增值指數基金為指數型基金的一種，結合主動式與被動式的管理元素，利用擇時、選股或是槓桿的方式，使基金獲得比標竿指數更高的報酬。增值型指數基金在國外已發展出相當的規模，然臺灣目前卻僅有「寶來台灣高股息基金」一檔增值指數基金。以臺灣股票市場介於弱勢與半強勢效率市場的特性，配合臺灣共同基金產業規模的攀升，增值指數基金未來很有機會成為退休基金、機構法人、指數投資人主要的投資工具，相當具有開發空間與價值。因此本研究嘗試自行建構增值指數型基金，檢視增值指數基金在臺灣市場的績效與可行性。
本研究以臺灣50指數為追蹤之標竿指數，採用自行設計之「多剖面調整模型(Multi-Section Adjustment Model)」，將標竿指數成分股的原始權重拆解成兩個剖面，分別利用參數進行主動式調整。兩個剖面各有其功能性，多因子剖面負責創造增值報酬，現金股利率剖面則用來提供比標竿指數更高的現金殖利率。本研究設定之投資目標為年化追蹤誤差低於1.5%、年化增值報酬至少1%、現金股利率高於標竿指數。
建構方式依參數更新頻率可分為固定參數模型與浮動參數模型。實證研究結
果顯示：(一)固定參數模型建構的增值指數基金，不僅風險略低於標竿指數，報酬也比標竿指數來得高。(二)浮動參數模型短期追蹤績效較難掌握，但若將樣本外期間視為一個完整投資期間，投資風險將比臺灣50指數更低，報酬率更高，累積報酬率則比固定參數模型低了約2%。(三)研究中用來控制權重分配的最適化參數，有效性會隨時間經過而降低，參數的定期更新有其必要性。(四)提高增值乘數雖會造成更高的追蹤誤差，但也可以會帶來更高的增值報酬，證明多因子模型剖面在主動式調整的可行性與貢獻性。(五)剖面參數與固定率越低時，會有越多的權重依殖利率高低分配，結果的確能獲得較高的現金股利率，證明現金股利率剖面確實有其功用。(六)浮動參數模型定期更新參數的方法有效降低追蹤誤差，同時保有目標水準以上的增值報酬，考量實務上基金的壽命後，浮動參數模型應是較好的建構方式。
「多剖面調整模型」具有以下三個優點：(一)概念簡單、操作容易。(二)可依據投資目標設計剖面。(三)便於對參數的功用與特性進行分析。

"Enhanced index fund" is an investment strategy, combining active and passive management elements, for index tracking and return enhancing through disciplined market timing, stock selection and leverage activities. Though enhanced index funds have been well developed globally, there is only one enhanced index fund in Taiwan - "Polaris/P-Shares Taiwan Dividend+ ETF". Taiwan's stock market falls between weak form and semi-strong form efficiency. With the growth of Taiwan's mutual fund industry size, the enhanced index funds have very good chance to become the main investment instruments of institutional investors, index investors, and pensions. This study attempts to build enhanced index funds, then analyzes the performance and checks the feasibility of launching such products in Taiwan.
In this study, we select "TSEC Taiwan 50 index (TW50)" as the benchmark index. The innovative "Multi-section Adjustment Model" divides the original weights of constituent stocks into two sections. Each section is adjusted through parameters. The "multi-factor model section" is responsible for the delivery of enhanced return, while the "cash dividend yield section" is used to provide excess cash dividend yield. The investment target is set for less than 1.5 percent tracking error, at least 1 percent tracking difference, and higher cash dividend yield than the benchmark.
Building methodology can be divided into "fixed parameter model" and "floating parameters model" according to its update frequency. Empirical studies show that: (1) The enhanced index fund built from the "fixed parameter model" not only exhibits risk slightly lower than the benchmark, but also enjoys higher return. (2) In the short-term, the performance of the enhanced index fund built from "floating parameters model" is difficult to predict; in the long-term, however, the risk is lower and the return is higher than TW50. The cumulative return from the "fixed parameter model" is higher than the "floating parameters model" by about 2 percent. (3) The effectiveness of the parameters used to control the optimal weight distribution is decreasing over time, so it is necessary to update parameters regularly. (4) Raising "enhancement multiplier" will cause higher tracking error, but also bring higher tracking difference. This result proves that "multi-factor model section" works nicely and has its contribution. (5) As the "section allotment" and/or "fixed rate" getting lower, there will be more and more weights distributed to the cash dividend yield level, resulting in higher cash dividend yield. It means the "cash dividend yield section" has its merit as well. (6) Regular parameter updates to the "floating parameters model" helps to reduce the tracking error and, at the same time, maintain positive tracking difference. Considering the perpetual life of real world funds, "floating parameters model" should be a better building methodology.
"Multi-Section Adjustment Model" has following advantages: (1) Its concept is intuitive and easy to use. (2) Sections can be customized based on investment objectives. (3) It is easy to analyze the impacts and trade-off among the parameters.

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 研究架構 3
第二章 文獻探討 4
第一節 主動式與被動式操作基金 4
第二節 指數型基金建構方式 6
第三節 增值指數基金8
第三章 研究方法 11
第一節 標竿指數 11
第二節 績效評估指標 12
第三節 增值指數基金之建構與調整 14
第四節 資料來源 26
第四章 實證結果分析 27
第一節 固定參數模型 27
第二節 浮動參數模型 38
第五章 結論與建議 45
參考文獻 48
附錄 51

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