| dc.contributor | 國貿系 | |
| dc.creator (作者) | 林信助 | |
| dc.date (日期) | 2017-10 | |
| dc.date.accessioned | 12-May-2026 15:55:12 (UTC+8) | - |
| dc.date.available | 12-May-2026 15:55:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-May-2026 15:55:12 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182498 | - |
| dc.description.abstract (摘要) | 槓桿型或反向型交易所交易基金（以下統稱為LETFs）是一種公開交易，並承諾提供每日追蹤標的指數正向或負向倍數報酬率(扣除有關費用及開支前)之基金。自從元大證券投資信託於2014年10月在台灣的證券市場推出的第一組LETFs以來，截至2015年12月為止，陸陸續續也有其它八檔LETFs在台灣證券交易所（TWSE）發行交易。LETFs儼然已經成為交易所交易基金家族不可或缺的重要組成成分。隨著LETFs在台灣證券市場的發展日益成熟，足供使用的歷史交易資料也越來越豐富，我們認為現在正是針對LETFs的績效進行有系統性檢視的一個好的時機。具體來說，本研究計畫徹底檢視在台灣證交所發行的所有LETFs的追踪誤差，並仔細研究這些追踪誤差將如何受到管理因子，複利效應，以及融資成本的影響。我們最終的目標是希望能夠建立一些指標來比較在台灣證券交易所上市交易的各檔LETFs之管理績效。這樣的指標，不僅證券監理機關會對其感到興趣，也應有助於廣大投資者對LETF產品有更好的瞭解。 | |
| dc.description.abstract (摘要) | A leveraged or inverse exchange-traded fund (hereafter, collectively referred to as LETFs) is a publicly traded fund that promises to provide daily returns that are in a multiple (positive or negative) of the returns on an index before fees and expenses. Since Yuanta Securities Investment Trust introduced the first pair of LETFs to Taiwan's security market in October, 2014, there have already been eight other LETFs launched and traded on the Taiwan Stock Exchange (TWSE) as of December 2015. Apparently, LETFs have increasingly become integral parts of the exchange-traded-fund family. As the LETF market has grown more mature on Taiwan's security market and hence the availability of ample historical trade-data on LETFs, we feel that it is high time to have a systematic investigation of their performance. Specifically, this research proposes to thoroughly examine tracking errors of all LETFs traded on the TWSE, and scrutinize how those tracking errors may be affected by management compounding effect, and financing costs. Ultimately, we hope to produce some metrics to compare the management efficiency of various LETFs traded on the TWSE. Such metrics would certainly be of great interest to the supervisory commission and investors in general, and should contribute to better understanding of the LETF products. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST105-2410-H004-061, 105.08-106.07 | |
| dc.subject (關鍵詞) | 交易所交易基金; 槓桿; 追踪誤差 | |
| dc.subject (關鍵詞) | Exchange-Traded Funds; Leverage; Tracking Errors | |
| dc.title (題名) | 台灣槓桿型及反向型交易所交易基金之績效研究 | |
| dc.title (題名) | Examining the Performance of Leveraged and Inverse Exchange-Traded Funds in Taiwan | |
| dc.type (資料類型) | report | |
