投資VT最適合的開槓桿方式? - 投資
By Lauren
at 2023-01-11T10:44
at 2023-01-11T10:44
Table of Contents
最近看到哆啦王討論槓桿成本的文章,才驚覺原來美股在現在急遽升息的環境下,因爲市
場足夠效率,不管透過美元融資、Options、Futures還是LETF,其實都隱含著至少5%以上
的年利率
即便未來FED降息,根據FED給出的長期目標利率仍然有2.5%,如果未來利率真的接近2.5%
,透過上述這些工具仍然會產生至少2.5%以上的年化成本,長期持有下來應該會得到一個
風險報酬比非常糟糕的報酬
http://www.ddnum.com/images/SCHWERTlargechart2.png
http://www.ddnum.com/images/GSPClargechart2.png
於是在思考是否有更適合的開槓方式
一、
鑑於台灣的期貨市場因為市場效率很差,導致長期以來透過台指期長期持有,反而與指數
產生正的偏離,也就是在台灣開槓桿的成本是0%
在美國開槓桿成本高昂,在台灣開槓桿卻幾乎0成本,如此一來兩相比較之下,將一半的
資金買入VT/VWRA,另一半的資金透過台指期開3倍槓桿,來取得一個VT 50%+150%台指的
曝險(也可以台灣的槓桿ETF替換台指期),但這樣相當於過度曝險在台股上,有點在賭
台股未來能持續與全球股市保持高度相關性
可能的風險有:
1.有斷頭風險
2.台股落後全球股市
3.台指期逆價差縮小,甚至是正價差
二、
透過IB借1.5%利率的日圓融資買入兩倍的VT/VWRA,來達成分散全球股市2倍槓桿的曝險
可能的風險有:
1.有斷頭風險
2.日圓升值
—————————————————————————————
雖然上述的風險不可輕忽,然而台股未來會不會表現的比全球股市差、台指期未來逆價差
會不會收斂,又或是日圓未來會不會升值都不是個人可以掌握的
可是承擔每年2.5%以上的成本開兩倍槓桿,以過去美股兩倍槓桿的回測歷史作為參照代價
真的太大了
然而不開槓桿,只投資VT/VWRA等原型ETF,又要承擔生命前期曝險太小,生命後期曝險過
大的時間風險
因而透過低成本的槓桿工具,承擔一部分未知的風險,換取潛在的超額報酬,似乎是比較
適合的槓桿方式,畢竟沒有任何槓桿方式是完美又無風險的
上述的兩個方式哪個比較適合開槓桿分散投資全球股市還是有什麼更適合的方式呢,歡迎
分享想法
ps:
房貸/信貸應該會是個不錯的槓桿方式,但因為前幾年剛房貸買房,所以就不放在選項之
中了
--
場足夠效率,不管透過美元融資、Options、Futures還是LETF,其實都隱含著至少5%以上
的年利率
即便未來FED降息,根據FED給出的長期目標利率仍然有2.5%,如果未來利率真的接近2.5%
,透過上述這些工具仍然會產生至少2.5%以上的年化成本,長期持有下來應該會得到一個
風險報酬比非常糟糕的報酬
http://www.ddnum.com/images/SCHWERTlargechart2.png
http://www.ddnum.com/images/GSPClargechart2.png
於是在思考是否有更適合的開槓方式
一、
鑑於台灣的期貨市場因為市場效率很差,導致長期以來透過台指期長期持有,反而與指數
產生正的偏離,也就是在台灣開槓桿的成本是0%
在美國開槓桿成本高昂,在台灣開槓桿卻幾乎0成本,如此一來兩相比較之下,將一半的
資金買入VT/VWRA,另一半的資金透過台指期開3倍槓桿,來取得一個VT 50%+150%台指的
曝險(也可以台灣的槓桿ETF替換台指期),但這樣相當於過度曝險在台股上,有點在賭
台股未來能持續與全球股市保持高度相關性
可能的風險有:
1.有斷頭風險
2.台股落後全球股市
3.台指期逆價差縮小,甚至是正價差
二、
透過IB借1.5%利率的日圓融資買入兩倍的VT/VWRA,來達成分散全球股市2倍槓桿的曝險
可能的風險有:
1.有斷頭風險
2.日圓升值
—————————————————————————————
雖然上述的風險不可輕忽,然而台股未來會不會表現的比全球股市差、台指期未來逆價差
會不會收斂,又或是日圓未來會不會升值都不是個人可以掌握的
可是承擔每年2.5%以上的成本開兩倍槓桿,以過去美股兩倍槓桿的回測歷史作為參照代價
真的太大了
然而不開槓桿,只投資VT/VWRA等原型ETF,又要承擔生命前期曝險太小,生命後期曝險過
大的時間風險
因而透過低成本的槓桿工具,承擔一部分未知的風險,換取潛在的超額報酬,似乎是比較
適合的槓桿方式,畢竟沒有任何槓桿方式是完美又無風險的
上述的兩個方式哪個比較適合開槓桿分散投資全球股市還是有什麼更適合的方式呢,歡迎
分享想法
ps:
房貸/信貸應該會是個不錯的槓桿方式,但因為前幾年剛房貸買房,所以就不放在選項之
中了
--
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