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標題: | 股債平衡策略:以美國標準普爾500指數與政府公債指數為例 Balanced Index Strategy:An Application of the S&P500 Index and the Government Bond Index |
作者: | Cheng-Chao Sung 宋承昭 |
指導教授: | 李顯峰 |
關鍵字: | 波動率指數,股債平衡,股債不平衡,指標指數,策略指數,領先指標,落後指標, Volatility Index,Balanced Index,Non-Balanced Index,Benchmark Index,Strategy Index,Leading Indicators,Lagging Indicators, |
出版年 : | 2020 |
學位: | 碩士 |
摘要: | 本研究以美國標準普爾500指數與彭博巴克萊美國公債指數為例,透過指標指數 (Benchmark Index)建構一個股債平衡策略 (Balanced Index);應用總體經濟變數來預測市場之研究架構作為出發點,由財富終值去思考建構策略指數 (Strategy Index),並搭配領先指標與落後指標的概念延伸發想由預測變數產生交易訊號。我們嘗試透過各種總體經濟、基本面與市場面等變數,總共分為23群237個變數,利用時域 (Time Domain) 的固定數值與指數平滑移動平均之方法定義多頭趨勢與空頭趨勢,並依此建立各種預測變數針對指標指數的買賣交易訊號,進而建構各種策略指數,並由績效分析檢視指標指數與策略指數之間的報酬風險差異,計291筆月樣本資料,實證結果發現採行股市平衡的投資策略可獲得較佳的投資績效,似乎較適合長期投資與退休計畫的決策模式與策略配置。 This study uses the US Standard & Poor's 500 Index and Bloomberg Barclays US Treasury Bond Index as examples. It constructs a Balanced Index through the Benchmark Index; and uses the overall economic variables to predict the market research framework as a starting point. Think about the construction of the Strategy Index from the final value of wealth, and extend the concept of leading indicators and lagging indicators to think of generating trading signals from predicted variables. We try to define a long trend and a short trend by using a fixed value of the Time Domain and an exponential smoothing moving average through various general economic, fundamental and market variables, which are divided into 23 groups and 237 variables in total. This establishes various forecasting variables for the trading signals of the index index, and then constructs various strategic indexes. The performance analysis examines the return risk difference between the benchmark index and the strategy index. Based on 291 monthly sample data, the empirical results show that adopting a balanced investment strategy in the stock market can achieve better investment performance, and it seems to be more suitable for long-term investment and retirement planning decision models and strategic configurations. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66847 |
DOI: | 10.6342/NTU202000165 |
全文授權: | 有償授權 |
顯示於系所單位: | 經濟學系 |
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