CPPI及TIPP投資組合策略搭配濾嘴法則之實證研究

Abstract

當市場趨勢不明時，一個能夠做出多空判斷，又具備效率及紀律的投資策略或許能為投資人帶來較好的績效，隨著全球股票市場受到次貸風暴及大宗商品價格高漲的影響，在多頭榮景的期待下仍有極大的不確定性，因此，具有保本特性但又能參與股市上漲契機的投資策略產品就逐漸受到投資人的重視，其中市場較常使用的就是固定投資組合保險策略(Constant Proportion Portfolio Insurance, CPPI)及固定時間不變的投資組合保險策略(Time-Invariant Portfolio Protection, TIPP)，此等方法是藉由動態調整投資組合內的風險性資產(Risk Asset)及保留性資產(Reserve Asset)，期使能達到保本效果之餘也能創造利潤。 本研究以濾嘴法則作為CPPI及TIPP判斷多空趨勢進而做動態調整策略的方法，搜集包括日本、香港、台灣、中國大陸、越南等地之股價走勢資料，實證研究CPPI及TIPP策略在不同市場下的報酬表現。進而了解CPPI策略及TIPP策略是否確實能達到避險效果又能如投資者所設想般參與獲利。本研究期望藉由實證分析了解濾嘴法則之有效性、選擇投資組合策略參數之重要考慮因素以及投資人在選擇投資組合策略時所不能忽略的重要議題。

An efficient and disciplined investment strategy which can determine the trend of underlying movement may bring better return to investors. As the global market has been affected by the sub-prime mortgage crisis and the inflation of commodity price, though in long-term view a bull economic growth is expected, the uncertainty, as a shadow in the sunny day, remains. For this situation, an investment strategy which can not only protect principal but also have the exposure to the buoyance of the market finds favour by investors. Constant Proportion Portfolio Insurance Strategy (CPPI) and Time-Invariant Portfolio Protection Strategy (TIPP) are two important portfolio insurance strategies which are popular in financial industry. By dynamically adjusting the allocation of Risk Asses and Reserve Asset in the portfolio, insurance strategy aim to catch the profit and lock the principal at the same time. In this thesis we use filter rule as the judgment of bull/bear trend of the underlying for the CPPI and TIPP strategies. We collect the stock market data of Japan, Hong Kong, Shanghai, Taiwan and Vietnam, by analyzing the practical numbers we try to verify if the CPPI and TIPP strategies can really attain two way advantages by a single move. Also, in this research we try to prove the efficiency of Filter Rule, to show the key factors of making the Portfolio Insurance Strategy and to remind important issues for investors in valuing the performance of insurance strategy.