耶魯模式資產配置績效評估：以台灣與美國市場為例

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題名:	耶魯模式資產配置績效評估：以台灣與美國市場為例
作者:	李佶紘;LEE, CHI-HUNG
貢獻者:	財務金融學系在職專班
關鍵詞:	耶魯模式;ETF資產配置;平均加權;投資報酬;Yale Model;ETF Asset Allocation;Equal Weight Strategy;Investment Returns
日期:	2025-06-12
上傳時間:	2025-10-17 12:00:35 (UTC+8)
出版者:	國立中央大學
摘要:	本研究旨在探討「耶魯模式懶人投資組合」於台灣與美國市場中的應用與績效表現，並與平均加權策略及大盤指數（台股加權指數與美股 SPY）進行比較。研究資料涵蓋 2005 年至 2024 年，並分為短期（6年）、中期（10年）與長期（20年）三個區間，透過ETF為基礎建構投資組合，並進行敘述統計分析、年化報酬、累計報酬、夏普指數、最大回檔幅度及T檢定等方法進行績效評估。研究結果顯示，耶魯模式的投資組合，無論在美國市場或台灣市場耶魯權重皆優於平均加權的策略，在兩市場的報酬率方面，台灣市場在短、中、長期期間都略勝於美股的報酬，歸咎於近幾年半導體產業的興盛。在T檢定方面，美國市場中短、中、長期均與SPY有著顯著的差異，反觀台灣市場僅有短期及中期，顯示耶魯模式的投資組合在在台灣市場，策略與大盤之間的報酬差距會隨投資期間拉長而趨近於一致。大盤指數則因大型科技股與半導體產業帶動而展現高報酬，但同時伴隨較大波動風險。整體而言，耶魯模式在風險調整後報酬與資產分散效果方面雖無勝過大盤，但仍具有高度實務價值，適合追求穩健長期成長之投資者。;This study aims to explore the application and performance of the Yale Model lazy investment portfolio in both the Taiwanese and U.S. markets, comparing it against the Equal Weight strategy and benchmark indices (the Taiwan Capitalization Weighted Stock Index and the U.S. SPY Index). The research spans from 2005 to 2024 and is divided into three investment horizons: short-term (6 years), medium-term (10 years), and long-term (20 years). Portfolios are constructed using ETFs and evaluated through descriptive statistics, annualized returns, cumulative returns, Sharpe ratios, maximum drawdowns, and T-tests. The results show that the Yale-weighted portfolios outperformed the Equal Weight strategy in both markets. In terms of return levels, the Taiwanese market slightly outperformed the U.S. market across all periods, mainly due to the booming semiconductor sector in recent years. T-test results reveal that the Yale Model portfolios in the U.S. market show statistically significant differences compared to the SPY index across all three periods. In contrast, in the Taiwanese market, significance is only observed in the short- and medium-term, suggesting that the performance gap between the Yale strategy and the market index narrows over longer horizons. Although market indices delivered high returns driven by large-cap technology and semiconductor stocks, they also came with higher volatility. Overall, while the Yale Model may not outperform the benchmark in terms of risk-adjusted returns, it still offers considerable practical value due to its diversification benefits and stable long-term growth, making it suitable for investors seeking steady capital appreciation.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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