追求最高報酬率最低風險為投資人最想要的投資組合。但是，高報酬必定伴隨高風險。本研究試圖找出台灣ETF最佳投資組合。根據Markowitz(1952)的現在投資學理論，效率前緣上的投資組合為同一風險下可得到的最佳報酬率。本研究以台灣2017年1月1日至2021年12月31日間ETF為研究對象，排除(1)取樣期間資料不齊全，(2)槓桿型ETF，(3)ETF間高度相關之ETF。以夏普值極大化，得到標準差與貝塔值都優於台灣大盤指數與0050的最佳台灣ETF投資組合。

All investors want to pursue portfolios with the highest return and lowest risk. However, the higher the potential for profit, the greater risk the investors stand. This study attempts to identify the best portfolio of Taiwanese ETFs. According to the modern investment theory of Markowitz (1952), investors can achieve the best result in their portfolio with the efficient frontier (EF), as investors can have their best return by choosing different weighted-investments based on an assessment of their individual tolerance to risk. This study takes Taiwan ETFs from January 2017 to December 31, 2021. We sampled all the ETFs in Taiwan, then those ETFs were excluded if (1) new ETFs formed after January 2017 or those expired before December 31, 2021, (2) leveraged ETFs, and (3) the correlation coefficient of ETFs higher than 0.8. A total of 14 ETFs were obtained. We maximized the Sharpe ratio using solver in Excel and assessed the best portfolio to see if it is better than Yuanta Taiwan Top 50(0050). The Sharpe ratio, and standard deviation of the portfolio were better than the TAIEX and 0050. The Portfolio’s beta value was 1.23, slightly greater than 1, and higher than the Taiwan market index and 0050. According to the Sharpe ratio the portfolio (6 EFTs) beat 0050 and Taiwan market index (TAIEX) as the Sharpe ratio was 1.40.

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