多國指數的擇時與避險策略-以長短期均線比值為依據

Abstract

效率市場的例外狀況與股市的超額報酬一直都是學界與業界所探求的一門學問，超額報酬意味著可以找出某些因子對於未來報酬有預測力，因此能夠針對此現象擬定適當的交易策略來獲取超出市場報酬的績效。一般用來分析市場有所謂基本面分析與技術分析兩種方式，基本面分析係指透過總體經濟、公司財報、新聞消息等等公開資訊的研究，來找出適合的標的，並評價一個適當的進場價格；技術分析則係指透過分析證券的歷史價格走勢，來判斷未來價格可能的趨勢，並根據技術指標進出場來達到「擇時」(Timing)的效果。 本研究以美國三大指數S&P 500、道瓊指數、那斯達克指數，以及另外涵蓋歐洲、美洲、亞洲、大洋洲、非洲共25個國家之股市加權指數為研究標的，根據長短期移動平均線之比值(Moving Average Distance，後文中將簡稱為MAD)為交易進出場依據，當MAD超過上方閾值時做多指數型ETF，當MAD低於下方閾值時則放空指數型ETF，研究每日再平衡之擇時策略的超額報酬。並且提出兩種期貨避險策略，分別驗證在指標不明確的情況下進行避險、以及指標過熱才進行避險時，交易策略的訊號強弱對於績效的影響。

The exceptions of efficiency market hypothesis and excess return in stock market are the mainstream in academic and industry. There would be some factors that possess predictability for future returns. An appropriate trading strategy can be designed base on these factors to outperform the market. Generally, two methods are used to analyze the market, so called fundamental analysis and technical analysis. Fundamental analysis refers to research on economy, corporate financial reporting, news and other public information, to find a certain investment target, and evaluate an appropriate entry price. Technical analysis refers to analyze the historical price movement to find out trend of future price, and according to the technical indicators to make the “timing” decision of whether to enter the market. In this paper, three major US indices S&P 500, Dow Jones index, Nasdaq index, and other stock index covering 25 countries are used as research targets. The Moving Average Distance (MAD for short) of stock index is used as the basis for entering and exiting the market. When the MAD exceeds the upper threshold, we long stock market Exchange Traded Funds (ETF for short). When the MAD is lower the lower threshold, we short ETF. We investigate the excess return of this daily rebalancing market timing strategy. Furthermore, filing two kinds of futures hedging strategy respectively, to verify hedging under two circumstances: the technical indicators are not clear when hedging, and the indicators overheated when hedging. Through the hedging strategies, we examine the influence on trading performance on signals of trading strategy.