本研究主要的目是針對退休議題，並且在傳統目標期限基金的基礎上，改善傳統目標期限基金缺點，設計出一個嶄新的基金商品，幫助投資者能累積足夠的退休金，來支付退休後所需要的花費，達到健康且永續的退休生活，因此，我們將此基金商品命名為「退休樂活目標期限基金」。近年來，因為總體環境和人口結構的改變，影響勞工退休制度的經營，因此，台灣的勞工退休制度已經從確定給付制改變為確定提撥制來解決此問題，然而，設計確定提撥制的不完善，造成民眾對勞退制度之自提比率低落、信心降低，同時市場上針對退休規劃之基金產品稀少，投資知識不足的投資人無法自行進行退休財務規劃，使得台灣民眾陷入難以退休的窘境。
本研究依據等風險策略的基礎，結合百齡法來改善等風險策略在每一個資產的風險貢獻值都相等的特性。因此，此新策略依據散戶投資人的情況，決定不同的風險貢獻值，來建立專屬的投資組合。並且每日監控資產之風險貢獻值進行投資組合再平衡的動作，結果顯示，在熊市時，退休樂活目標期限基金在可接受的報酬下，創造低風險、低損失的表現，其夏普比率約為傳統目標期限基金的2.5倍，在2008年金融海嘯之最大損失約為傳統目標期限基金的二分之一。但是，在牛市時卻有投資報酬率不符合預期的表現。
行銷研究主要是進行台灣市場的情境分析，歸納出產品的優劣勢，再依照產品服務、通路、定價、推廣四個面向，擬定實際的行銷行動，撰寫行銷企劃書。本研究的貢獻在於提供投資者一個退休規劃的選擇，也可以利用其投資策略，來使用不同的投資策略來進行優化，創造更多符合市場需求的投資商品。

The purpose of this study is to focus on retirement issues and design a new fund based on the fundamentals of traditional TDFs. This fund helps employees to accumulate enough money for retirement expenses.
In recent years, the change of the demographic structure has affected the management of labor pension funds in Taiwan. However, the new pension scheme is not compulsory for employees to use, resulting in a low participation rate and confidence. Also, there are few funds for employees to use for retirement planning in Taiwan’s market.
This study bases on the fundamental of Risk Parity strategy. It improves Risk Parity strategy which makes the risk contribution of every asset classes equality for asset allocation by using 100-Minus-Age Rule. Therefore, this new strategy can decide a variety of risk contribution to build exclusive portfolio for each individual investor. And it also uses Risk Contribution Rebalancing to monitor the risk of assets. The result depicts that the new strategy performs a great performance which represents a low risk and a loss. Its Sharpe ratio is about 2.5 times that of other traditional TDFs in a bear market and the max drawdown is half that of others during the Financial Crisis of 2008. But it has unsatisfactory performance in a bull market due to the conservative investment strategy.
The contribution of this study is providing a new choice of retirement planning for individual investors, and intuitional investors can also use different investment strategies to increase the robustness of the new fund strategy for creation of more investment products. Therefore, the name of the fund of this study is RLOHAS TDF.

論文審定書 i
誌謝 ii
摘要 iii
ABSTRACT iv
I. INTRODUCTION 1
1.1 The Pension Scheme in Taiwan 1
1.2 The Management of Retirement Funds 5
1.3 Introduction to Target-Date Funds 10
II. LITERATURE REVIEW 13
2.1 The Power of Asset Allocation 13
2.2 Modern Portfolio Theory and Mean-Variance Analysis 14
2.3 Introduction to Risk Parity Portfolio 15
III. METHODOLOGY 19
3.1 The 100-Minus-Age Rule 19
3.2 The Risk Parity Portfolio 20
3.3 The improvement of the Risk Parity Portfolio 23
3.4 Bandwidth Analysis: Establish a Consistent Method 24
IV. EMPIRICAL RESULTS 32
4.1 Data Source and Time Horizon 32
4.2 Index as Asset Universe 35
4.3 ETF as Asset Universe 39
V. MARKETING 51
5.1. Scenario Analysis 53
5.2. Marketing Strategy 63
VI. CONCLUSION 73
REFERENCES 78
APPENDIX 82
List of Abbreviations 93

1. Aswath Damodaran (2016). “Musings on Markets.” Musings on Markets
2. Brinson, G. P., Hood, L. R., and Beebower, G. L. (1995). “Determinants of portfolio performance.” Financial Analysts Journal, 51(1), 133-138.
3. Brinson, G. P., Singer, B. D., and Beebower, G. L. (1991). “Determinants of portfolio performance II: An update.” Financial Analysts Journal, 40-48.
4. Bogle, J. C. (2003). Bogle on mutual funds: New perspectives for the intelligent investor. John Wiley and Sons; Chinese edition.
5. Blanchett, D. M., and Kasten, G. W. (2010). “Improving the “Target” in Target-Date Investing.” Journal of Pension Benefits, 18(2), 11-18.
6. Chaves, D., Hsu, J., Li, F., and Shakernia, O. (2011). “Risk parity portfolio vs. other asset allocation heuristic portfolios.” The Journal of Investing, 20(1), 108-118.
7. Chen D.Y., Wu H.Y., and Huang J.S. (2014). “Fund Management” Taipei, Yeh-Yeh Book Gallery; 2nd Revised.
8. Daryanani, G. (2008). “Opportunistic Rebalancing: A New Paradigm for Wealth Managers.” Journal of Financial Planning, 21(1), 46-81.
9. Dhillon, J., Ilmanen, A., and Liew, J. (2016). “Balancing on the Life Cycle: Target-Date Funds Need Better Diversification.” The Journal of Portfolio Management, 42(4), 12-27.
10. Ezra, D. (2011). The Most Effective Parts of Defined Contribution, Taken from Around the World.
11. Gratton, L., & Scott, A. (2016). The 100-Year Life: Living and working in an age of longevity. Bloomsbury Publishing.
12. Ibbotson, R. G., and Kaplan, P. D. (2000). “Does asset allocation policy explain 40, 90, or 100 percent of performance?” Financial Analysts Journal, 56(1), 26-33.
13. I-Tze Hsing (2000). “The asset allocation strategies for pension fund management under a defined contribution plan.” Master’s thesis, University of Sun Yat-Sen.
14. Kohler, A., and Wittig, H. (2014). “Rethinking portfolio rebalancing: introducing risk contribution rebalancing as an alternative approach to traditional value-based rebalancing strategies.” The Journal of Portfolio Management, 40(3), 34-46.
15. Knutzen, S., and Retterholt, J. (2016). “Performance of risk-based asset allocation strategies.” Master’s thesis, Copenhagen Business School.
16. Kotler, P., Keller, K. L., Manceau, D., and Hémonnet-Goujot, A. (2015). Marketing management (Vol. 14). Englewood Cliffs, NJ: Prentice Hall.
17. Lee, W. (2011). “Risk-Based Asset Allocation: A New Answer to an Old Question?” The Journal of Portfolio Management, 37(4), 11-28
18. Markowitz, H. (1952). “Portfolio selection.” The Journal of Finance, 7(1), 77-91.
19. Markowitz, H. M., and Todd, G. P. (2000). Mean-variance analysis in portfolio choice and capital markets (Vol. 66). John Wiley and Sons.
20. Maillard, S., Roncalli, T., and Teïletche, J. (2010). “The properties of equally weighted risk contribution portfolios,” The Journal of Portfolio Management, 36(4), 60-70
21. Masters, S. J. (2003). “Rebalancing.” The Journal of Portfolio Management, 29(3), 52-57.
22. Merton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8(4), 323-361.
23. Po-tai Chen (2008). “Life Cycle Fund Designed For Taiwan Investors.” Master’s thesis, University of Sun Yat-Sen.
24. Organization for Economic Co-operation and Development (2016), “Pension Market in focus.” Paris.
25. Qian, E. (2012). “Pension Liabilities and Risk Parity.” The Journal of Investing, 21(3), 93-101.
26. Qian, E. (2005). Risk parity portfolios: Efficient portfolios through true diversification. Panagora Asset Management.
27. Richard A Ferri (2010). “All About Asset Allocation.” United-state, McGraw-Hill Education; 2nd Revised and Chinese edition.
28. Sorensen, E. H., and Alonso, N. F. (2015). “The resale value of risk-parity equity portfolios.” The Journal of Portfolio Management, 41(2), 23-32.
29. Wittig, H. (2015). “Essays on Asset and Portfolio Management: Rethinking Portfolio Rebalancing,” doctoral thesis, University of St. Gallen.