增值型指數基金在台灣股市之績效研究

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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)

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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
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指導教授

何中達

審核日期

2009-6-21

推文