- 學位論文
元大台灣50與景氣對策信號之投資策略實證研究
An empirical study of investment strategies of Yuanda Taiwan 50 and the signal of business indicators counter measures
摘要
2020年初，新冠肺炎波及全球，股災、融斷等橫掃全球股市。台灣銀行一年期定存利率也跌破1%的大關。靠定存來安享天年，似乎已成遙不可及的夢想。透過指數型基金(ETF)，即使上班也能參與市場來累積資產 每月27日前後，行政院經濟建設委員會會公佈前一個月的景氣對策信號。依所分布的區間給予代表燈號，來表示市場經濟狀況，藍燈代表市場過度悲觀、紅燈則是過度樂觀。經過統計，景氣對策信號與大盤指數具高度相關性。 本研究分別模擬自2003年7月至2020年12月景氣循環信號與元大台灣50(股票代號:0050)收盤價表現並藉由以下四種買入方法: ①定期定額每月以收盤價買入一張0050。 ②定期定額每月以收盤價買入一張0050；黃藍燈訊號買入3張，持有至黃紅燈賣出，當月持續買入。 ③定期定額每月以收盤價買入一張0050；景氣對策信號20分以下買入3張，持有至30分以上賣出，當月持續買入。 ④定期定額每月以收盤價買入一張0050；景氣對策信號20分以下買入3張，至15分以下買入6張；持有至30分以上賣出，當月持續買入。 分別模擬自2003年7月至2020年12月各種策略含息後投資獲利、平均年化報酬率。 結果顯示，定期定額年化報酬率為7%，另外三種策略則落於4-5%。
並列摘要
Before and after the 27th of each month, the Council will announce the previous month's sentiment response signal. According to the distribution of the interval to give the representative light, to indicate the market economic conditions, blue light represents the market is too pessimistic, red light is over-optimistic. Statistically, the sentiment response signal is highly relevant to the large-cap index. This study simulates the performance of the boom cycle signal from July 2003 to December 2020 and the closing price of Yuanda Taiwan 50 (stock code: 0050) respectively, and buys one 0050 per month with the following four buying methods: (1) the periodic quota buys one 0050 per month at the closing price. (2) The fixed-term fixed monthly closing price to buy a 0050; Yellow and blue light signal to buy 3, hold to yellow and red light to sell, the month continued to buy. (3) the fixed fixed monthly closing price to buy a 0050; Business climate response signal below 20 points to buy 3, hold to 30 points or more to sell, the month continued to buy. (4) The fixed-term quota buys a 0050 at the closing price every month; Business climate response signal 20 points below to buy 3, to 15 points below to buy 6 cards; Hold to sell above 30 cents and continue to buy through the month. The average annualized return on investment after interest-bearing investments was simulated for various strategies from July 2003 to December 2020. The results showed a fixed annualized return of 7 per cent and a 4 per cent return on all three investment strategies.