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

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題名:	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
作者:	張勝原;Sheng-Yuan Chang
貢獻者:	財務金融研究所
關鍵詞:	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;Taiwan stock index;tracking error;enhanced index fund;benchmark
日期:	2009-06-18
上傳時間:	2009-09-22 14:44:13 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	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。 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 .
顯示於類別:	[財務金融研究所] 博碩士論文

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