臺灣博碩士論文加值系統

由於低利率時代的來臨，定存利息所得已無法大過通貨膨脹率，因而多元化的金融商品因應而生。在眾多的投資工具中，因共同基金具有分散、種類多、投資門檻低等優點，現今已是台灣投資人熟悉的投資工具之一。而自2003年首檔指數股票型基金 (Exchange-Traded Funds)寶來台灣卓越50基金成立至今，ETF也越來越受到台灣投資人的青睞。再加上全球資本市場發展日趨國際化，我國投資人可在銀行券商等通路中購買許多境外的金融商品。近年透過券商複委託(受託買賣外國有價證券業務)的方式投資海外股票與ETF的投資人日益增多，截至2018年6月為止已超過1.08兆台幣。國人已開始接受全球化布局的資產配置觀念，其中因海外指數股票型基金(Exchange Traded Funds)2017年6月~2018年6月年增率為64%，達到4521億，因此海外指數股票型基金(Exchange Traded Funds)已是投資人在追求穩定投資報酬的新選擇。
本研究資料以投資美國市場之台灣市場上境外主動式股票型基金，及美國先鋒集團(Vanguard Group) 指數股票型基金(Exchange Traded Funds)，並建立適切的衡量指標，以分析在長期持有並承擔相同風險下之績效差異，並探討交易成本對報酬的影響。第一部分是分別以平均報酬及Sharpe指標、Treynor指標、Jensen’s α來進行相關績效評估。第二部分是加入了申購及買回費用後再次進行上述的分析。
歷史資料的取得與整理耗費許多時間。主要研究發現如下：
1.主動式股票型基金與海外指數股票型基金在交易成本上海外指數股票型基金交易成本顯著較低。
2.交易成本與績效呈現負相關聯性。
3.主動式股票型基金與海外指數股票型基金納入交易成本後海外指數股票型基金在長期持有下績效表現較好。

Due to the low interest rate era, the earning from the interest no longer beat the inflation rate, so diversified financial products have been developed. Among many investment tools, the mutual fund becomes a well-known tool to Taiwan investors since mutual funds have many advantages, such as dispersion, variety, and low entry level. After the first ETF, Bora Taiwan Excellence 50 Fund, was launched in Taiwan in 2003, the ETF has become more and more popular to Taiwan investors. With the internationalization of global capital markets, Taiwan investors can purchase foreign financial products through multi-channels, like banks and securities companies. In recent years, the number of investors who purchase overseas stocks and ETFs through the re-delegation of securities companies (entrust to buy and sell foreign securities business) have increased by more than 1.08 trillion NTD as of June 2018. This indicates that the concept of the asset allocation globally is acceptable to Taiwan investors. An annual growth rate of 64%, reaching 452.1 billion on the overseas index stock funds (Exchange Traded Funds) from June 2017 to June 2018 shows the same finding. Therefore, the overseas index stock funds (Exchange Traded Funds) becomes a new option to investors who seeks stability for the return on the investment.
This study is to develop an appropriated metrics to evaluate long-term performance and explore the impact of the transaction costs and the returns based on overseas active equity funds in the Taiwan market and the Vanguard Group Index Trade Funds (Exchange Traded Funds). The first part is focused on the performance evaluation from the analysis of the average returns and Sharpe indicator, Treynor indicator, and Jensen’s α. The second part is to apply the same analystic model by adding the transaction costs.
This study is time consuming on collecting and cleaning up the historical data. The main findings are as follows:
1. Active Equity Funds and Index Equity Funds have significant differences in transaction costs
2. Transaction costs and performance are negatively correlated
3. The performance by adding transaction costs between Active Equity Funds and Index Equity Funds is significantly different

論文審定書…………………………………………………………………………i
誌謝…………………………………………………………………………………ii
摘要…………………………………………………………………………………iii
Abstract ………..………………………………………………………………..…iv
目錄…………………………………………………………………………………v
圖次…………………………………………………………………………………vi
表次…………………………………………………………………………………vii
第一章 緒論………………………………………………………………………01
第一節 研究背景與動機……………………………………………………01
第二節 研究目的……………………………………………………………03
第三節 研究流程……………………………………………………………04
第四節 研究範圍與限制……………………………………………………04
第二章 產業概況…………………………………………………………………06
第一節 台灣共同基金發展概況…………………………………………....06
第二節 美國被動式基金發展概況……………………………….………...08
第三章 文獻探討…………………………………………………………………10
第一節 主被動式基金介紹…………………………………………………10
第二節 主被動式基金交易成本…………………………………….……...14
第三節 主被動式基金績效………………………………………………....15
第四節 主被動式基金交易成本與績效……………………………………18
第四章 研究設計…………………………………………………………………20
第一節 研究結構……………………………………………………………20
第二節 研究方法……………………………………………………………20
第三節 研究方法說明………………………………………………………25
第五章 實證分析…………………………………………………………………26
第一節 基金交易成本與基金績效…………………………………………26
第二節 基金績效……………………………………………………………32
第六章 結論與建議………………………………………………………………37
第一節 結論…………………………………………………………………37
第二節 建議…………………………………………………………………37
第二節 未來研究方向………………………………………………………38
參考文獻 ..………………………………………………………………………39
附錄 …………………………………………………………………………42

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三、網路
Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2019. Investment Company Institute. https://www.ici.org/pdf/2019_factbook.pdf
Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2018. Investment Company Institute. https://www.ici.org/pdf/2018_factbook.pdf
Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2017. Investment Company Institute. https://www.ici.org/pdf/2017_factbook.pdf
Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2016. Investment Company Institute. https://www.ici.org/pdf/2016_factbook.pdf
晨星（2010）。晨星新聞。上網日期：2010 年 9 月 13 日，取自http://tw.morningstar.com/ap/articles/default.aspx?activetab=fview