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博碩士論文 etd-0529116-103551 詳細資訊
Title page for etd-0529116-103551
論文名稱
Title
建構Smart Beta Style Indexes -以台股市場為例
Construction Smart Beta Style Indexes - with Application in Taiwan Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
53
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-06-23
繳交日期
Date of Submission
2016-06-29
關鍵字
Keywords
最小變異投資組合、風格指數、智能貝它、等權重投資組合、最大夏普比率投資組合、風險平價投資組合
Minimum-Variance Portfolio, Equal Risk Contribution Portfolio, Smart Beta, Style Index, Maximum Sharpe Ratio Portfolio, Equal Weight Portfolio
統計
Statistics
本論文已被瀏覽 5816 次,被下載 30
The thesis/dissertation has been browsed 5816 times, has been downloaded 30 times.
中文摘要
Smart Beta的運用在國外已經成為被動式投資組合的主流,全球目前已經有超過700檔具有Smart Beta概念的指數型商品,而Smart Beta是一種概念,市場上對於Smart Beta並沒有明確定義,本研究在此將Smart Beta定義為透明且具有特定建構規則的指標,使投資組合藉由特定的因子曝險或市場曝險獲得相對於喘統被動式投資組合不同的報酬。
傳統市值加權指數的缺點,主要有「偏重較不具報酬的因子」與「沒有達到充分分散」,利用Smart Beta概念建構指數目的即解決傳統市值加權指數的缺點,並可提供經理人建構投資組合時的標竿指數。
本研究主要目的是建立適合台灣證券市場的Smart Beta 風格指數,期望成為我國運用Smart Beta概念建構指數型基金或共同基金的契機。建構Smart Beta動能風格指數與Smart Beta價值動能指數,分別使用特定因子作為選股依據後,比較在等權重投資組合、最小變異投資組合、最大夏普比率投資組合與風險評價投資組合四種加權方式下,對台灣證券市場最適的Smart Beta風格指數建立模式。並希望未來在Smart Beta風格指數建立後,能夠促使我國Smart Beta指數型商品的發展,提供投資人更多的選擇。
Abstract
Smart beta is popular concept to used abroad to establish passive portfolios. At present, there are more than 700 exchange traded products (ETP) all over the world. The definitions of smart beta are extensive and everyone has their own definition. Our definition is that smart beta is a transparent, rules-based index designed to provide exposure to specific factors, market segments or systematic strategies.
Traditional market cap-weighted indexes have two drawbacks: A tilt to unrewarded risk factors and lack of diversification. Using the smart beta concept to establish indexes can solve traditional market cap-weighted indexes’ drawbacks. Smart beta style indexes can serve as the benchmark indexes for managers to construct portfolios.
The purpose of this study is to construct smart beta style indexes which are suitable for the Taiwan securities market and encourage managers use smart beta concepts to construct ETFs and mutual funds. We construct smart beta momentum index and smart beta value indexes, each of which uses specific factors to select stocks. After stock selection, we compare four weighting schemes which are equal weight, minimum-variance, maximum Sharpe Ratio and equal risk contribution. We hope these smart beta style indexes can become smart beta exchange traded products and give investors more choices to invest.
目次 Table of Contents
論文審定書 i
誌謝 ii
摘要 iii
ABSTRACT iv
I. INTRODUCTION 1
II. LITERATURE REVIEW 4
2.1 Modern Portfolio Theory 4
2.2 Smart Beta 4
2.3 Significant Factor 6
III. METHODOLOGY 7
3.1 Descriptor description 7
3.2 Non-linear probability algorithm 12
3.3 Principal Component Analysis (PCA) 13
3.4 Factor Score 14
3.5 Risk-based Indexation 16
3.5 The Fama-French Model 19
3.6 Performance Measures 19
IV. EMPIRICAL RESULTS 21
4.1 Data 21
4.2 Sample Period 21
4.3 PCA result 22
4.4 Application of Factor Effect 22
4.5 Construction of Smart Beta Style Indexes 23
4.6 Performance 25
V. CONCLUSION 30
5.1 Comparison 30
5.2 Smart beta style indexes in the Taiwan stock market 32
5.3 Contribution 37
5.4 Recommendations for future research 40
VI. REFERENCES 41
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