臺灣博碩士論文加值系統

台灣推出「勞退新制」引發民眾對退休金的重視，依勞委會數據計算，以工作三十年的勞工所領取的勞退金及老年給付所換算出所得替代率不足四成，面對此問題，透過時間複利效果，應可有效填補制度不足之處。目前以共同基金最被廣為討論的是以定期定額投資基金方式累積財富。以長期投資觀點，風險的分散相當重要，如何以多角化資產配置來降低風險是一重要課題。
本研究以基金淨值歷史資料計算基金報酬率，再以夏普指數計算基金績效，並以變異數、相關係數計算基金風險（標準差），為求降低風險的資產組合，以馬克維茲理論為主體，求出投資組合效率前緣線並加入無風險資產，找出最適投資組合。
本實證結果指出：（1）以三種不同投資方式投資十年，以總額投資方式最好，小額
投資方式，以定期不定額優於定期定額方式。（2）不同市場及類型基金績效表現，總額
投資以單一成熟市場報酬較好，相對風險也最高，小額投資以長期走勢穩健向上、剛萌芽的新興市場較佳。（3）為求單筆資金投資風險分散，投資組合應選擇投資標的間相關度
低者，如債券型基金與股票型基金，或加入無風險資產改變投資權重，則形成新的投資
組合，可有效降低風險達到預期報酬，此為最適效率投資組合。

Since Taiwan rolled out new Labor Retirement system, the public interest was attracted to retirement pension. Calculation in accordance with the data of Council of Labor Affairs, a labor a worked for 30 years, the substitute rate of labor retirement and age pension to income is less than 40%. In dealing with this problem, through interval-compound rate effect may be able to make up the discrepancy of the System. Presently, the most discussed form of mutual funds for accumulate wealth is fixed term fixed amount investment in fund. In the view of long term investment, the diversification of risks is quite important and it turns the diversified asset allocation for mitigating risk to be an important lesson.

In this study, we took historical data of net worth of funds is applied to calculate fund return rate. Then Sharpe Ratio is used t o calculate the performance of fund. Then variance and correlation coefficient are used to calculate the risk（standard deviation）of fund. In order to find the asset allocation for reducing risk, Markowitz theory is based to calculate the efficient frontier of investment portfolio and added with risk-free asset to find the most optimal investment portfolio.

The results of the empirical study indicated, 1) Investing for 10 years in 3 different investment manner, the total investment manner is the best and for small investments, fixed term but non-fixed amount investment is better than fixed term-fixed amount investment; 2) for performances of different type of funds, total investment is better with single matured market return but with highest relative risk. Small amount investment is better in a newly rising market with steady upward long term trend; 3) in order to have the diversification of investment risk of single investment, the investment portfolio shall be choosing low correlation of investment objects, such as bond type funds and stock type fund, or added with risk-free asset to chance investment weight. Then the new investment portfolio can effectively reduce risk to reach expected return. This is the most optimal investment portfolio.

目 錄
　　　　　　　　　　　　　　　　　　　　　　 頁次

中文摘要------------------------------------------------------------i
英文摘要-----------------------------------------------------------ii
誌謝--------------------------------------------------------------iii
目錄---------------------------------------------------------------iv
表目錄-------------------------------------------------------------vi
圖目錄-----------------------------------------------------------viii

第一章 緒論----------------------------------------------------------1
1.1 研就動機--------------------------------------------------1
1.2 研究背景--------------------------------------------------3
1.3 共同基金的特性、功能與投資基金交易成本------------------------7
1.4 研究目的-------------------------------------------------10
1.5 研就對象與架構--------------------------------------------11

第二章 文獻探討------------------------------------------------------12
2.1 基金績效的評估相關文獻-------------------------------------12
2.2 投資組合-------------------------------------------------16

第三章 研就方法------------------------------------------------------19
3.1 基金投資方式----------------------------------------------19
3.2 基金公司代理九檔類型共同基金簡介----------------------------20
3.3 總額投資、定額投資與不定額投資之實證方法---------------------21
3.4 基金績效表現與風險----------------------------------------44
3.5 投資組合方法簡介------------------------------------------50
3.6 實證研究方法設記------------------------------------------53
3.7 資料來源-------------------------------------------------65

第四章 實證結果分析--------------------------------------------------67
4.1 定期定額投資績效和總額投資績效之比較------------------------67
4.2 定期不定額投資績效和總額投資績效之比較----------------------69
4.3 定期定額投資和定期不定額投資績效之比較----------------------71
4.4 最適投資組合---------------------------------------------77

第五章 結論及建議----------------------------------------------------81
5.1 結論----------------------------------------------------81
5.2 建議----------------------------------------------------82
5.3 研究限制-------------------------------------------------83

參考文獻-----------------------------------------------------------84

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