Study on the Performance of Smart Beta Investment Straegy on Taiwan 50 Index

• Main Authors: Tzu-Chiang Hsu, 徐子強
• Other Authors: Wo-Chaing Lee
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/5m8u6f

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 106 === In recent years, the size of the Exchange Traded Funds (ETF) has grown continuously, which is closely related to the innovation of the Smart Beta investment strategy. The traditional passive investment uses the Cap-weighting index as the target of tracking, but when market failure or inefficiency, the traditional market cap-weighted index tends to over-weight those stocks whose market value is higher than the company''s real value,and under-weight those stocks whose market value is lower than the company''s real value This study uses one of the Smart Beta strategy - Fundamental Index investment. The period was from May 2007 to March 2018 and was divided into two periods by March 2013. Overall, the fundamental index strategy proposed by this study can create a total return that is better than the benchmark index, in which the weighted strategy of after-tax net profit has the highest total reward, followed by the cash dividend weighted strategy, and the weighted strategy of book value is poor. However, they are better than the benchmark index.The empirical results of this study show that the performance of fundamental index strategy in the first half of the period (from May 2007 to March 2013) is better, but in the second half of the period (April 2013 to March 2018), the effect is not as expected. The probable reason is that the fundamental index strategy is biased towards value investing. When the time entered into 2013, the market atmosphere turned to a rate hike environment, and the performance was not outstanding. However, in terms of risks, fundamental index strategies have the effect of reducing risks in both periods.