市場為例
Risk Attribution of ETFs in Taiwan Stock作者 張文蓉
Chang, Wen-Jung貢獻者 郭維裕
Kuo, Wei-Yu
張文蓉
Chang, Wen-Jung關鍵詞 ETF
風險歸因
集中度風險
市場集中度
多角化限制
X-Sigma-Rho模型
ETF
risk attribution
concentration risk
market concentration
diversification restrictions
X-Sigma-Rho model日期 2024 上傳時間 4-Sep-2024 15:29:13 (UTC+8) 摘要 近二十年來，由於財務工程的進步、金融法規的鬆綁及投資環境的自由化，金融創新為市場和投資人帶來了新的投資商品及工具，以滿足不同類型投資人對於投資、避險及套利的需求。ETF 在眾多衍生性金融商品中，成為成長最快速的投資工具之一。截至 2024 年 3 月底，台灣的 ETF 市場規模已達 4.73 兆元，占整體投信基金規模的 61.08%，顯示出 ETF 在台灣市場的高度接受度和快速增長。 研究發現，ETF 因其低交易成本和高流動性，已成為台灣投資者最親睞的投資工具之一。然而，由於 ETF 的結構複雜，涉及不同資產類別和投資策略，並且近年來在風險多角化上出現許多限制，這使得投資者面臨的風險也隨之增加。本文旨針對台灣成立超過十年的國內股票型 ETF 進行風險歸因分析，將運用 X-Sigma-Rho 模型，分析 11 檔 ETF 的投資組合在持股及產業上的風險貢獻度，以提供對投資組合風險來源的洞見。 本研究結果顯示，在這 11 檔 ETF 中，有 9 檔 ETF 存在明顯的集中度風險。並且，市值型 ETF集中度風險相對高於非市值型 ETF，因其高度受到市場集中程度所支配。以0050 及 006208 為例，兩者風險都高度集中於股票台積電及電子工業，因台灣市場在一定程度上過度依賴半導體產業所致。因此，市值型 ETF 相比非市值型 ETF，有較高的集中度風險。若投資人欲趨避此集中度風險，建議其配置非市值型 ETF。
In the past two decades, due to the progress of financial engineering, the loosening of financial regulations and the liberalization of the investment environment, financial innovation has brought new investment products and tools to the market and investors to meet the needs of different types of investors for investment and risk hedging. and arbitrage needs. ETFs have become one of the fastest-growing investment tools among many derivative financial products. As of the end of March 2024, Taiwan's ETF market size has reached 4.73 trillion yuan, accounting for 61.08% of the overall investment fund size, showing the high acceptance and rapid growth of ETFs in the Taiwan market. Research has found that ETFs have become one of the most popular investment tools among Taiwanese investors due to their low transaction costs and high liquidity. However, due to the complex structure of ETFs involving different asset classes and investment strategies, and the many restrictions on risk diversification that have emerged in recent years, the risks faced by investors have also increased. The purpose of this article is to conduct a risk attribution analysis on Taiwan's domestic stock ETFs that have been established for more than ten years. The X-Sigma-Rho model will be used to analyze the risk contributions of the investment portfolios of 11 ETFs in terms of holdings and industries, so as to provide investment insights. Insights into sources of portfolio risk. The results of this study show that among these 11 ETFs, 9 ETFs have obvious concentration risks. Moreover, the concentration risk of market capitalization ETFs is relatively higher than that of non-market capitalization ETFs because they are highly dominated by market concentration. Taking 0050 and 006208 as examples, the risks of both are highly concentrated in TSMC and the electronics industry, due to the Taiwan market's over-reliance on the semiconductor industry to a certain extent. Therefore, market capitalization ETFs have higher concentration risk than non-market capitalization ETFs. If investors would like to avoid this concentration risk, it is recommended that they allocate non-market capitalization ETFs.參考文獻 台灣ETF成長率世界第一，風險根本沒分散，上傳日期 2024 年 3 月15 日，檢自: https://www.cw.com.tw/article/5129639?from=search 林靖中（2005），台灣50 指數股票型基金（ETF）對標的指數成分股之影響，未出版碩士論文，國立成功大學，企業管理學系，台南市 因應近期ETF規模持續成長，金管會協同周邊單位再精進ETF監理措施，以維護投資人權益，上傳日期 2024 年 4 月30 日，檢自: https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202404300005&dtable=News A Brief History of Exchange-Traded Funds, Retrieved June 07 2024, from: https://www.investopedia.com/articles/exchangetradedfunds/12/brief-history-exchange-traded-funds.asp Baigent, G. C, (2014). X-Sigma-Rho and Market Efficiency, Journal of Economic & Financial Studies, 02(02), 41-44. Bogle, J. C. (2019). Bogle sounds a warning on index funds, Retrieved November 29 2018, from: https://www.wsj.com/articles/bogle-sounds-a-warning-on-index-funds-1543504551 Davis, B., and Menchero, J., (2012). The alpha and beta of risk attribution. The Journal of Portfolio Management, 38(02), 99-107. Duarte Neves, M. E., Fernandes, C. M., and Martins, P. C, (2019). Limitations of ETF Risk Diversification. Borsa Istanbul Review, 19(2), 149-157. Elton, E. M., Gruber, M., and Padberg, M., (1978). Simple criteria for portfolio selection: Tracing out the efficient frontier. Journal of Finance, 33(01), 296-302. ETFs are eating the U.S. stock market, Retrieved January 25 2017, from: https://www.ft.com/content/6dabad28-e19c-11e6-9645-c9357a75844a ETFs 2026: The next big leap, Retrieved 2022, from: https://www.pwc.com/gx/en/industries/financial-services/publications/etf-2026-the-next-big-leap.html Fang, L., Jiang, H., Sun, Z., Yin, X., & Zheng, L. (2023). Limits to Diversification: Passive Investing and Market Risk. Manuscript in preparation. Gorton, G.B. and G.G. Pennacchi, (1993), Security baskets and index-linked securities, Journal of Business 66, 1-27. Greenwood, R., and Thesmar, D. (2011). Stock Price Fragility. Harvard Business School Research Paper, No. 1490734. Hansson, M., and Perers, O., (2018). ETF ownership and the volatility of US stocks, University of Gotheborg, Sweden. Is the S&P 500 Too Concentrated? by Goldman Sachs, Retrieved March 21 2024, from: https://www.goldmansachs.com/intelligence/pages/is-the-sp-too-concentrated.html Liang, N., (1989). Bank Profits, Risk, and Local Market Concentration, Journal of Economics and Business, 41(4), 297-305. Markowitz, and Harry, (1952). The Journal of Finance, vol. 7, no. 1, 1952, pp. 77-91. Meucci A., (2009). Managing Diversification, Risk , volume 22 , p. 74 – 79. Menchero, J., and Andrei M., (2011). Decomposing Global Equity Cross-Sectional Volatility, Financial Analysts Journal, vol. 67, no. 5: 58-67. Menchero, J., and Davis, B. (2011). Risk contribution is exposure time's volatility time's correlation: Decomposing risk using the x-Sigma-rho formula. The Journal of Portfolio Management, 37(2), 97-106. Menchero, J, and Junmin Hu, (2006). Portfolio Risk Attribution, The Journal of Performance Measurement, vol. 10 No. 3, pp. 22-33. Slime, B. (2016). Credit Name Concentration Risk: Granularity Adjustment Approximation. Journal of Financial Risk Management, 5(4), 246-263. Sharpe, W. F., (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(03), 425-442. Yousefi, H., and Najand, M, (2022). Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic. International Review of Financial Analysis, 83, 102261. Zhang, J., Jiang, C., Qu, B., and Wang, P. (2013). Market concentration, risk-taking, and bank performance: Evidence from emerging economies. International Review of Financial Analysis, 30, 149-157. 描述 碩士
國立政治大學
國際經營與貿易學系
111351037資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111351037 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 張文蓉 zh_TW dc.contributor.author (Authors) Chang, Wen-Jung en_US dc.creator (作者) 張文蓉 zh_TW dc.creator (作者) Chang, Wen-Jung en_US dc.date (日期) 2024 en_US dc.date.accessioned 4-Sep-2024 15:29:13 (UTC+8) - dc.date.available 4-Sep-2024 15:29:13 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2024 15:29:13 (UTC+8) - dc.identifier (Other Identifiers) G0111351037 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153495 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 111351037 zh_TW dc.description.abstract (摘要) 近二十年來，由於財務工程的進步、金融法規的鬆綁及投資環境的自由化，金融創新為市場和投資人帶來了新的投資商品及工具，以滿足不同類型投資人對於投資、避險及套利的需求。ETF 在眾多衍生性金融商品中，成為成長最快速的投資工具之一。截至 2024 年 3 月底，台灣的 ETF 市場規模已達 4.73 兆元，占整體投信基金規模的 61.08%，顯示出 ETF 在台灣市場的高度接受度和快速增長。 研究發現，ETF 因其低交易成本和高流動性，已成為台灣投資者最親睞的投資工具之一。然而，由於 ETF 的結構複雜，涉及不同資產類別和投資策略，並且近年來在風險多角化上出現許多限制，這使得投資者面臨的風險也隨之增加。本文旨針對台灣成立超過十年的國內股票型 ETF 進行風險歸因分析，將運用 X-Sigma-Rho 模型，分析 11 檔 ETF 的投資組合在持股及產業上的風險貢獻度，以提供對投資組合風險來源的洞見。 本研究結果顯示，在這 11 檔 ETF 中，有 9 檔 ETF 存在明顯的集中度風險。並且，市值型 ETF集中度風險相對高於非市值型 ETF，因其高度受到市場集中程度所支配。以0050 及 006208 為例，兩者風險都高度集中於股票台積電及電子工業，因台灣市場在一定程度上過度依賴半導體產業所致。因此，市值型 ETF 相比非市值型 ETF，有較高的集中度風險。若投資人欲趨避此集中度風險，建議其配置非市值型 ETF。 zh_TW dc.description.abstract (摘要) In the past two decades, due to the progress of financial engineering, the loosening of financial regulations and the liberalization of the investment environment, financial innovation has brought new investment products and tools to the market and investors to meet the needs of different types of investors for investment and risk hedging. and arbitrage needs. ETFs have become one of the fastest-growing investment tools among many derivative financial products. As of the end of March 2024, Taiwan's ETF market size has reached 4.73 trillion yuan, accounting for 61.08% of the overall investment fund size, showing the high acceptance and rapid growth of ETFs in the Taiwan market. Research has found that ETFs have become one of the most popular investment tools among Taiwanese investors due to their low transaction costs and high liquidity. However, due to the complex structure of ETFs involving different asset classes and investment strategies, and the many restrictions on risk diversification that have emerged in recent years, the risks faced by investors have also increased. The purpose of this article is to conduct a risk attribution analysis on Taiwan's domestic stock ETFs that have been established for more than ten years. The X-Sigma-Rho model will be used to analyze the risk contributions of the investment portfolios of 11 ETFs in terms of holdings and industries, so as to provide investment insights. Insights into sources of portfolio risk. The results of this study show that among these 11 ETFs, 9 ETFs have obvious concentration risks. Moreover, the concentration risk of market capitalization ETFs is relatively higher than that of non-market capitalization ETFs because they are highly dominated by market concentration. Taking 0050 and 006208 as examples, the risks of both are highly concentrated in TSMC and the electronics industry, due to the Taiwan market's over-reliance on the semiconductor industry to a certain extent. Therefore, market capitalization ETFs have higher concentration risk than non-market capitalization ETFs. If investors would like to avoid this concentration risk, it is recommended that they allocate non-market capitalization ETFs. en_US dc.description.tableofcontents 謝詞 i 摘 要 ii Abstract iii 目次 iv 圖次 v 表次 vi 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 1 第三節 研究架構 2 第二章 文獻回顧 3 第一節 ETF 優勢與趨勢 3 第二節 集中度風險 7 第三節 風險歸因分析 9 第三章 研究資料與方法 12 第一節 研究方法 12 第二節 模型設定 12 第四章 研究結果與分析 15 第一節 研究結果簡介 15 第二節 11檔 ETF 成分股風險貢獻度 17 第三節 3 檔 ETF 成分股風險貢獻度 25 第五章 結論與建議 42 第一節 結論 42 第二節 限制與建議 42 參 考 文 獻 44 zh_TW dc.format.extent 1537758 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111351037 en_US dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) 風險歸因 zh_TW dc.subject (關鍵詞) 集中度風險 zh_TW dc.subject (關鍵詞) 市場集中度 zh_TW dc.subject (關鍵詞) 多角化限制 zh_TW dc.subject (關鍵詞) X-Sigma-Rho模型 zh_TW dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) risk attribution en_US dc.subject (關鍵詞) concentration risk en_US dc.subject (關鍵詞) market concentration en_US dc.subject (關鍵詞) diversification restrictions en_US dc.subject (關鍵詞) X-Sigma-Rho model en_US dc.title (題名) ETFs 風險歸因分析：以台灣股票市場為例 zh_TW dc.title (題名) Risk Attribution of ETFs in Taiwan Stock en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 台灣ETF成長率世界第一，風險根本沒分散，上傳日期 2024 年 3 月15 日，檢自: https://www.cw.com.tw/article/5129639?from=search 林靖中（2005），台灣50 指數股票型基金（ETF）對標的指數成分股之影響，未出版碩士論文，國立成功大學，企業管理學系，台南市 因應近期ETF規模持續成長，金管會協同周邊單位再精進ETF監理措施，以維護投資人權益，上傳日期 2024 年 4 月30 日，檢自: https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202404300005&dtable=News A Brief History of Exchange-Traded Funds, Retrieved June 07 2024, from: https://www.investopedia.com/articles/exchangetradedfunds/12/brief-history-exchange-traded-funds.asp Baigent, G. C, (2014). X-Sigma-Rho and Market Efficiency, Journal of Economic & Financial Studies, 02(02), 41-44. Bogle, J. C. (2019). Bogle sounds a warning on index funds, Retrieved November 29 2018, from: https://www.wsj.com/articles/bogle-sounds-a-warning-on-index-funds-1543504551 Davis, B., and Menchero, J., (2012). The alpha and beta of risk attribution. The Journal of Portfolio Management, 38(02), 99-107. Duarte Neves, M. E., Fernandes, C. M., and Martins, P. C, (2019). Limitations of ETF Risk Diversification. Borsa Istanbul Review, 19(2), 149-157. Elton, E. M., Gruber, M., and Padberg, M., (1978). Simple criteria for portfolio selection: Tracing out the efficient frontier. Journal of Finance, 33(01), 296-302. ETFs are eating the U.S. stock market, Retrieved January 25 2017, from: https://www.ft.com/content/6dabad28-e19c-11e6-9645-c9357a75844a ETFs 2026: The next big leap, Retrieved 2022, from: https://www.pwc.com/gx/en/industries/financial-services/publications/etf-2026-the-next-big-leap.html Fang, L., Jiang, H., Sun, Z., Yin, X., & Zheng, L. (2023). Limits to Diversification: Passive Investing and Market Risk. Manuscript in preparation. Gorton, G.B. and G.G. Pennacchi, (1993), Security baskets and index-linked securities, Journal of Business 66, 1-27. Greenwood, R., and Thesmar, D. (2011). Stock Price Fragility. Harvard Business School Research Paper, No. 1490734. Hansson, M., and Perers, O., (2018). ETF ownership and the volatility of US stocks, University of Gotheborg, Sweden. Is the S&P 500 Too Concentrated? by Goldman Sachs, Retrieved March 21 2024, from: https://www.goldmansachs.com/intelligence/pages/is-the-sp-too-concentrated.html Liang, N., (1989). Bank Profits, Risk, and Local Market Concentration, Journal of Economics and Business, 41(4), 297-305. Markowitz, and Harry, (1952). The Journal of Finance, vol. 7, no. 1, 1952, pp. 77-91. Meucci A., (2009). Managing Diversification, Risk , volume 22 , p. 74 – 79. Menchero, J., and Andrei M., (2011). Decomposing Global Equity Cross-Sectional Volatility, Financial Analysts Journal, vol. 67, no. 5: 58-67. Menchero, J., and Davis, B. (2011). Risk contribution is exposure time's volatility time's correlation: Decomposing risk using the x-Sigma-rho formula. The Journal of Portfolio Management, 37(2), 97-106. Menchero, J, and Junmin Hu, (2006). Portfolio Risk Attribution, The Journal of Performance Measurement, vol. 10 No. 3, pp. 22-33. Slime, B. (2016). Credit Name Concentration Risk: Granularity Adjustment Approximation. Journal of Financial Risk Management, 5(4), 246-263. Sharpe, W. F., (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(03), 425-442. Yousefi, H., and Najand, M, (2022). Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic. International Review of Financial Analysis, 83, 102261. Zhang, J., Jiang, C., Qu, B., and Wang, P. (2013). Market concentration, risk-taking, and bank performance: Evidence from emerging economies. International Review of Financial Analysis, 30, 149-157. zh_TW
