博碩士論文 etd-0525116-213742 詳細資訊


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姓名 盧泰源(Tai-Yuan Lu) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 104學年第2學期
論文名稱(中) 最適化 Smart Beta 策略組合型基金之應用 —以台灣股票市場之交易策略研究
論文名稱(英) Fund of Funds with optimal Smart Beta strategies in Taiwan Stock Market
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    紙本論文:5 年後公開 (2021-06-26 公開)

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    論文語文/頁數 中文/50
    統計 本論文已被瀏覽 5599 次,被下載 33 次
    摘要(中) 近年來指數型基金(Exchange Trade Funds, ETF)快速的蓬勃發展,其交易量在美國平均每日交易量月占總交易量的 30%,而台灣 2015 年則是約占總比重的 10%,此表示投資人逐漸偏好投資基金,且在電腦運算能力的進步、財金大數據的背景下,進而推動基金經理人利用量化分析方法,從市場中篩選出具有特定特 徵的股票建構 Smart Beta 指數型基金。
    在這樣的背景下,本研究透過文獻研究股神 Warren Buffett 的選股特徵,以量化投資方式在進行對於其選股特徵,建構在台灣股票市場的 Smart Beta 策略 投資組合,並利用其投資組合搭配不同的資產配置模型,再組成 Buffett’s 組合型基金(Fund of Funds),並期望其績效能如同股神一般長期穩健的優於台灣加權 指數。
    自 2003 年 5 月至 2016 年 3 月的實證投資結果,Smart Beta 策略投資組合和 在資產配置下的 Buffett’s 組合型基金,績效表現皆能穩健優於台灣價權指數, 年化報酬也可達高達 20%,且整體績效相對於台灣加權指數呈現漲多跌少的現象。
    摘要(英) Rapid development in recent years, index funds and exchange trade funds, ETF) fast, its transaction volume in the average daily trading volume month accounted for 30% of the total amount of transactions, and Taiwan 2015 is about 10% of the total share. This means that investors gradually prefer investment fund, and in the progress of computing power and financial data, and promote the fund managers using quantitative analysis method, specific characteristics of stock with the construction of smart beta index funds were screened from the market.
    Under such a background, this study through literature research Warren Warren Buffett's stock characteristics, quantitative investment in toward the stock features construct in the Taiwan stock market smart beta portfolio strategy, and use the portfolio mix different asset allocation model, then the composition of Buffett 's Portfolio Fund (fund of funds), and expect its performance as Warren general long-term stable and Taiwan weighted index.
    Since May 2003 until 2016 March empirical investment results, smart beta portfolio strategy and asset allocation in the Buffett 's combination type fund, performance can be robust and in Taiwan right price index, return can reach as high as 20% and overall performance relative Taiwan Weighted Index presented rose more or less phenomenon.
    關鍵字(中)
  • Smart Beta 策略
  • 組合型基金
  • 投資組合
  • 財務因子
  • Naïve 模型
  • 最適化模型
  • 關鍵字(英)
  • Factor
  • Smart Beta strategy
  • Portfolio
  • Fund of Funds
  • Optimization Model
  • Naïve Model
  • 論文目次 論文審定書................................................................................................................................ i
    誌謝 ............................................................................................................................................ii
    摘要 ...........................................................................................................................................iii
    Abstract .....................................................................................................................................iv
    第一章 緒論 ........................................................................................................................... 1
    第一節 研究背景與動機 ................................................................................................... 1
    第二節 研究目的 ............................................................................................................... 2
    第三節 研究架構 ............................................................................................................... 3
    第二章 文獻回顧 ................................................................................................................... 4
    第一節 資產定價模型 ....................................................................................................... 4
    第二節 因子模型 ............................................................................................................... 4
    第三節 資產配置模型 ....................................................................................................... 5
    第三章 研究方法 ................................................................................................................... 6
    第一節 Smart Beta 特徵分數 ......................................................................................... 6
    第二節 Smart Beta 投資組合建構 ............................................................................... 10
    第三節 Smart Beta 組合型基金模型建構 ................................................................... 12
    第四章 投資回測績效分析 ................................................................................................. 18
    第一節 資料來源與假設 ................................................................................................. 18
    第二節 績效指標: ............................................................................................................ 19
    第三節 績效回測結果與分析 ......................................................................................... 21
    第五章 結論與建議 ............................................................................................................. 38
    第一節 結論.......................................................................................................................38
    第二節 後續研究建議.......................................................................................................39
    參考文獻 ................................................................................................................................. 40
    一、中文部分 ..................................................................................................................... 40
    二、英文部分 ..................................................................................................................... 40
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    口試委員
  • 黃北豪 - 召集委員
  • 蔡維哲 - 委員
  • 王昭文 - 指導教授
  • 黃振聰 - 指導教授
  • 口試日期 2016-06-23 繳交日期 2016-06-26

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