管理期貨基金配置於投資組合之效率性研究

Abstract

本研究試圖以投資組合的觀點，將管理期貨基金納入投資組合之中，加上股價與和債券價格來加以研究，以 Markowitz﹙1952﹚的平均數-變異數的投資組合理論為主體，探討管理期貨基金是否可有效的提升投資績效，降低投資組合風險，獲得多元化的投資收益，進而在眾多的投資機會和管道到下，尋找能夠對抗金融危機，為資產的配置找出一個新的組合與方向。 研究結果顯示，管理期貨基金作為資產配資的工具，確實能有效提升報酬率或有效降低投資組合的風險，將投資組合效率前緣往左上推移，亦發現管理期貨基金的績效表現在金融風暴下影響甚小，突顯其對抗金融危機的特性。

Starting from an investment portfolio point of view, we put managed futures into the investment portfolio comprised of stocks and bonds for studying. We apply the concept of mean-variance efficiency developed by Markowitz﹙1952﹚to research whether the investment portfolio included managed futures can increase portfolio return or reduce portfolio risk. If I can find an investment vehicle against a financial crisis, we will be able to look for a new ideal investment portfolio for asset allocation in many investment vehicles The results show when managed futures are included in a portfolio comprised of stocks and bonds, the portfolio return is higher and/or the portfolio risk is lower, moving the efficient frontier northwestward. We also found the impact of the performance of managed futures on financial storms was very small, which shows the outstanding characteristic against the financial crisis.