國家指數型交易所基金風險值分析：
以東協國家為例

相較於一般的共同基金，交易所基金(ETFs)因具有高流動性與低管理費的特性，其發行規模與交易金額已持續成長並日漸成為對投資人極具吸引力的投資工具。而其中國家指數型的交易所基金，尤其以東協市場為主的交易所基金標的，因其為尚具成長潛能的新興市場，則為近年投資人所關注的新興市場交易所基金標的。本研究主要的研究目的乃著眼於東協五國包含：新加坡、馬來西亞、印尼、泰國、菲律賓的國家交易所基金，建構ETFs投資組合，並以風險值方法(VaR)檢視其投資績效與投資組合風險。其中ETFs風險值的估算，主要採用了變異數－共變異數法(variance-covariance approach)與歷史模擬法(historical simulation approach)兩種方法。藉由2010年至2016年的東協五國之交易所基金之日報酬資料，本研究驗證：東協五國ETFs投資組合的建構策略中，以變異數－共變異數法下的修正夏普指數投資組合(VC-MSR)以及EWMA投資組合(VC-EWMA)，具有較佳的投資組合風險值表現。並且採用等權(EW)策略所建構的ETFs會具有最差的風險值績效。

關鍵字

風險值；變異數－共變異數法；歷史模擬法；交易所基金；東協市場

並列摘要

Exchange-Traded Funds (ETFs), a marketable security with higher daily liquidity but lower fees than mutual fund shares, are increasingly considered as an attractive investing tool for individual investors. Especially, country-specific ETFs in the Association of Southeast Asian Nations (ASEAN) markets among which are dynamic and potential but still quite new to ETFs-investors. The main purpose of this paper then aims to examine the more effectively predicting technique for investors who concern to minimize the risk on their ASEAN ETFs investment targets. To gain that aim, two main approaches, the Variance-Covariance and the Historical Simulation are applied for effectively constructing an ETF portfolio. We estimate the Value-at-Risk (VaR) related to performance of ETFs portfolios based on the five ASEAN equity markets (Singapore, Malaysia, Indonesia, Thailand and Philippines) with daily data from 2010 to 2016. Our main finding suggests that portfolio allocate strategies based on the Modified Sharpe-weighted (MSR) along with the Exponentially Weighted Moving Average (EWMA) of the Variance-Covariance approach might perform more effectively with a comparably lower portfolio VaR. On the other hand, equally weighted strategy (EW) might work less efficiently for constructing an ETF portfolio.

並列關鍵字

Value-at-Risk ； Variance-Covariance Approach ； Historical Simulation ； Exchange-Traded Funds ； ASEAN Markets

參考文獻

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國家指數型交易所基金風險值分析：以東協國家為例

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