The Study Of Investment Strategies And Performance For The Passively Managed

• Main Authors: WANG LI HUA, 王麗華
• Other Authors: Chang Yung-Ho
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/44416470664953539229

碩士 === 東海大學 === 財務金融學系碩士在職專班 === 100 === Abstract This study aims to explore the feasibility of the investment strategy of ETF50 Fund will use a single (total) investment transactions, regularly fixed trading rule, double moving average crossover judged the trading rule, a single moving average moving average (the) side to buy into the trading rules combined with periodic fixed, and double moving average crossover judged the trading rules combined with regular fixed trading rule, the six trading strategy to simulate the historical trading data trading operation from June 30, 2003 to December 30, 2011. Finally, compare the investment performance of the six kinds of trading rules, in order to understand what investment strategies are more applicable to the operation of trading on the Taiwan stock index type to provide the reference of future investment in Taiwan ETF Fund. Summarized the main conclusions of this study's proven: found that ETF50 Fund's total rate of return (average annual rate of return) will be nearly twice higher than the total rate of return (annual average rate of return) of the market portfolio (weighted index), and therefore found thatETF50 fund is better than the market tend to support the long-term holding ETF50 Fund will be better than the market remuneration. Second, supported to use the investment performance of the regular fixed trading rules is the best, so that considered to have investment reference value; followed by a single ratio (gross) investment trading rules; then the dual moving average crossover rule; then compared to a single moving average below the buying (loser strategy) combined with periodic fixed trading rule; a single moving average above the buying combined with poor investment performance at fixed times and double moving average crossover trading rules. Also found that the results of the use of technical analysis ETF50 Fund does not improve investment performance, and therefore inclined to support technical analysis indicators will have no significantly enhance the investment profit. Finally, it is recommended in the future if the loser of operating rules supplemented by regular fixed investment, further enhance the operating performance after the fund sell decision-making signals improved, may be able to use technical analysis to assist the regular fixed investment strategy. Keywords: ETF Funds; Investment Strategy; Technical Analysis; Dollar-cost Averaging; Mutual Fund Performance