臺灣博碩士論文加值系統

本研究藉由財務研究中重要的十個因子為配置標的，透過六種投資組合建構模式，包含馬克維茲、Black-Litterman、風險平價、倒數加權、極大化分散加權和等權重方式，分析投資組合績效表現。我們觀察因子報酬週期性表現，與不同投資組合建構模式在牛熊市和景氣循環狀況下的績效，以及任一時點進場投資勝過大盤(S&P500)的機率。研究顯示，風險平價模型在牛市期間有最佳的詹森指標，而且長期而言夏普值最佳; 馬克維茲模型所建構的投組，景氣衰退期間詹森指標最好且長期累積報酬最佳，其持有期間越長，勝過大盤的機率越高。

This paper takes ten financial anomalies that are empirical to be our sample’s underlying assets. We then adopt six different portfolio constructions, including Markowitz Mean-variance, Black-Litterman, Risk Parity, Inverse weight, Maximum Diversification, and equal weight, to build up portfolio returns, and observe the factors’ cyclical performance, the conditional performances of the six portfolios in bullish, bearish, and recovery markets, and winning over the benchmark (S&P500) assessment by buying and holding portfolios for different holding period lengths regardless of which month a position is initiated. This study shows that the Risk Parity portfolio has the best Jensen’s alpha in bullish markets and the highest Sharpe ratio in the long run among the six portfolio construction methods. The Markowitz approach has the best Jensen’s alpha during contraction periods and the highest cumulative returns in the long term, and that a longer holding period has a better chance of winning over the benchmark (S&P500).

摘要 i
ABSTRACT ii
List of Tables v
List of Figures vi
1. Introduction 1
2. Literature Review 3
2.1 Factor Allocation 3
2.2 Portfolio Construction 5
3. Data and Methodology 7
3.1 Data 7
3.2 Methodology of Portfolio Construction 11
3.2.1 Black-Litterman (1992) model 11
3.2.2 Risk Parity model 14
3.2.3 Maximum Diversification portfolio asset weights 14
3.2.4 Inverse Volatility portfolio asset weights 15
3.2.5 Equal weight 15
3.2.6 Rolling-window design 15
3.2.7 Winning over the benchmark (S&P500) assessment 15
3.3 Backtesting 16
3.3.1 Performance analysis 16
3.3.2 Conditional performance in market cycle and business cycle phases 17
3.3.3 Analysis of sub-period financial events 17
4. Empirical Result 19
4.1 Factor Performance 19
4.2 Conditional Performance of the Factors 26
4.3 Portfolio Performance 34
4.4 Conditional Performance of Portfolios 40
4.5 Sub-period Performance: Dot.com and 2008 Global Financial Crisis 52
4.6 The Probability of Outperforming S&P500 in Different Holding Periods 58
5. Conclusion 60
References 62
Appendix 65

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