在不同年齡下之最適投資組合-以Country Index ETF為例

Abstract

Abstract According to the latest ETF statistics by Bloomberg, till the end of 2007, 1,171 ETFs are listed in the world market, and the asset totaling US$796.1 billion. All types of ETF are developed prosperously. We believe that it will be a big trend for investors using ETF as one of their asset allocation tools. The study aims to explore the best asset allocation of age-based methods. Investors’ risk comfort level may change as they are getting older. In practice, investors at different age have different risk preference. We hereby establish a comprehensive model, which can provide investors with asset allocation advices according to their ages and risk tolerance. The study adopts age into the “Utility Function of Risk Aversive Investors” to find out whether the investment weight of risky asset will change accordingly when people are getting older. First of all, we calculate the variances of the selected 23 ETFs on the basis of 3 years and then divide the 23 ETFs into 3 groups based on their volatized levels. Among the 3 groups, the most volatized portfolio is considered as the high-risk asset, By contrast, the lowest volatized is considered as the low-risk asset. By allocating proper percentage of the portfolio, we can achieve the objective of diversity, to reduce risk and to enhance return. Moreover, the report also indicates the source and assumptions of the simulation model, “Coefficient of Risk Aversion” and “Utility Function of Risk Aversive Investors” used in the study. Finally, by different age, by different level of risk-averse and utility function, we find out the best asset allocation suitable for age from 20 to 80 years old. These findings can also reduce investing risk effectively.