非連續目標風險策略-以臺灣大盤市場為例

Abstract

本研究試圖比較兩種目標波動的策略，分別是傳統的目標波動法以及非連續目標波動法，根據不同的風險指標以及不同的資產再平衡方式進行績效之比較。 研究結果顯示，如果是每周對投資組合進行資產再平衡，選取VIX指數之非連續目標波動法表現最好，並且四種方法的績效都高於大盤本身；但若是等實際資產比例偏離理論值到一定程度才進行資產再平衡的話，也就是後面所簡稱的緩衝再平衡法，不但其中三個策略的績效和定期再平衡的結果差距不大，而且四種策略之績效一樣優於大盤外，此法的投資組合再平衡次數相較定期再平衡法大幅降低，可減少交易手續費。而上述所提的八種策略，都能有效的控制投資組合的平均標準差、最大交易回落以及最大標準差。

This research intends to compare two target volatility strategies’ performance, traditional target volatility method and discontinuous target volatility method, depending on different risk measure and two asset rebalancing methods. The result shows that if portfolio was rebalanced on a weekly basis, discontinuous target volatility method based on VIX is the best strategy, moreover, all four strategies performed better than TAIEX itself. However, if the portfolio was rebalanced with buffer, three of the four strategies had similar performance with those rebalanced weekly while all four strategies still performed better than TAIEX, more importantly, the frequency of rebalancing can be reduced significantly, thus led to less transaction fees. All eight strategies can efficiently control the average volatility, maximum drawdown and maximum volatility of the portfolio.