台灣加權指數下跌超過15%時定期定額ETF之選擇

Abstract

近年來隨著投資風氣逐漸盛行，一般民眾越來越願意選擇將資產投入股票市場來獲得報酬，然近三年因Covid-19導致資本市場急速下跌和上漲，投資人容易在短期內出現巨大之虧損，然股市走勢呈現長期上揚之趨勢，若選擇適當的時機投入，仍能獲得不錯之報酬。因此本篇研究以2009年至2021年股市出現下跌15%以上時，以為期一年定期定額之方式投入國內證券型ETF，比較一年後不同ETF之表現，從此結果建議一般投資大眾在股市出現回檔時，以何種ETF作為投資之選擇。 本研究建議，民眾在出現台灣加權指數回檔大於15%時，每月定期定額本篇選定之ETF一年，其績效幾乎遠優於無風險利率；以及在台灣加權指數回檔大於15%時，投資本研究選定之ETF其一年期Alpha、Sharpe Ratio和Treynor Ratio幾乎優於零，所以在台灣加權指數出現回檔15%以上時，對投資人來說是不錯的投資時間選擇。且選擇以0052 富邦科技、0053 元大電子、00733 富邦臺灣中小這三隻ETF作為投資標的，以每月定期定額投資ㄧ年，能夠獲得更為優異之表現。以整個投資區間來看，00733富邦台灣中小自發行以來至2021年底，擁有最為優異之表現，因此本篇研究以00733富邦台灣中小作為推薦一般投資人在股市下跌大於15%時，每月定期定額一年之標的。

In recent years, with the growing trend of investment, the general public has become increasingly willing to invest their assets in the stock market to seek returns. However, over the past three years, the capital market has experienced rapid fluctuations due to Covid-19, resulting in significant losses for investors in the short term. Nevertheless, the overall trend of the stock market has shown a long-term upward trajectory, and if the right timing is chosen for investment, decent returns can still be achieved. Therefore, this study focuses on the period from 2009 to 2021 when the Taiwan Stock Exchange Capitalization Weighted Stock Index experienced a decline greater than 15%. During this period, we examine the performance of domestic securities ETFs with a one-year Dollar Cost Averaging method(DCA). By comparing the performance of different ETFs after one year, we aim to provide recommendations to the general investors on the choice of ETFs during market downturns. Based on the findings of this study, it is suggested that when the Taiwan SE Weighted Index experiences a decline greater than 15%, investors should consider investing in ETFs mentioned by this study on a monthly DCA investment plan for one year. The performance of such investments will almost far exceed the risk-free interest rate. Additionally, investing in these ETFs during Taiwan SE Weighted Index decline over 15% shows nearly superior Alpha, Sharpe Ratio, and Treynor Ratio compared to zero. Therefore, it is considered a favorable investment timing when the Taiwan SE Weighted Index decline greater than 15%. Specifically, the study recommends three ETFs as investment options: 0052(Fubon Taiwan Technology Tracker Fund)、0053(Yuanta/P-shares Taiwan Electronics Tech ETF)、00733(Fubon Taiwan Small-Mid Cap Alpha Momentum 50 ETF). Investing in these ETFs on a monthly DCA investment plan for one year yields excellent results. From the entire investment period, 00733(Fubon Taiwan Small-Mid Cap Alpha Momentum 50 ETF) has demonstrated the best performance since its inception until the end of 2021. Therefore, this study recommends 00733(Fubon Taiwan Small-Mid Cap Alpha Momentum 50 ETF) as the target investment for investors during Taiwan Stock Exchange Capitalization Weighted Stock Index declines greater than 15% on a monthly DCA investment plan for one year.