ETF之動態五線譜投資策略研究

Research on Staff Notation Investment Strategy of ETF

五線譜投資法是以長期趨勢作為觀察基準，透過均值回歸的概念，結合統計迴歸分析畫出股價趨勢線，再加上正負二個標準差（樂觀線、悲觀線）與正負一個標準差（相對樂觀線、相對悲觀線）所繪製而成的五條線，作為股價相對高低點判斷的參考。本研究主要探討五線譜投資法最適期間設定及不同標準差所形成之投資策略與報酬率間的關係，並以指數股票型基金（Exchange Traded Fund , ETF）為研究對象。本研究之實證結果顯示利用五線譜投資法於ETF中，所獲得之報酬率為正，而最適期間之設定並不影響ETF的正向報酬率。此外，當縮小標準差後，能夠為投資者創造更多的投資點，進而提高ETF之報酬率。因此由本文之實證結果，五線譜投資法適用於較無財務背景之小資族快速入手投資ETF的方式。

The Staff Notation Investment method uses the long-term trend as the observation benchmark. Through the concept of mean reversion and statistical regression analysis, the stock price trend line is drawn, plus or minus two standard deviations and plus or minus one standard deviation drawn by the five lines, as a reference for judging the relatively high and low points of the stock price. This study mainly investigates the relationship between investment strategy and rate of return formed by the optimum period setting and different standard deviations of the Staff Notation Investment method, and takes the Exchange Traded Fund (ETF) as the research object. The empirical results of this study show that using the Staff Notation Investment method in ETF, the rate of return obtained is positive, but the setting of the optimal period does not affect the positive rate of return of ETF. In addition, when the standard deviation is reduced, more investment opportunities can be created for investors, thereby increasing the rate of return of the ETF. Therefore, based on the empirical results of this article, the Staff Notation Investment method is suitable for the petty bourgeoisie with no financial background to quickly start investing in ETFs.