Fund of Funds with optimal Smart Beta strategies in Taiwan Stock Market

• Main Authors: Tai-Yuan Lu, 盧泰源
• Other Authors: Jen-Jsung, Huang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/43619617206160965035

碩士 === 國立中山大學 === 財務管理學系研究所 === 104 === Rapid development in recent years, index funds and exchange trade funds, ETF) fast, its transaction volume in the average daily trading volume month accounted for 30% of the total amount of transactions, and Taiwan 2015 is about 10% of the total share. This means that investors gradually prefer investment fund, and in the progress of computing power and financial data, and promote the fund managers using quantitative analysis method, specific characteristics of stock with the construction of smart beta index funds were screened from the market. Under such a background, this study through literature research Warren Warren Buffett''s stock characteristics, quantitative investment in toward the stock features construct in the Taiwan stock market smart beta portfolio strategy, and use the portfolio mix different asset allocation model, then the composition of Buffett ''s Portfolio Fund (fund of funds), and expect its performance as Warren general long-term stable and Taiwan weighted index. Since May 2003 until 2016 March empirical investment results, smart beta portfolio strategy and asset allocation in the Buffett ''s combination type fund, performance can be robust and in Taiwan right price index, return can reach as high as 20% and overall performance relative Taiwan Weighted Index presented rose more or less phenomenon.