指數型基金之創建與實踐 以臺灣市場為範例

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/33487

Title:	指數型基金之創建與實踐以臺灣市場為範例 The Building and Practice of Homemade Index Fund
Authors:	陳鎮平
Contributors:	財務金融學系
Keywords:	指數型基金聰明Beta 策略貝他資產配置指數股票型證券投資信託基金 index fund smart beta strategic beta asset allocation exchange traded funds
Date:	2016-06
Issue Date:	2016-08-11 09:34:46 (UTC+8)
Abstract:	近年來「Smart Beta」的概念興起，讓舊有的議題指數基金的建立有了新的的面貌，已不僅僅侷限在加權法、抽樣法、分層法等傳統為了複製指數的追蹤方式，而更有著新興概念包含在裡面，使得指數化策略具有「超越大盤的能力」。本篇論文主要是提出一項方法論，其概念是在傳統的指數化策略中融入「主動化的選股條件」，而使用的選股方式是將臺灣加權指數的報酬率分解，分解至多個因子上(市場、國家、行業、風格因子)進一步選出目前最為強勢的因子做為配置的篩選條件，創造出一個「界於主動選股與被動追蹤之間的指數型基金」。最後，本篇論文結論發現融入選股策略的指數型基金，其在報酬率方面顯著的比傳統指數型基金更有優良表現。另一方面，在建設指數型基金的成本也低於傳統指數型基金。因此在報酬率以及成本的雙重優勢下，使得本篇指數化策略具有「超越大盤的能力」。 The purpose of the study was to build a automated selecting strategy to reach both benefit from mutual funds and ETF. The criterion is based on rate of return of Tai-wan Stock Exchange Weighted Index (TWSE) to divide into multiple effective factors (market, country, industry, style factor), using these factors as a filters automatically se-lecting qualified equities or indexes to establish a core portfolio between active and pas-sive management. Finally, we found that portfolio with automated selecting strategy had better performance than traditional index strategy in the rate of return and showed the advantage of lower cost. Therefore, this strategy demonstrate that it provide low-cost, well-diversified options and outperforming for a core portfolio holding.
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