台灣50 ETF為國內首檔指數股票型基金，其商品所獨具「基金」與「股票」的特色提供投資人一個低成本、風險分散的投資管道。本研究目的主要為探討衡量基金績效的資訊比率(Information ratio)指標與研判股票買賣預測的隨機指標線KD與平滑異同平均線MACD技術指標之間是否存在可預測的相關性，並在市場動能(Market Momentum)產生時利用技術指標嘗試以股票操作是否優於買入持有策略。
實證結果指出，資訊比率與MACD指標的BAR值具有研判行情的相關性影響，透過向量自我回歸模型(Vector autoregression；VAR)的驗證後，BAR值具有領先資訊比率變動的可預測性；在MACD指標買賣訊號與追蹤誤差(Tracking error)的分析上亦顯示股票於空頭行情時基金的追蹤誤差波動性擴大，反之在多頭行情時追蹤誤差表現具穩定性的結果。另外以整體的操作而言，台灣50 ETF產生市場動能現象時，透過KD、MACD與買入持有策略的報酬操作結果，驗證出在空頭行情時利用KD指標的股票操作，所獲得的報酬優於MACD指標與買入持有策略。

Taiwan 50 ETF is the Taiwan Stock Exchange (TSE) first grade of Exchange Trade Fund (ETF), its amphicommodity with characteristic of "Fund" and "Stock” provides the way of investment mode which the lower cost, risk dispersible underlying assets. The purpose of this discourse is to explore whether the impact of divinable correlation among the indicator of fund indicator which information ratio and technical analysis of Stock on the Stochastic KD line (KD) and Moving average convergence and divergence (MACD). We also use the technique indicators to test whether the trading performance with KD and MACD superior to Buy and Hold strategy in the market momentum.

The findings of these empirical results is to present that information ratio is related to BAR values of MACD indicators, as the result of Vector autoregression model testing, the BAR values is to get ahead information ratio variation almost three days. The analysis between trading signals of MACD indicator and tracking error indicated that the Taiwan 50 ETF’s tracking error volatility in the bearish is going to expanding, whereas that stable in the bullish. To integrate all of trading performance show that Stochastic KD line can be applied to bearish superior to MACD indicator and Buy and Hold strategy in the market momentum.

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