BITO是全球第一檔的比特幣期貨ETF，由美國於2021年10月正式掛牌上市，雖然部分文獻指出期貨型ETF不適合長期持有或投資，但是也有文獻指出BITO應該發行且加密貨幣搭配投資組合後的績效會提升。本篇論文使用夏普比率 (Sharpe Ratio) 與幾乎隨機優勢方法 (Almost Stochastic Dominance, ASD) 對資產優劣關係進行探討，驗證BITO是否能夠擊敗傳統型ETF (如: SPY)，並且隨著持有期間越長是否能夠提高優勢程度。實證結果指出利用夏普比率衡量時無法找出規律性，亦即持有期間越長，無法判斷BITO在投資組合的權重應增加或減少才能提升夏普比率，因此後續著重ASD方法分析。BITO在四種不同持有期間皆優勢於SPY，隨著期間越長優勢程度會提高，以及BITO與SPY組成之投資組合仍優勢於SPY，甚至優勢程度高於BITO與SPY的優勢程度，所以投資人不必投資過多BITO，只需在投資組合裡加入一點點BITO即可。

BITO is the first Bitcoin futures ETF in the world, and it was officially listed in the U.S. in October 2021. Although some literature suggests that futures ETFs are unsuitable for long-term holding or investment, others suggest that BITO should be issued and that cryptocurrencies with portfolios can enhance their performance. This paper uses the Sharpe Ratio and Almost Stochastic Dominance method to investigate the relationship between asset superiority and inferiority. To validate whether BITO can beat traditional ETFs (e.g., SPY) and whether the degree of dominance can be increased as the holding period gets longer. The empirical results show that no regularity can be found by using the Sharpe ratio, i.e., the longer the holding period, it cannot determine that the weight of BITO in the portfolio should be increased or decreased to increase Sharpe Ratio so that the analysis will focus on ASD method. BITO is superior to SPY in four holding periods, and the degree of dominance increases as the holding period gets longer. The portfolio formed by BITO and SPY is still superior to SPY, and its dominance is even higher than that between BITO and SPY. So, investors do not have to invest too much in BITO; they just need to add a small proportion of BITO to their portfolio.

目錄
第一章 緒論 1
第二章 文獻回顧 6
第三章 研究方法 11
3.1 投資組合績效評估 11
3.2 隨機優勢 (Stochastic Dominance) 13
3.2.1 一階隨機優勢 (First-Order Stochastic Dominance) 14
3.2.2 二階隨機優勢 (Second-Order Stochastic Dominance) 15
3.2.3 極端病態偏好 ( Pathological Preference ) 16
3.2.4 幾乎一階隨機優勢 (Almost First-Order Stochastic Dominance) 17
3.2.5 幾乎二階隨機優勢 (Almost Second-Order Stochastic Dominance) 19
第四章 實證結果 21
4.1 資料來源與樣本期間 21
4.2 夏普比率 (Sharpe Ratio) 分析之實證結果 22
4.3 單一資產之ASD實證結果 25
4.4 投資組合之ASD實證結果 26
第五章 結論與建議 30
5.1 結論 30
5.2 建議 31
參考文獻 32
附錄 35

圖目錄
圖3.1 資本市場線 12
圖3.2 一階隨機優勢 15
圖3.3 二階隨機優勢 16
圖3.4 幾乎一階隨機優勢 18
圖3.5 幾乎二階隨機優勢 19

表目錄
表4.1 BITO & SPY報酬率之敘述統計量 22
表4.2 持有期間1個月之投資組合的夏普比率 23
表4.3 持有期間3個月之投資組合的夏普比率 23
表4.4 持有期間6個月之投資組合的夏普比率 24
表4.5 持有期間12個月之投資組合的夏普比率 24
表4.6 單一資產的AFSD實證結果 25
表4.7 單一資產的ASSD實證結果 26
表4.8 各種權重之投資組合的AFSD實證結果 27
表4.9 投資組合與單一資產的AFSD比較 27
表4.10 各種權重之投資組合的ASSD實證結果 28
表4.11 細分權重後的AFSD實證結果 29

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