ETF為基礎之最適全球投資組合－以WEBS 14為例

「交易所買賣基金」( Exchange Traded Fund )是新興金融商品，在1997年以後才受到大家的注目。ETF具有基金與股票雙重性質，投資人只要以小筆金額，就能直接參與標的指數表現，不必花大筆金額個別購買一籃子股票( a basket of stocks )，可以使投資人節省大筆金錢與大量時間。近年來ETF更是在國際引起風潮，資產規模迅速成長，連結標的包羅萬象。本研究以美國證劵交易所( AMEX )掛牌，追蹤國家指數的MSCI iShares Country Index ETFs WEBS 14國為例，利用Harry Markowitz的現代投資理論( Modern Portfolio Theory, MPT )所提出的「平均數變異數準則」( Mean-Variance Rule )進行實證研究。以MSCI World為Benchmark，探討資本市場線( The Capital Market Line, CML )與各持有期間效率前緣線切點的最適全球投資組合的實際表現，實證出最適全球投資組合，並運用夏普指標( Sharpe Ratio )來衡量投資績效，在各持有期間投資組合實際表現選取一最適全球投資組合的建議。

關鍵字

交易所買賣基金；現代投資理論；效率前緣；夏普指數

並列摘要

"Exchange Traded Funds" is a new financial product. Attention has not been dragged to it until 1997. ETF has the dual nature of fund and stock. Investors can get involved directly in investment index with a little amount of money. Without spending a large sum of money on each basket of stocks, investors can save lots of money as well as time. ETF in recent years has become a hit internationally. Investors are not only amazed by its rapid growth of asset size, but also its great diversity of linked index subjects. With the use of Mean-Variance Rule, announced by Harry Markowitz in his Modern Portfolio Theory, MPT, national index trackers, MSCI iShares Country Index ETFs WEBS 14 countries, which are listed in the United States Stock Exchange ( AMEX ) , are sampled in this study. With MSCI World as a Benchmark, this study explores the actual performance during the most optimal time for global investment and integration, while the tangent point of The Capital Market Line ( CML ) and the efficient frontier appears. This study also uses Sharpe Ratio as an indicator to measure the investment performance, and gives an optimal portfolio selection criteria for investors.