投資鑽石和／或黃金是否可提升投資組合效率？

Abstract

本研究以投資組合理論為切入點,試圖將鑽石和/或黃金作為 另類投資選項放入常規證券投資組合中,來觀察其是否可以提升投資 組合報酬與風險的效率比。本文發現由於鑽石與其他資產的相關性較 低,在金融危機前和金融危機時確具有分散風險的作用,但是並不能 有效提升投資組合的報酬率和效率。另一方面,黃金作為一種更廣為 使用的投資選項驗證了其在金融危機時所發揮的避險功能,可有效提 升投資組合的報酬率和夏普比率。因此,本文建議投資者可將鑽石作 為分散風險的工具,而將黃金作為避險工具。

This paper aims to examine whether adding diamond and/or gold into conventional investment portfolios could improve the portfolio efficiency. Accredited to its low correlation with the macro-economy and other assets, diamond could help diversifying risks prior to and during crisis but have limitations on return and efficiency promotion. On the other hand, gold reaffirms its safe haven property during crisis. Containing gold in a portfolio could effectively improve expected return and Sharpe ratio of the portfolio. Therefore, we conclude that diamond is a good diversifier to an investment portfolio but gold is a real safe haven at the peak of the financial crisis.