臺灣博碩士論文加值系統

近年全球資本市場發展日趨國際化，資金自由流通，投資人開始進行全球化資產佈局，除可分散單一市場之風險外，同時也是為追求其他市場更高的獲利成長。ETF市場近年來蓬勃發展，資產規模庫速擴張，其商品概念簡單、成本較低、交易便利，有利投資人投資國外市場，進行全球投資佈局。
傳統ETF屬於被動式管理，以追求複製指數的表現為主，而近年來興起的主動型ETF其特色在於具有主動選股的機制，使投資組合在一定的風險控制下獲得比標竿指數更高的報酬。
本研究將建構以追蹤台灣加權指數為主的主動型ETF，目標希望能達到在5% 的下方年化追蹤誤差下，能優於標竿指數至少1% 的年化報酬率，達到資訊比率0.3以上，並控制平均費用率在1.5%以內以及平均週轉率50%以內。建構過程以規模為基礎分為大中小市值，利用主成分分析配合資訊比率縮小大市值的股資組合，再利用獲利型分數挑選中小市值的股票；權重配置的方式則是利用四種最適化的方式，在加入實際操作的限制，比較後選出績效最好的權重組合。
實證結果顯示選股策略搭配資產配置的概念能得到至少高於標竿指數3%-6%的超額報酬，且控制6%-7%的下方年化追蹤誤差、資訊比率能達到0.5以上、平均費用率在1.5%以內。此外，本研究分析四種最適化方法，發現績效差異不大，其中以目標追求報酬的最適化方是最不穩定，以控制VaR或是beta的效果是相對較好的。

With the increasing development of the global capital market, investors began to do allocation of global assetsin recent years. In this way, not only could risks be dispersed in the single market but investors could pursue higher profits in other markets at the same time. There comes a rapid expansion in ETF market for some reasons. One is that its commodityis simple, cost- low and trading-convenient. And the other one is that ETFs enable investors to invest in foreign markets.
Traditional ETFs belong to passive management, in pursuit of the performance of the index replication .In recent years, active ETFs, with the mechanism of stock selection, become popular. Under the amount of risk control , portfolio gain higher than the benchmark index returns.
This research is to construct an active ETF with the aim of tracking TAIEX. Our investment objectives were set to achieve the annual tracking error5% below , the annual excess return at least 1%, information ratio more than 0.3, and to control the average expense rate less than 1.5% and the average turnover rate less than 50%. The process of construction is below:Divided the stocks into different size : large cap medium cap and small cap. Using principal component analysis with information ratio dimensionreduced large-capstocks and select the small-cap stocks by the profitabilityscores. Weight is decided by four kinds of quadratic programming and joining some new constraints. After the comparison in four kinds of quadratic programming , we selectthe weight with the best performance.
Empirical results show that the strategy of stock selectionand the asset allocation concept can get at least 3% - 6% of excess returns higherthan the benchmark index, and control the downside tracking error between 6%-7%, information ratio can reach above 0.5, and the average expense rate is less than 1.5%. In addition, this study discusses four
kinds of quadratic programming and find that that there is no difference between the performance. Jorison method is the most unstable and the method to control the VaR or beta is relatively good.

第一章緒論 1
第一節研究動機 1
第二節研究目的 2
第三節研究流程 3
第二章文獻探討 4
第一節指數股票型證券投資信託基金 4
第二節指數型基金建構方法 5
第三節增值型指數基金 7
第四節投資組合的規模 7
第五節投資組合的權重配置 8
第六節質量因子與超額報酬之異常現象 9
第七節主成分分析應用在金融市場 10
第三章研究方法 11
第一節標竿指數 11
第二節資料來源 11
第三節自製標竿指數 11
第四節 ETF之建構與調整 12
第五節績效評估指標 21
第四章實證結果分析 23
第一節指數 23
第二節選股 24
第三節權重配置與績效 31
第五章：結論與後續研究建議 38
參考文獻 40

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