- 學位論文
應用恐慌指數（VIX）增進定期不定額績效：以台灣 50 為例
Applying VIX to Improve Periodic Variable Performance: A Case Study of Taiwan 50
摘要
巴菲特的名言「在別人貪婪時恐懼，在別人恐懼時貪婪」一直以來都是投 資領域的經典名言，強調了在投資時應該反其道而行之的觀念。疫情對全球經 濟造成衝擊，但股市大跌後常為反彈時機，VIX 恐慌指數是重要的市場波動和 恐慌情緒指標，可評估情緒和調整投資策略，對台股影響甚巨。本研究嘗試運 用此概念增加定期不定額的投資績效，尋找最佳 VIX 恐慌指數加碼門檻值，並 設定最適合之加碼級距，最後探討加入停利策略對績效之影響。研究結果顯 示，於 VIX 35 作為加碼門檻值，有助於在市場情緒波動時進行適時的加碼操 作，進而達到於低點時加碼、降低平均成本之效果;此外，以 VIX 上升 10 為 一級距之三級距扣款方式，更能捕捉到市場低點進行加碼，從而提高投資報 酬;於 VIX 19 作為停利閥值，賣出實為正報酬之機率為 100%，可供短線投資 人做參考;然而，本研究發現加入停利策略並不會增加績效，反而減少報酬， 較於保守的策略，會使投資者在市場短期波動中過早停利而忽略了長期投資價 值。最後，本研究根據統計方式提出了一套新的加碼策略，相較於傳統的定期 定額和定期不定額策略，總投資報酬率分別上升了 17.81% 和 17.26%，這些結 果將有助於投資者在制定投資策略時作出更有效的決策，供投資人做參考。
並列摘要
Buffett's famous saying "Be fearful when others are greedy, and be greedy when others are fearful" has always been a classic saying in the investment field, emphasizing the idea that you should do the opposite when investing. The epidemic has had an impact on the global economy, but after a sharp drop in the stock market, it is often an opportunity for a rebound. The VIX panic index is an important indicator of market volatility and panic sentiment. It can evaluate sentiment and adjust investment strategies, and has a huge impact on Taiwan stocks. This research attempts to use this concept to increase the investment performance of Value Averaging strategy, and finds the optimal VIX panic index overweight threshold, and sets the most suitable overweight level, and finally discusses the impact of adding a stop profit strategy on performance. The research results show that VIX 35 is used as the overweight threshold, which is helpful for timely overweight operation when market sentiment fluctuates, thereby achieving the effect of overweighting at low points and reducing the average cost; in addition, using the VIX rise of 10 as a three-level deduction method can better capture market lows for overweighting, thereby increasing investment returns; VIX 19 is used as the stop profit threshold, and the probability of selling is 100%, which can be used as a reference for short-term investors; The profit stop strategy will not increase performance, but may reduce the rate of return. A more conservative strategy will cause investors to stop profit prematurely in the short-term market fluctuations and ignore the long-term investment value. Finally, this study proposes a new overweight strategy based on statistical methods. Compared with the traditional Dollar Cost Averaging（DCA） and Value Averaging（VA） strategies, the total return on investment has increased by 17.81% and 17.26% respectively. These results will help investors Make more effective decisions when formulating investment strategies for investors' reference.