本研究乃利用全球各區域之股票及債券ETF建構充分分散之全球性投資組合,並以其交易資料進行實證,檢驗市場上常用的5種技術分析指標所產生的交易訊號是否可獲得高於買進持有策略的投資報酬。其實證結果顯示,以技術分析買賣訊號進行操作雖其績效有時能超越買進持有策略,但該績效並無法持續且有績效回歸平均的現象。且過多的買賣次數所產生的交易手續費,將更使得整體績效無法打敗大盤。另針對買進持有策略部分,應不定期進行再平衡,以在較低的風險條件下,獲得相同水準的投資報酬。因此,本研究建議投資人應以低成本的ETF建構全球化且股債平衡的資產配置組合並長期持有,再搭配不定期的再平衡,將投資過程及方式簡單化,即可有較高的投資績效與較低的損失風險。
The research uses regional stock and bond ETF to set up global investment portfolio. And make sure whether signal of five technical analysis indexes could gain more returns than buying and holding strategy or not.the research empirical results have demonstrated that technical analysis sometimes could be better than buying and holding strategy. But it is not sustained and has meant reverting. And the increasing trade frequencies increase the service charge to cause worse result than mean. Additionally, buying and holding strategy need nonscheduled rebalancing and would gain the same return in lower risk.this research suggests that investors should be set up global and balanced asset allocation by low-cost ETF which should be held for long time and collocate nonscheduled rebalancing. That will simplify the complexity of the investment and have better return and lower loss of the risks.