不同總體經濟環境下系統風險分散方法之敏感度分析

Abstract

此篇論文旨在討論不同總體經濟環境和經濟循環週期階段下系統風險分散方法之敏感度分析。本篇研究討論量化建模方法以及策略投資風險分散方法之可行性以及其在不同總體環境下的表現。我們採用耦合進行量化多變量建模，並使用50/50 動能/價值投資組合作為策略風險分散方法。本研究採用以各種資產種類為標的之美國 ETFs 作為資產交易之選擇以提供投資人更具有可行性的結果。我們得出結論為量化建模以及策略投資分散方法統計上皆顯著有效，而在經濟擴張期內策略投資分散方法表現優於整體市場，而量化建模方法則整體上更為穩健，對總體經濟環境之敏感性較低。

We discuss the efficiency of systematic risk diversification under various macroeconomic environments and economic cycle phases using both quantitative approach and strategic approach. We adapt Copula for quantitative multivariate modeling and combo of 50/50 momentum/value for strategic approach. For more accessible and investable results, we apply the U.S. Exchange-Traded Funds (ETFs) with various assets underlying as asset universe in this study. We conclude that both approaches we proposed are valid and effective and that the strategic approach outperforms the market in the expansion period, while the quantitative approach is overall more robust and less sensitive to macroeconomic environments.