臺灣博碩士論文加值系統

被動式投資組合亦稱指數型投資，已經是學術界及實務界上非常重要的議題。在今日的金融商品中，指數基金已成為非常重要的一個明日之星商品。指數基金之定義為選定一目標市場大盤指數，並在有限的誤差之下追蹤此一目標指數的報酬表現。指數基金在當今之國內外金融市場皆屬於一個成長迅速的顯眼地位，而海內外之金融機構無不致力於推出新的指數型商品，以求能在這個新興產品上得到領先的地位。而學術界對於指數基金的建立與研究更是不遺餘力，以冀求發展更完整的指數投資模型。

目前大部分國內外所推出的商品及學術界所已發展的模型不外乎由市值比例跟蹤或是全盤股票納入基金中追蹤指數，此產生了數個缺點: (1) 由眾多股票組組成的基金管理成本驚人、以及 (2) 跟蹤的績效強調了正負雙邊的總報酬率變動，並未將真正對商品績效的上方變動獨立出來。

基於這樣的問題在學術界已多有討論，同時文獻亦多支持總報酬率變動變異數的分離。但是迄今尚未仍有模式將此兩問題解決。同時，由於多年期的巨量金融資料及下方風險的計算方式計算及建立繁雜，因此本研究目的即在於使用排除下方風險後的效率組合作為基金持有標的，並使用資料庫將龐大的歷史股價資料做有意義的效率選擇並計算出對應的組合比例。

實證結果指出，本研究所發展之模式可以提供不同的指數型投資方法，在實證效率上亦能提供良好的指數追蹤效果。

Since researches have indicated that actively managed portfolios fail to beat the market, index investing, such as index funds and ETFs, which aim to track the market performance, and require few efforts on stock-picking and market-timing is more and more popular among the investors. Index investing, which aims to track the benchmark index return, has been one of the most popular financial tools and the research topics among the academic and the practitioners. However, there have been few studies on the constructing an effective index portfolio. The problems for existing models are tremendous monitoring expenses as well as the downside risk issues.

This study aims to address these two issues. We propose a new model that takes account of downside risk and the number of stocks. Huge stocks historical data are stored in a database and given meaning using our model. Stocks that possess the feature of effectiveness are chosen and then given weights based on the optimum theory. The results show that our proposed model provides a new way of constructing an index portfolio, which provides implications for both the academic and the practitioners.

中文摘要 i
英文摘要 iii
目錄 v
表目錄 vii
圖目錄 viii
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 研究流程 3
第二章 文獻探討 4
第一節 指數型投資組合 4
壹、指數投資組合的定義 4
貳、指數投資組合的發展現況 5
第二節 指數投資組合現有之學術模式 5
壹、完全複製模式 5
貳、重點式複製模式 6
叁、其他模式 6
第三節 指數編製計算與調整 7
壹、 市值 7
貳、 公眾流通量 7
參、 流動性檢驗 9
第四節 報酬之上下方風險 11
第三章 研究方法 12
第一節 平均數變異數模型 12
第二節 半變異數數學模型與目標最小化 14
第三節 研究資料 18
第四節 績效指標 22
第四章 分析結果與討論 25
第一節 以報酬率為分析基礎 25
第二節 結果分析與討論 34
第五章 結論與建議 39
第一節 研究結論 39
第二節 研究貢獻 39
第三節 研究限制與未來研究方向 40
引用文獻 42
附錄一 47
附錄二 48
附錄三 49

Andonov, A., Bauer, R., & Cremers, M. (2012). Can large pension funds beat the market? Asset allocation, market timing, security selection and the limits of liquidity. Asset Allocation, Market Timing, Security Selection and the Limits of Liquidity (October 2012).
Bai, Z., Phoon, K. F., Wang, K., & Wong, W.-K. (2013). The performance of commodity trading advisors: A mean-variance-ratio test approach. The North American Journal of Economics and Finance, 25, 188-201.
Blitz, D., & Huij, J. (2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), 149-158.
Brown, N. C., Wei, K. D., & Wermers, R. (2013). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
Cartea, Á., & Karyampas, D. (2011). Volatility and covariation of financial assets: a high-frequency analysis. Journal of Banking & Finance, 35(12), 3319-3334.
Charnes, A., & Cooper, W. W. (1977). Goal programming and multiple objective optimizations: Part 1. European Journal of Operational Research, 1(1), 39-54.
Charnes, A., Cooper, W. W., & Ferguson, R. O. (1955). Optimal estimation of executive compensation by linear programming. Management Science, 1(2), 138-151.
Chen, C., & Kwon, R. H. (2012). Robust portfolio selection for index tracking. Computers & Operations Research, 39(4), 829-837.
Chen, J., Hong, H., Jiang, W., & Kubik, J. D. (2013). Outsourcing mutual fund management: firm boundaries, incentives, and performance. The journal of finance, 68(2), 523-558.
Chong, J., Pfeiffer, S., & Michael Phillips, G. (2011). Can dual beta filtering improve investor performance? Journal of Personal Finance, 10(1).
Cochrane, J. H. (2014). A Mean‐Variance Benchmark for Intertemporal Portfolio Theory. The journal of finance, 69(1), 1-49.
Dranev, Y. (2012). CAPM-Like Model And the Special Form of the Utility Function.
Ekholm, A. G. (2012). Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing. Journal of Empirical Finance, 19(3), 349-358.
Estrada, J., & Vargas, M. (2012). Black Swans, Beta, Risk, and Return. Journal of Applied Finance, 22(2), 77.
Exchange, T. S. (2013). Taiwan 50 Index Constituents. from http://www.twse.com.tw/ch/trading/indices/twco/tai50i.php
Galagedera, D. U., & Brooks, R. (2012). Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market. Journal of Emerging Market Finance, 11(3), 271-300.
Gill, A., Biger, N., Mand, H. S., & Gill, S. S. (2011). Factors that affect mutual fund investment decision of Indian investors. International Journal of Behavioural Accounting and Finance, 2(3), 328-345.
Goodhart, C. A., & O'Hara, M. (1997). High frequency data in financial markets: Issues and applications. Journal of Empirical Finance, 4(2), 73-114.
GUERCIO, D., & Reuter, J. (2013). Mutual fund performance and the incentive to generate alpha. The journal of finance.
Hammoudeh, S., Araújo Santos, P., & Al-Hassan, A. (2013). Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. The North American Journal of Economics and Finance, 25, 318-334.
Harris, R. D., & Mazibas, M. (2013). Dynamic hedge fund portfolio construction: A semi-parametric approach. Journal of Banking & Finance, 37(1), 139-149.
Jiang, C., Ma, Y., & An, Y. (2012). The Mean-Variance Model Revisited with a Cash Account. Journal of Mathematical Finance, 2, 43.
Kacperczyk, M., Van Nieuwerburgh, S., & Veldkamp, L. (2013). Time‐Varying Fund Manager Skill. The journal of finance.
Kaplanski, G., & Levy, H. (2013). Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis. The European Journal of Finance(ahead-of-print), 1-27.
Khan, M., Kogan, L., & Serafeim, G. (2012). Mutual Fund Trading Pressure: Firm‐Level Stock Price Impact and Timing of SEOs. The journal of finance, 67(4), 1371-1395.
Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 34(1), 139-149.
Larrain, B. (2011). World betas, consumption growth, and financial integration. Journal of International Money and Finance, 30(6), 999-1018.
Markowitz, H. M. (1991). Foundations of portfolio theory. The journal of finance, 46(2), 469-477.
Meade, N., & Salkin, G. R. (1989). Index funds-construction and performance measurement. Journal of the Operational Research Society, 871-879.
Meade, N., & Salkin, G. R. (1990). Developing and maintaining an equity index fund. Journal of the Operational Research Society, 599-607.
Milani, B., & Ceretta, P. S. (2014). Dynamic Correlation between Share Returns, NAV Variation and Market Proxy of Brazilian ETFs. Engineering Economics, 25(1), 21-30.
Mistry, M. (2013). ETFs Bridging the Gap to Emerging Markets. The Journal of Index Investing, 4(3), 118-121.
Næs, R., Skjeltorp, J. A., & Ødegaard, B. A. (2011). Stock market liquidity and the business cycle. The journal of finance, 66(1), 139-176.
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. (2010). Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules. Journal of Finance.
Omondi, O. G. (2014). ETFs Growth Prospects: A Review of Global Trading in Year 2013. Available at SSRN 2426116.
Ornelas, J. R. H., Silva Júnior, A. F., & Fernandes, J. L. B. (2012). Yes, the choice of performance measure does matter for ranking of US mutual funds. International Journal of Finance & Economics, 17(1), 61-72.
Patton, A. J., & Ramadorai, T. (2013). On the High‐Frequency Dynamics of Hedge Fund Risk Exposures. The journal of finance, 68(2), 597-635.
Petajisto, A. (2011). The index premium and its hidden cost for index funds. Journal of Empirical Finance, 18(2), 271-288.
Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4).
Reddy, W., Higgins, D., & Wakefield, R. (2014). An investigation of property-related decision practice of Australian fund managers. Journal of Property Investment & Finance, 32(3), 282-305.
Rodier, A., Haryanto, E., Shum, P., & Hejazi, W. (2013). Intraday share price volatility and leveraged ETF rebalancing. Available at SSRN 2161057.
Roman, D., Mitra, G., & Zverovich, V. (2013). Enhanced indexation based on second-order stochastic dominance. European Journal of Operational Research, 228(1), 273-281.
Rompotis, G. (2011). Active vs. Passive management: New evidence from exchange traded funds. International Review of Applied Financial Issues and Economics (Forthcoming).
Rompotis, G. G. (2010). Searching for seasonal patterns in exchange traded funds' trading characteristics. American Journal of Finance and Accounting, 2(2), 155-180.
Rudd, A. (1980). Optimal selection of passive portfolios. Financial Management, 57-66.
Sharpe, W. F. (1998). The sharpe ratio. Streetwise–the Best of the Journal of Portfolio Management, 169-185.
Sialm, C., & Starks, L. (2012). Mutual fund tax clienteles. The journal of finance, 67(4), 1397-1422.
Theissen, E. (2012). Price discovery in spot and futures markets: A reconsideration. The European Journal of Finance, 18(10), 969-987.
Wu, L.-C., Chou, S.-C., Yang, C.-C., & Ong, C.-S. (2007). Enhanced index investing based on goal programming. The Journal of Portfolio Management, 33(3), 49-56.
Wu, L. C., & Wu, L. H. (2013). Tracking a benchmark index–using a spreadsheet‐based decision support system as the driver. Expert Systems, 30(1), 79-88.