| Summary: | 碩士 === 國立成功大學 === 統計學系碩博士班 === 96 === There are many investment tools for investors to choose in a financial marker, such as stocks, bonds, and time deposits. But most of large-cap funds can not beat market Index in terms of return in the long run indicated by data from America. Hence, this is one of the reasons why passive fund management is so popular nowadays. Beside, its return is the same as Index and has much cheapen fees than active fund management. The most famous mutual fund of passive management is Vanguard Index 500 in America.
In our study, we combine fifty countries’ Index funds and use modern portfolio theory to derive the optimal weights for countries to construct a fund of funds.
Our portfolio disperses risk by investing the global index funds. By doing that, we can avoid choosing a falling but fund the Index rises. Finally, by an empirical study, our portfolio produces good performance, no worse than any individual index in the long run.
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