本研究旨在探討台灣投資人是否應納入國外指數連結ETF，以提升投資組合的效能。本研究基於現代投資組合理論與效率前緣模型，針對2019年至2023年期間台灣證券市場上市櫃的所有ETF產品，但排除槓桿型與反向型，以及樣本期間數據不全的ETF產品後的91檔ETF產品進行分析，並利用夏普比率等指標評估其投資績效。研究樣本涵蓋國內指數連結ETF（19檔）及國外指數連結ETF（72檔），涉及股票型、債券型與商品型等多元資產類別。
實證結果顯示，納入國外指數連結ETF的投資組合（Portfolio 2），雖其期望報酬率低於僅包含國內指數連結ETF的組合（Portfolio 1），但在風險調整後的夏普比率表現上明顯優於其他組合，達到0.5138。此外，Portfolio 2的風險（標準差）僅為0.7880%，遠低於Portfolio 1的4.2304%和基準組合（ETF 0050）的5.7540%，充分體現出跨市場分散化策略在降低風險方面的優勢。
本研究結果顯示，國外指數連結ETF在提升台灣投資人資產配置效率、平衡風險與回報方面具有重要價值。為台灣投資人提供實證基礎，以探索跨市場資產配置的潛在效益，並對投資組合策略設計與優化提供重要參考。

This study investigates whether Taiwanese investors should incorporate ETFs tracking overseas market indices into their portfolios to optimize performance. The research addresses a critical question in portfolio management by exploring the diversification benefits and risk-return trade-offs associated with global asset allocation. As ETFs have become a dominant investment vehicle in Taiwan's financial markets, offering exposure to both domestic and international indices, the decision to include overseas-linked ETFs has significant implications for portfolio optimization.
The research is grounded in modern portfolio theory, focusing on the efficient frontier and Sharpe ratio as key measures of portfolio performance. Using empirical data from 91 ETFs listed in Taiwan during the 2019–2023 period, the study compares three portfolio scenarios: (1) a benchmark portfolio represented by ETF 0050 (Yuanta Taiwan 50), (2) a portfolio comprising solely domestic ETFs (Portfolio 1), and (3) a portfolio including both domestic and overseas ETFs (Portfolio 2). The findings reveal that while including overseas ETFs does not necessarily maximize expected returns, it significantly reduces portfolio risk and enhances risk-adjusted returns, as demonstrated by Portfolio 2's superior Sharpe ratio.
Through this analysis, the study provides evidence-based insights for Taiwanese investors, highlighting the importance of strategic global diversification in achieving optimal portfolio performance. By balancing risk and return, the research emphasizes that a well-constructed portfolio incorporating overseas ETFs can provide a robust framework for navigating the complexities of financial markets.

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