利用個股選擇權內含資訊從股票指數獲取超額報酬

Abstract

我們藉由個股選擇權的市場交易資訊,透過一些符合直覺的函數處理,提取出對未來大多股票指數具有預測力的指標。透過這些指標所形塑的策略,在1997~2014 年我們能夠利用自定義指標來得到不低於市場報酬的結果,平均調整部位的頻率為一年兩次,使交易成本不如短線策略高。利用市場交易的訊息就能使保險業者等具有大型股票投資的機構,在有效降低風險的同時提升報酬,無論是保險業者本身的投資部門,或是管理整個保險企業總曝險額的風控部門,都是相當重要的突破。

The article light up a way that we can gain the indicators extracting useful information by intuitive function to predict index market. We use these indicators to construct some strategies which can gain return well. Because of the low frequency of changing position, our strategies enjoy the lower transaction cost. The more profitability and less ruin risk will give large stock position of insurance more safer than before, so we think insurance will be interesting to our strategies.