台灣交易所交易基金之報酬與風險分析

The Return-risk Analysis of the ETFs in Taiwan

最新的美國基金市場統計顯示，標普500交易所交易基金（ETF）的資產規模最高，其次是先鋒500指數型基金。有鑑於此，本研究回顧基金市場發展之歷史，闡述指數型基金與ETF之區別，然後針對台灣最早發行的七檔ETF進行分析。研究發現：富邦科技的累積報酬最高，台灣50次之，元大電子第三；就夏普指數進行比較，台灣50最高，富邦科技次之，元大電子第三。打敗股價報酬指數者，僅有台灣50與富邦科技。此外，台灣50對市場報酬指數的追蹤效果最佳；透過七檔ETF建構投資效率前緣，發現市場報酬指數位置偏離效率前緣，台灣50與富邦科技則呈現較高的投資效率性。 According to the latest statistics for the U.S. market, iShare SPDY is the largest mutualfund and Vanguard 500 Index is the second in terms of net assets. In face of this trend, thisarticle reviews the history of mutual fund markets, illustrates the difference between indexfunds and ETFs, and analyzes the seven earliest ETFs in Taiwan. Fubon Technology achievedthe greatest cumulative return, followed by Taiwan 50 and Yuanta Electronic. In terms of Sharperatios, the Taiwan 50 ranks first, Fubon Technology is second, and Yuanta Electronic comesthird. Only Taiwan 50 and Fubon Technology beat the market return index. Moreover, amongthe seven EFTs, the Taiwan 50 is the most effective at tracking the market return index. Afterconstructing the portfolio frontier based on the seven ETFs, we found the market return indexdeviates from the portfolio frontier substantially, and only the Taiwan 50 and Fubon Technologyoutperform the market return index.

According to the latest statistics for the U.S. market, iShare SPDY is the largest mutualfund and Vanguard 500 Index is the second in terms of net assets. In face of this trend, thisarticle reviews the history of mutual fund markets, illustrates the difference between indexfunds and ETFs, and analyzes the seven earliest ETFs in Taiwan. Fubon Technology achievedthe greatest cumulative return, followed by Taiwan 50 and Yuanta Electronic. In terms of Sharperatios, the Taiwan 50 ranks first, Fubon Technology is second, and Yuanta Electronic comesthird. Only Taiwan 50 and Fubon Technology beat the market return index. Moreover, amongthe seven EFTs, the Taiwan 50 is the most effective at tracking the market return index. Afterconstructing the portfolio frontier based on the seven ETFs, we found the market return indexdeviates from the portfolio frontier substantially, and only the Taiwan 50 and Fubon Technologyoutperform the market return index.