波動率指數(Volatility Index, VIX)是股市擇時之重要參考指標之一，本研究旨在利用VIX為槓桿型與反向型ETF的擇時指標，利用VIX的買入賣出訊號，建構出投資組合，並觀察其投資績效表現。 本研究所採取之投資策略下槓桿型ETF總投資成功率55.67%；反向型ETF總投資成功率48.15%，即本研究所採取之投資策略分別有55.67%及48.15%的比率為正報酬。由上述結果可知，VIX在反向型ETF有五成的機率可以掌握股票市場的波動率程度，並可有效反應投資人情緒，因而VIX可作為反向型ETF的擇時指標。此外，賣出槓桿型ETF投資成功率達57.3%，而買入反向型ETF投資成功率為66.67%，即市場呈現空頭市場時，賣出槓桿型ETF與買入反向型ETF的投資成功率較高，因而本研究的研究結果可作為投資人投資決策的參考。 This research is aimed at using Volatility Index (VIX) as the market timing indicator of leveraged and inversed ETF, while using VIX’s buy/sell signals to construct investment portfolios, and to observe their performance. The success rate of entire investment under the leveraged ETF strategy had reached 55.67%, while the success rate under the inversed ETF strategy had reached 48.15%, which indicates that strategies taken in this research had created 55.67% and 48.15% positive return rates, respectively. To sum it up, as the VIX has around 50% chances to know the stock market volatility and efficiently reflect investors’ emotion, VIX may be a market timing indicator of inversed ETF. Moreover, the success rate of selling leveraged ETF had reached 57.3%, while the success rate of purchasing inversed ETF had reached 66.67%, which means when it is in bear market, shorting leveraged ETF and longing inversed ETF are able to create better success rate.
