ETF運用於存股策略之探討;The Study on the ETF Applying to the Strategy for Stock Saving

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题名:	ETF運用於存股策略之探討;The Study on the ETF Applying to the Strategy for Stock Saving
作者:	魏伶安;Wei, Ling- An
贡献者:	財務金融學系在職專班
关键词:	存股;定時定額;技術分析;ETF
日期:	2021-06-30
上传时间:	2021-12-07 12:11:56 (UTC+8)
出版者:	國立中央大學
摘要:	本研究主要是探討是否各種類型及各種市場的ETF都適合存股，以及運用技術分析方法存股的報酬率會不會優於定時定額存股法，而配息高的ETF績效是否就會比較高。本研究根據上市時間及流動性共篩選了18檔ETF，共分成3種存股族群，分別為小資族、有閒置資金者以及借貸理財者。另外分成3種存股方法，分別為定時定額存股法及兩種技術分析指標分別是KD以及RSI。研究期間，從18檔ETF上市開始到2020年7月31日止。研究結果發現在不考慮風險因子的平均年收益率中，小資族以KD小於20時存股的報酬率最佳，有閒置資金者以定時定額存股最佳，借貸理財者以定時定額存股最佳。另外在考量總風險的夏普指標中，小資族於RSI小於20時的夏普值最佳，有閒置資金者及借貸理財者於KD小於20時的夏普值最佳。在考量系統風險的崔納指標中，小資族於RSI小於20時的崔納值最佳，有閒置資金者及借貸理財者於KD小於20的崔納值最佳。;This study focuses on whether all types of ETFs are suitable for the stock saving (buy-and-hold) strategy. We compare the rate of return between technical analysis and dollar-cost averaging for saving stocks strategy. This research is based on the 18 passive ETFs and assumes three types of investors: the petty bourgeoisie, the people with idle funds, and the people who can borrow money from the bank. We compare the performance of the dollar-cost averaging and two technical analyses, KD and RSI, respectively. The research period for the trading of those 18 ETFs starts from the day they are launched to 31st July, 2020. The result suggests that without adjusting any risk, the petty bourgeoisie gains the best rate of return from the ETFs from using KD strategy. The people with idle funds and the people who can borrow money achieve the best rate of return from dollar-cost averaging strategy. Also, after adjusting the total risk, the petty bourgeoisie obtains a greater Sharpe ratio from using RSI strategy. The people with idle funds and the people who can borrow money obtain a higher Sharpe ratio from using KD strategy. After adjusting the systematic risk, the petty bourgeoisie earns the best Treynor ratio from using RSI strategy. The people with idle funds and the people who can borrow money make the best Treynor ratio from using KD strategy.
显示于类别:	[財務金融學系碩士在職專班] 博碩士論文

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