指數基金(ETF)動態投資調整策略研究

ABSTRACT Asset allocation, stock selection and timing are important factors and steps to invest. This study tries to use different strategies to find better return in index funds. We use Taiwan's 1.5 standard deviation of weighted index to be an investment range. We expect to get a disciplined investment model to obtain better returns. Considering the size of capital and stable rate of we hope we can offer an appropriate investment model to let investor have confidence in having a reasonable performance. According to our study, we have the following findings: 1. Taking into account of risk and return on investment, Long-term investment value averaging strategy is better than dollar cost averaging. That is because buying more units in the low-cost range will reduce the cost occurred in the high-cost range. Then, that will also reduce the total NAV and increase the total units of holders. 2. Considering risk and return when using 1.5 standard deviation of weighted index (3998 to 8738), we find investment-weighted index range setting investment strategy is better than the no weighted index range setting investment strategy, The reason is that they do not conduct ”buy-high-and-sell-low” investment rules which is an irrational investment behavior patterns. 3. After the Financial Tsunami period, we find the best strategy is weighted index in the range settings when taking into account of the return, Sharp and actual profit points. The strategy can achieve high performance if we long positions with vlaue averaging when real-return rate reaches 20% and we short positions when real-return rate reaches 20% at outside range. Key word: ETF、Asset allocation、stock selection and timing、Sharp ratio