增值型指數基金在台灣股市之績效研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：42

、訪客IP：3.129.42.71

姓名

張勝原(Sheng-Yuan Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

增值型指數基金在台灣股市之績效研究
(The Performance of Enhanced Index Fund in Taiwan)

相關論文

★ 企業財務預警模型之研究	★ 現金卡授信風險評估之研究
★ 技術分析在台灣股市擇時能力實證 -以停損點反向操作指標(SAR)為例	★ 購併活動與資訊揭露—以公開收購為例
★ 區間價差交易策略-以台灣五十指數ETF為例	★ 私募股權投資管理公司實證研究與個案探討
★ 國際動能策略：國家與產業觀點之探討	★ 基本面指數化策略之實證研究:以台灣股市為例
★ 以日內資料探討臺股期貨交易人之交易績效	★ 證券借貸市場借券費率決定因子：以台灣借券資料之實證
★ 亞洲新興股市報酬預測及金風暴之衝擊	★ 國際資產配置與投資期限、資產種類關係之實證
★ 台灣上市公司之外匯風險因子與金融風暴前後之變化	★ 兩狀態下的國際資產配置-馬可夫轉換模型之應用
★ 台灣銀行業外匯暴險及其影響因子之研究	★ 新興市場選股策略之研究-以台灣電子股為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究採用Lo(2008)所使用的五大策略類別，包括:價值、成長、動能、獲利及技術指標策略作為選股篩選的依據。在控制追蹤誤差於2%以下，求得使預期報酬Z-score極大化的資產配置，並在1999年3月到2009年12以月頻率建構使用不同策略的增值型指數基金。本研究目標除了檢視各種策略所建構的增值型指數基金在台灣市場的績效表現，同時也提供給未來有意發行此被動操作型態基金的證券商作為參考依據。其相關結論如下:除了價格動能策略，以傳統價值策略、相對價值策略、歷史成長策略、獲利趨勢策略、銷貨加速策略、價格反轉策略及小公司策略所建構的增值型指數基金年化平均報酬率優於台灣加權股價指數。在考量風險後，檢視各策略夏普比率，傳統價值策略、相對價值策略、價格反轉策略及小公司策略同時優於台灣加權股價指數及自建標竿指數。各策略資訊比率最高前三名依序為價格反轉策略、傳統價值策略及小公司策略。新的合成策略績效表現在年化平均報酬率優於台灣加權股價指數2.41%，各策略Z-score因等權重加總而弱化其預測性的現象並不顯著。

摘要(英)

In this paper, We adopt Lo(2008) using simple factors, include value, growth, profitability, momentum, and technical factors, to rank stocks and standard methods for constructing enhanced index funds based on these rankings. The investment goal of enhanced index funds is to acquire more returns than benchmark and restrict the tracking error less than 2 percent. The portfolios using different strategies rebalance on a monthly basis. The empirical results show that: (1) Except for the price momentum strategy, the performance of enhanced index funds built from traditional value factor, relative value factor, historical growth factor, profit trends factor, accelerating sales factor, price reversal factor, and small size factor do better than Taiwan Capitalization Weighted Stock Index(TWSI) and the benchmark we construct in the paper in average yearly returns. (2) Examining the Sharp ratio of all strategies, we find traditional value factor, relative value factor, price reversal factor, sales accelerating factor and small size factor do better than TWSI and the benchmark which we construct. (3) Considered the information ratio, The top three are the enhanced fund built from price reversal factor, traditional value factor and small size factor. (4) The average yearly return from the enhanced index built from composite strategy is higher than TWSI by 2.41 percent .

關鍵字(中)

★ 自建標竿指數
★ 追蹤誤差
★ 增值型指數基金
★ 台灣加權股價指數

關鍵字(英)

★ Taiwan stock index
★ tracking error
★ enhanced index fund
★ benchmark

論文目次

目　　　　錄
中文摘要 ………………………………………………………… i
英文摘要 ………………………………………………………… ii
誌謝 ………………………………………………………… iii
目錄 ………………………………………………………… iv
圖目錄 ………………………………………………………… v
表目錄 ………………………………………………………… vi
一、緒論…………………………………………………… 1
1-1 研究動機……………………………………………… 1
1-2 研究目的…………………………………………………… 3
1-3 研究架構…………………………………………………… 3
二、文獻回顧……………………………………………… 4
2-1 增值型指數基金…………………………………………… 4
2-2 指數型基金的建構方法…………………………………… 8
三、研究方法……………………………………………… 9
3-1 研究對象與資料來源……………………………………… 9
3-2 變數選取及處理方法……………………………………… 9
3-3 增值型指數基金之建構與再調整………………………… 17
3-4 績效評估指標……………………………………………… 18
四、實證結果分析………………………………………… 21
4-1 策略績效表現……………………………………………… 21
4-2 價值因子群組……………………………………………… 22
4-3 成長因子群組……………………………………………… 26
4-4 獲利因子群組……………………………………………… 28
4-5 動能因子群組……………………………………………… 32
4-6 技術面因子群組…………………………………………… 34
4-7 合成策略…………………………………………………… 38
4-8 小節………………………………………………………… 41
五、結論與建議…………………………………………… 42
5-1 結論………………………………………………………… 42
5-2 後續研究建議……………………………………………… 43
參考文獻 ………………………………………………………… 44

參考文獻

參考文獻
1.Alex Frino, David R. Gallagher, Teddy N. Oetomo, The index tracking strategies of passive and enhanced index equity fund, 2005, Australian Journal of Management,30.
2.Andrews, C., D. Ford & K. Mallison, 1986, The design of index funds and alternative replication, The Investment Analysis, October, 16-23.
3.Arnott, R., J. Hsu, and P. Moore, 2005, Fundamental indexation, Financial Analysts Journal 61, 83-99.
4.Collins, B. M. and F. J. Fabozzi (1989), Portfolio and Investment Management, Probus Publishing Company, 183-200.
5.DiBartolomeo, D., 2000, The enhanced index fund as an alternative to indexed equity management. Working paper, Northfield Information Services, Boston, MA.
6.Elton, E. J., M. J. Gruber, S. Das and M. Hlavka, 1993, Efficiency with costly information: a reinterpretation of evidence from managed portfolios, Review of Financial Studies, 6 (1), 1-22.
7.Fama, Eugene F. and Kenneth, R. French ,1996, Multifactor explanations of asset pricing anomalies, Journal of Finance, 51, 55-84.
8.Grinold, R. and R. Kahn, 2000. Active Portfolio Management (McGraw-Hill, New York).
9.Hsu, Jason, 2006, Cap-Weighted Portfolios are Sub-optimal Portfolios, Journal of Investment Management, 4(3), 1–10.
10.Meckel, T. S. and T. Miller (1999), Beating index funds with derivatives, Journal of Portfolio Management, 25 (5), 75-87.
11.Jensen, Michael C., 1968,The performance of mutual funds in the period of mutual fund 1945-1964 , Journal of Finance 23, 389-416.
12.Jorion, P. , 2002, Enhanced index funds and tracking error optimization, Working paper, University of California at Irvine.
13.Jorion, P. , 2003, Portfolio optimization with tracking-error constraints, Financial Analysts Journal, 59 (5), 70-82.
14.Lee, C. and S. Rahman, 1990, Market timing,selectivity, and mutual fund performance:an empirical investigation, Journal of Business, 63, 261-278.
15.Lo, Andrew W., and Pankaj N. Patel, 2008, 130/30: The new long-only, Journal of Portfolio Management 34, 12-38.
16.Malkiel, B. G. ,1995, Returns from investing in equity mutual funds, 1971-1991,Journal of Finance, 50, 549-572.
17.Patel, P., H. Barefoot, S. Yao, and R. Carlson, 2007a, Achieving higher alpha,Technical report, Credit Suisse Quantitative Equity Research.
18.Patel, P., H. Barefoot, S. Yao, and R. Carlson, 2007b, Achieving higher alpha (Part 2),Technical report, Credit Suisse Quantitative Equity Research.
19.Rudd, A. ,1980, Optimal selection of passive portfolios, Financial Management, 4, 57-66.
20.Parvez Ahmed, Sudhir Nanda, 2005, Performance of enhanced index and Quantitative Equity Funds, The Financial Review 40(4), 459-479.
21.Riepe, M. and M. Werner, 1998, Are enhanced index mutual funds worthy of their name?Journal of Investing, 7(2), 6–15.
22.朱岳中, 2006, The performance of enhanced return index fund, 國立中正大學財務金融研究所博士論文.

指導教授

何中達

審核日期

2009-6-21

推文