以ETF為基礎之最適全球投資組合

The ultimate goal of this thesis is to construct an optimal global portfolio with ETFs. We choose the iShares MSCI country index ETFs as our assets. We start with the calculation of correlation between these countries. We find out that there is potential benefit undertaking international diversification. While comparing with the former research, the potential benefit is smaller.
We examine the effect of investing internationally of each country. And we can see that not all countries are benefit from international diversification. While considering international diversification, investors have to look at the characteristic of the domestic country to make decision.
In the international level, we can see that the investment risk would decrease and the return would increase. And the marginal effect decreases. In our test, the return, risk and efficiency come stable after adding the 14th asset into the global portfolio. Therefore we construct our global portfolio with 13 assets. We can see that our portfolios’ return outperform the equal-weighted portfolio which contains all 21 ETFs. Comparing with the other international indexes as benchmark, our portfolios have higher return and also higher risk. However, while consider the investment efficiency, our portfolios outperform the two other benchmarks.