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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 盧秋玲(Chiu-ling Lu) | |
| dc.contributor.author | Hsueh-Hung Teng | en |
| dc.contributor.author | 鄧學泓 | zh_TW |
| dc.date.accessioned | 2023-03-19T22:07:28Z | - |
| dc.date.copyright | 2022-08-03 | |
| dc.date.issued | 2022 | |
| dc.date.submitted | 2022-06-20 | |
| dc.identifier.citation | Aroskar, R. & Ogden, W.A (2012) An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values, Applied Financial Economics, 22:24, 2047-2062 Bender, J., Briand, R., Nielsen, F., and Stefek, D. (2010) Portfolio of Risk Premia: A New Approach to Diversification. The Journal of Portfolio Management Winter 2010, 36 (2) 17-25. Brinson G. P., Singer, B.D. & Beebower, G.L. (1991) Determinants of Portfolio Performance II: An Update, Financial Analysts Journal, 47:3, 40-48. Choi, D.H. & Yi, J. (2016), An Empirical Study on Price and Return of Commodity ETFs in Korea, Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 24 No. 4, pp. 525-555. Gallagher, D. R. & Segara, R. (2006) The performance and trading characteristics of exchange-traded funds. Journal of Investment Strategy. Vol 1, No.2, Autumn, 2006, 049-60. Gaivoronski, A. A., & Pflug, G. (2005). Value-at-risk in portfolio optimization: properties and computational approach. Journal of risk, 7(2), 1-31. Gorton, G. & Rouwenhorst, K.G. (2006) Facts and Fantasies about Commodity Futures, Financial Analysts Journal, 62:2, 47-68. Guo, K. & Leung, T. (2015). Understanding the Tracking Errors of Commodity Leveraged ETFs. In: Ad, R., Ludkovski, M., Sircar, R. (eds) Commodities, Energy and Environmental Finance. Fields Institute Communications, vol 74. Springer, New York, NY. Huang, H.D.& Niessen, A. How do commodity futures respond to macroeconomic news? (2008) Financ Mark Portfolio Manag 22, 127–146. Jeffrey, S. & Kenneth, S. (2010) Weighing the Risks: Are Exchange-Traded Notes Right for Your Clients? CFP Journal of Financial Planning; Oct 2010; 23 Markowitz, H. (1952). Portfolio Selection. The Journal of Finance 7(1), pp. 77-91 Magdon-Ismail, M., & Atiya, A. F. (2004). Maximum drawdown. Risk Magazine, 17(10), 99-102. Mark, P. (1999). Maximizing Utility with Commodity Futures Diversification, The Journal of Portfolio Management Summer 1999, 25 (4) 86-94 Meyers, R.J. (1994) Time series econometric and commodity price analysis: A review. Review of Marketing and Agricultural Economics. Vol. 62, No. 2, August 1994. Plyakha, Y., Uppal, R. & Vilkov, G. (2012) Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (March 1, 2012). Qian, E. (2011) Risk Parity and Diversification. The Journal of Investing Spring 2011, 20 (1) 119-127 Rokowski, D. (2017) Tail-risk Hedging, dividend chasing, and investment constraints: the use of exchange-traded notes by mutual fund. Journal of Empirical Finance 44, 91–107 Rokowski, D. (2020) What drives the market for exchange-traded notes? Journal of Banking and Finance, Vol. 111, 105702 Rompotis, G. G. (2008) An empirical comparing investigation of exchange-traded funds and index funds performance, European Journal of Economics, Finance and Administrative Sciences, 13, 7–17 Stutzer, M. (2000) A Portfolio Performance Index, Financial Analysts Journal, 56:3, 52-61. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84270 | - |
| dc.description.abstract | 本文選用巴克萊銀行發行的iPath ETNs 作為樣本數據，在資料充足性、資產低相關性的情況下，最後在短期選擇JO US, JJG US, and GAZ US；長期選擇 BCM US, GSP US, and DJP US 等六個資產和標普五百指數（作為美國股市表現代表）、ICE U.S. Treasury 7-10 Year Bond Index（作為美國債市表現代表），將以上資產納入樣本池中。 本文首先以追蹤誤差的標準差、絕對追蹤誤差、判定係數等指標檢驗樣本ETN在追蹤誤差的表現優於追蹤相同指數的ETC；再者，依據長期（2011/4-2022/3）、三年期（2018/12-2022/3）以及短期（2020/3-2022/3）依據「最大化夏普值法」、「風險權重法」、「等比例分配法」以及「60/40法」等四個法則建立不同時期的四個投資組合並以「平均/累積報酬」、「報酬標準差」、「風險價值」、「最大耗損」及「預期效用」指標來衡量投資組合表現本。本文同時獨立探討長期投資組合在過去十年中三個極端事件：「美國公債降評」、「中國股災」、「美中貿易戰」的表現。 本文研究結果顯示注重風險貢獻均等的投資原則若將商品池中的商品型ETN納入投資組合中，將能有效地降低整體投資組合的報酬波動度以及在極端情況下遇到的最大損失。此外，由於大宗商品價格在過去十年低點震盪，因此重視風險報酬均衡的的投資組合不會持有商品型ETN；但在過去三年以來商品價格自低點反彈，且2022年起股市面臨修正的情況下，持有商品型ETN將能幫助投資人得到更好的夏普值。在三個極端事件中「美國公債降評」、「美中貿易戰」兩事件中，若持有商品型ETN將能有效的降低投組波動度。 商品型的金融商品常因高波動度而被保守型投資人所忽略，且過去十年間報酬不如股票商品，然而根據本研究的發現，投資人若能以有效率的權重配置商品型ETN產品，將能夠在保守型投資人維持投資組合的穩健程度同時追求報酬，以增進整體效用。 | zh_TW |
| dc.description.abstract | The study chose iPath ETNs (issued by Barclays PLC.) as sample data. After the study considered the data sufficiency and correlations with traditional assets, the study chose JO US, JJG US, and GAZ US in the short run and BCM US, GSP US, and DJP US in the long run. The six assets mentioned above were used to form mock portfolios with traditional assets (S&P 500 index for equity and ICE U.S. Treasury 7-10 Year Bond Index for bonds.) The study first confirmed that the ETNs performed better than their ETC counterparts in tracking errors using S.D. of tracking errors, MADs, and R-square. Then the study formed four mock portfolios in each period using the 'maximizing-Sharpe,' 'risk-parity,' 'equal-weight,' and '60/40' principles. The study further checked the portfolios' performance in three extreme events: the downgrade of the U.S. federal government, China stock turbulence, and the U.S-China trade war. The study found that the inclusion of commodity ETN could effectively help investors lower the total volatility and downturn in extreme situations in portfolios' return. Traditionally, commodity-related products are regarded as highly volatile. However, if the weights are correctly calculated, including commodity-ETNs could help conservative investors stabilize the portfolios' return and improve utilities. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T22:07:28Z (GMT). No. of bitstreams: 1 U0001-1406202217203600.pdf: 1288683 bytes, checksum: ece5dbaa4afeb5c778f8e1977c6199cb (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | 誌謝 ii 摘要 vi Abstract vii I. Introduction & Literature Review 1 Inclusion of commodity assets into portfolios 1 Commodity futures and ETPs 2 Tracking errors of ETFs 4 Introduction and features of ETNs 5 II. Data 8 Introduction to iPath ETN and sample assets in mock portfolios 8 Extremes events and illustration 19 III. Method 22 Measuring tracking error 22 Portfolios building 23 Measuring the performance of portfolios 25 IV. Results 28 Examination and comparison of tracking errors 28 The long-term performance 35 Three-year-term performance 38 Short-term performance 41 Portfolios performance during extreme events 44 V. Conclusion 51 VI. Restriction and Suggestion 53 VII. Reference 55 | |
| dc.language.iso | en | |
| dc.subject | 大宗商品 | zh_TW |
| dc.subject | 指數投資證券 | zh_TW |
| dc.subject | 追蹤誤差 | zh_TW |
| dc.subject | 投資效率 | zh_TW |
| dc.subject | 資產配置 | zh_TW |
| dc.subject | tracking error | en |
| dc.subject | ETN | en |
| dc.subject | Asset allocation | en |
| dc.subject | commodity | en |
| dc.subject | investment efficiency | en |
| dc.title | 商品型ETN對於增進投資組合效率之探討 | zh_TW |
| dc.title | The Improvement of Portfolio Efficiency from The Inclusion of Commodity ETNs | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 110-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 莊文議(Wen-I Chuang),賴慧文(Christine Lai) | |
| dc.subject.keyword | 指數投資證券,資產配置,大宗商品,投資效率,追蹤誤差, | zh_TW |
| dc.subject.keyword | ETN,Asset allocation,commodity,investment efficiency,tracking error, | en |
| dc.relation.page | 56 | |
| dc.identifier.doi | 10.6342/NTU202200948 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2022-06-22 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| dc.date.embargo-lift | 2022-08-03 | - |
| 顯示於系所單位： | 國際企業學系 | |
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