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研究生:陳威志
研究生(外文):Wei-chih Chen
論文名稱:多因子風險模型下之增值指數基金績效與風險分析
論文名稱(外文):The Enhanced Index Fund Performance and Risk Analysis under MFM Model
指導教授:鄭義鄭義引用關係
指導教授(外文):Jeng,Yih
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:68
中文關鍵詞:主動報酬追蹤誤差資訊比率主動風險增值指數基金多因子風險模型
外文關鍵詞:enhanced index fundmultiple-factor modelinformation ratioactive returnactive risktracking error
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增值型指數基金通常藉由數量化模型管控投資組合主動風險並獲得股票之超額報酬,故本論文希望從架設多因子風險模型著手,並探討風險因子之穩定性與有效性,建構出對台灣上市公司具有高度解釋力的多因子風險模型。在架構完成多因子風險模型後,接著找尋因子溢酬穩定性高的風險因子,計算T50成分股之超額報酬率,透過增值指數權重配置模型,以較直覺的權重配置方式,將多因子alpha模型之因子效果嫁接於指數基金,從而達成增值報酬之目的。
實證結果發現多因子風險模型在樣本期間內平均解釋力高達49%,顯示多因子風險模型應可有效解釋股票超額報酬率。接著對增值指數權重配置模型進行參數敏感性分析發現,原始權重保留率參數對主動報酬與主動風險呈線性關係,故可藉由調整原始權重保留率,直覺式的控制T50指數基金的主動報酬與主動風險。除此之外,利用多因子風險模型每期之Adj-R2為依據,調整原始權重保留率可有效增加主動報酬之穩定性。
除了上述模型參數探討外,也發現多因子模型計算之預期報酬率並無法有效預測出台灣五十成分股實現報酬率之相對性,只能挑選出實現報酬率較差之部分個股,故本研究將權重配置範圍調整至預期報酬率較高與較低的成分股,維持原始權重於預期報酬率排序居中的成分股,結果發現經由權重配置調整範圍之修正將使得增值指數基金獲得穩定之資訊比率,達到穩定增值績效之效果。
Many enhanced index funds are based on a quantitative model to control active risk and to acquire active return. In this thesis we first construct a multiple-factor model (MFM) and then use statistical methods to evaluate the significance and stability of factor explanatory power. Significant and stable factors are utilized to fine tune weights of T50 index fund portfolio by an intuitive weight allocation model to achieve the effect of return enhancement.
Empirical studies show that the multiple-factor model can explain the excess stock return effectively; the average R-Square of multiple-factor model reaches 49%. After analyzing the sensitivity of parameter of enhanced index weight allocation, the study finds that the original weight retention rate has linear relationship with active return and active risk of the T50 index fund. Adjusting the retention rate allows us to control the active return and active risk of T50 index fund. Furthermore, adjusting the original weight retention rate according to the Adj-R2 of multiple-risk factor model can effectively improve the stability of active return.
The study finds also that the expected rates of return which are calculated by multiple-risk factor model could not differentiate among future performance of the first your guarantee portfolios. Thus, the study adjusts the range of weight allocation to T50 constituent stocks with higher and lower expected return rates. The result shows that this adjustment increased the IR of the enhanced index funds.
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 4
第二章、文獻探討 6
第一節、多因子模型發展 6
第二節、多因子風險模型基本架構 8
第三節、指數型基金建構方式 12
第四節、增值指數基金 13
第五節、基金績效評估 16
第三章、研究方法 18
第一節、多因子模型架構流程 18
第二節、增值指數架構流程 25
第三節、增值指數報酬與風險分析 29
第四章、實證結果 32
第一節、多因子風險模型分析 32
第二節、增值指數基金配置模型分析 39
第五章、結論與建議 54
第一節、結論 54
第二節、後續研究建議 57
參考文獻 58
中文部分
1.王偉丞,「增值指數基金績效分析-創新「多剖面調整」建構模型」,國立中山大學財務管理所碩士論文,民97。
2.白惠琦,「指數基金追蹤模型的最佳化」,國立政治大學應用數學所碩士論文,民91。
3.李建興、彭琪祿與施仁貴,「以限制追蹤誤差方式建構增長型指數基金:以台灣50指數為例」,《金融風險管理季刊》,民94,第一卷,第三期。
4.黃冠文,「加值指數型基金之探討-期貨加上現金的加值方法」,國立政治大學財務管理所碩士論文,民90。
5.張菁惠,「指數基金在台灣發行之可行性研究」,國立中山大學財務管理所碩士論文,民90。
6.陳志民,「選股與衍生性策略超額報酬之研究」,國立政治大學企業管理所碩士論文,民90。
7.楊芯純,「大中取小法建立最佳投資組合」,國立政治大學應用數學所碩士論文,民92。
8.鄭義與張菁惠,「投資組合追蹤誤差之探討」,《貨幣觀測與信用評等》,民93,50,12-18。

英文部分
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23.Ahmed Parvez and Sudhir Nanda (2005), "Performance of Enhanced Index and Quantitative Equity Funds," The Financial Review ,Vol. 40 , pp. 459--479
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29.Sharpe, William F. (1964), "Capital Asset Price: A Theory of Market Equilibrium under Conditions of Risk," Journal of Finance, Vol. 19, No. 3, September, pp. 425-442.

30.Shyu S., Y Jeng., W. H. Ton, Lee K. J. and H.M. Chuang (2006), "Taiwan
Multi-factor Model Construction: Equity Market Neutral Strategies Application,
Department of Finance," Managerial Finance, Vol. 32, No. 11, pp. 915-947. National Sun Yat-sen University, Taiwan.
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35.游姿穎(2008), "Multi-Factor Model Construction :Taiwan Weighted Stock Index Enhanced Index Fund Application, "國立中山大學財務管理所碩士論文。
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