以動態投資策略搭配多元資產配置之模擬分析與投資績效探討

Abstract

本研究以投資組合理論為根據，先挑選出具代表性的知名指數(Index)來代表不同類型屬性的資產標的，依據「均值-變異數(Mean-Variance, M-V)」投資組合模型，計算出各資產標的最佳配置比例，架構出效率多元資產組合配置後，再利用六種不同的投資策略進行各個投資策略的模擬回測，期間涵蓋2007年~2016年共十年，探討並分析比較六種投資策略在此期間的報酬績效與波動風險，期望能找出較佳投資效率效及較低波動風險的投資策略。 研究證實，同時納入：成熟國家股票、新興國家股票、政府長期公債、貴金屬商品，組成多元資產配置，並選定具有最高的夏普比值的目標預期收益的資產配置比例做為投資組合，可顯著地降低投資組合的波動風險。 本研究擬定六種投資策略，包括：1.單筆投資、2.定期定額、3.定期不定額逢低加碼、4.定期不定額逢低加碼且+10%停利、5.定期不定額逢低加碼且+20%停利、6.定期不定額逢低加碼且+30%停利。研究結果顯示，六種投資策略用於各單一資產項目的模擬測試時，定期不定額逢低加碼並適度停利的策略可提高投資的年化內部報酬率(IRR)及降低投資的年化標準差，故可較前三種策略有更好的投資績效。另，六種投資策略用於效率投資組合的模擬測試時，即使透過納入低相關性的資產類別到投資組合內已大幅地降低投資組合的標準差，但透過定期不定額逢低加碼+停利的投資策略，還可以再進一步將標準差降至更低。故適度停利的策略同樣可提高效率投資組合的年化內部報酬率及降低投資的年化標準差，也較前三種投資策略有更好的投資績效。

Based on Modern Portfolio Theory, this study first selects a representative index to represent the asset targets of different types of attributes, and calculates each according to the “Mean-Variance (MV)” portfolio model. The optimal allocation ratio of the asset target, after the efficiency of the multi-asset portfolio configuration, the different investment strategies are used to carry out the simulation back test of each investment strategy. The period covers a total of ten years from 2007 to 2016, and the various investment strategies are discussed and analyzed. Remuneration performance and volatility risk during this period, we hope to find an investment strategy with better investment efficiency and lower volatility risk. The results of the study show that the strategy of Incremental Unfixed Capital Investment and moderately stopping the profit can increase the annualized internal rate of return (IRR) of the investment and reduce the annualized standard deviation of the investment, therefore, it is possible to have better investment performance than the three investment strategies of single investment, regular quota or regular variable but not stop.