從2000年後，台灣的薪資成長就明顯趨緩，但物價及房價年年攀升的幅度不言可喻，尤其在近幾年政府為避免公保及勞保破產，延長請領年金年齡及調降每月可領取的退休金額，使人民退休後的保障充滿了變數。因此投資理財是每位國民所需正視的問題。
近十年間市場歷經了2011年的美債風暴、2015年中國的股災、2018年的中美貿易戰、2020年的新冠疫情，都使得投資市場劇烈的的震盪。因此本研究將透過2011年~2020年的歷史數據以五大市場ETF(美國市場-VTI、新興市場-VWO、公債市場-TLT、黃金市場-GLD、房地產市場-VNQ)，做為投資組合並透過效率前緣做深入探討，研擬出適合各個風險承受度客群的投資策略，分別對應為保守型(Portfolio 1)、穩健型(Portfolio 2)、積極型(Portfolio 3)。
本研究實證分析的結果顯示，中美貿易時期表現最突出的投資策略為保守型的(Portfolio-1)，其他時期皆由積極型投資策略(Portfolio-3)表現最佳。進而發現股票指數與FED資產規模有著巧妙的關聯並將FED資產規模的變化分為三個時期(擴表期I、縮表期、擴表期II)。在擴表期時，與各資產及投資策略普遍呈正相關，又以Portfolio-3最為明顯；縮表時，全部資產與投資策略皆為負相關。同時發現ETF與投資策略具有隨漲抗跌的特性。
本研究從過去歷史數據中發現每當市場大幅修正時，政府普遍都會出手救市，使得在任何時期從報酬面來看，往往都是股票市場拔得頭籌。但並不表示將所有資產都放在股票市場就能安穩獲利。應當評估自身的風險承受度並選擇出合適自己的投資策略。投資人不妨可以留意在市場大幅修正後，若此時各國政府又出手祭出寬鬆政策時，或許這會是一個進場投資的好時機。

Since 2000, wage growth in Taiwan has slowed down significantly, but the extent of the annual increase in prices and housing prices is well known. Especially in recent years, in order to avoid bankruptcy of public insurance and labor insurance, the government has extended the age for claiming annuities and lowered the monthly retirement amount, which has made the people's protection after retirement full of variables. Therefore, investment and financial management is a problem that every citizen needs to face squarely.
In the past ten years, the market has experienced the U.S. debt storm in 2011, China's stock market crash in 2015, the Sino-U.S. trade war in 2018, and the COVID-19 in 2020, all of which have caused severe turbulence in the investment market. Therefore, this research will use historical data from 2011 to 2020 and use the five major market ETFs (Mature market-VTI, Emerging market-VWO, Bond market-TLT, Commodity market-GLD, Real estate market-VNQ) as an investment portfolio. In-depth discussion on the frontier of efficiency, to develop investment strategies suitable for various risk tolerance customer groups, corresponding to conservative (Portfolio 1), stable (Portfolio 2), and active (Portfolio 3).
The results of the empirical analysis of this research show that the most outstanding investment strategy during the Sino-US trade period was the conservative (Portfolio-1), and the active investment strategy (Portfolio-3) performed the best in other periods. Furthermore, it is found that the stock index has an ingenious relationship with the asset scale of the FED and the changes in the FED asset scale are divided into three periods (expansion period I, contraction period, and expansion period II). When the balance sheet is expanded, it is generally positively correlated with various assets and investment strategies, and Portfolio-3 is the most obvious; when the balance sheet is reduced, all assets and investment strategies are negatively correlated. At the same time, it is found that ETFs and investment strategies have the characteristics of resisting falling but easy to rise.
This study finds from past historical data that whenever the market revises significantly, the government generally rescues the market, making the stock market the top spot in terms of remuneration at any time. But it doesn't mean that putting all assets in the stock market can make a stable profit. Should assess their own risk tolerance and choose a suitable investment strategy.
Investors may be able to pay attention to the fact that after the market has corrected significantly, if governments from all over the world are offering easing policies at this time, it may be a good time to invest in the market.

論文審定書..……………………..……………………..…………i
誌謝..……………………..……………………..…………………ii
摘要.……………………..……………………..…………………iii
Abstract…………………………………………………………...iv
目錄……………………..……………………..………………….vi
圖目錄……………………..……………………..…………......viii
表目錄…………………..……………………..………………….x
第一章 緒論 ………………………………………………………1
第一節 研究動機 …………………..……………………..……1
第二節 研究目的....………………..……………………..……2
第三節 研究方法…………………..……………………..……2
第四節 研究架構…………………..……………………..……3
第五節 研究限制....………………..……………………..……5
第二章 文獻探討.…………………………………………….…..6
第一節 投資需求的背景.………………….…………………..6
第二節 ETF(Exchange Traded Funds)相關文獻.....................8
第三節 投資策略相關文獻 ………………….……………...10第三章 研究設計...……………………………………….….....14
第一節 研究範圍...................................................................15
第二節 研究方法...................................................................18
第四章 實證分析 ..………………………………………….…..19
第一節 不同市場風險下，最佳投資策...............................19
第二節 投資組合在面臨市場修正時，倒流測試之分析...22
第三節 美聯儲Federal Reserve System (Fed)總資產規模與
各資產ETF及各投資策略的關係.............................34
第五章 結論與建議 .................................................................42
第一節 結論 .........................................................................42
第二節 建議 .........................................................................43
參考文獻 ..................................................................................44

一、中文部分
林俊甫，2013，效率投資組合再研究-論REITs與黃金對效率投資組合的影響。南台科技大學財務金融研究所碩士論文。

陳冠廷，2012，持有REITs對於投資組合的影響性—以美國投資人為例。國立東華大學財務金融學系碩士論文。

張鎧麟，2019，趨勢策略下之資產配置-以美國ETF為例。國立台北大學統計學系碩士論文。

黃俊晏，2006，不動產投資信託報酬與不動產類型之研究。國立中央大學財務金融研究所碩士論文。

蔡宗彣，2010，效率前緣在投資組合績效之研究-以ETF為例。東海大學管理學院財務金融研究所碩士論文。

二、英文部分
Clare, A., Seaton, J., Smith, P. N., & Thomas, S. 2016. The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9: 63-80.

Chen, N. f., & Zhang, F. 1998. Risk and return of value stocks. The Journal of Business, 71(4): 501-535.

Elton and Gruber. 1977. Risk Reduction and Portfolio Size: An Analytical Solution. The Journal of Business, 50(4): 415-437.

Glascock, J. L., Lu, C., & So, R. W. 2000. Further evidence on the integration of REIT, bond, and stock returns. The Journal of Real Estate Finance and Economics, 20(2): 177-194.

Grubel. 1968. Internationally Diversified Portfolios. American Economic Review, 58: 1299-1314.

Luis Garcia-Feijoo, Gerald R. Jensen., & Robert R. Johnson. 2012. The Effectiveness of Asset Classes in Hedging Risk. The Journal of Portfolio Management, 38(3): 40-55.

Markowitz, H. 1952. Portfolio selection. The Journal of Finance, 7(1): 77-91.

Rhona O’connell. 2007. Gold Exchange Traded Funds Their Evolution and Their Role. ETFs and Indexing, 1: 129-135.

Statman, M. 1987. How Many Stocks Make a Diversified Portfolio? Journal of Financial and Quantitative Analysis, 22(3): 353-363.

Thomas, M. I., Michael, B., & Stephen, L. Meier. 2007. Global Commercial Real Estate. The Journal of Portfolio Management, 33(5): 37-52.

三、網路
天下雜誌，2019-684期，不只軍公教，勞保更快倒！政府憑什麼要年輕人繼續繳保費？- https://www.cw.com.tw/article/5097303

中央廣播電臺，2020，勞保將破產改革何時推？蘇貞昌：不會拖過2024年。https://www.rti.org.tw/news/view/id/2086700

主計處，工業及服務業每人每月經常性薪資(元)。https://www.stat.gov.tw/point.asp?index=4

台灣證券交易所，指數股票型基金(ETF)簡介。
https://www.twse.com.tw/zh/page/ETF/intro.html

每日頭條，2016，風險評價(Risk Parity)策略在Fund of Fund中的應用。
https://kknews.cc/zh-tw/finance/6n4m2m.html。

科技新報-Tech News，2020，回顧過去10年3次股災，最慘的一次4個月跌掉28%，投資人可從中學到什麼? https://technews.tw/2020/03/23/3-stock-crashes-in-the-past-10-years/。

財經M平方，Fed總資產規模與GDP占比。https://www.macromicro.me/charts/1244/us-fed-assets-ngdp。