臺灣博碩士論文加值系統

本研究主要的目是在建立一個可以結合風險基礎策略及趨勢驅動策略的全球戰術型資產配置模型。本研究延續Guilleminot, Ohana, and Ohana (2014) 的做法。投資標的包含了不同資產類別:股票、債券及商品。風險基礎投資組合近年來受到相當多的關注，也發展出不同的策略，本研究中使用的為單純等風險貢獻投資組合(naïve ERC)。此外使用了四種不同的指標群來衡量趨勢產生訊號，進而建構出趨勢驅動投資組合。最後將這兩種策略產生的訊號結合，建立一個結合兩種策略優勢的投資組合。
結果顯示，風險基礎投資組合能夠帶來較低的波動度及有效的下檔風險控制。趨勢驅動投資組合則是能夠帶來較為優異的報酬，但隨之而來的是較高的風險。而結合了兩種的策略的投資組合，能在高報酬與高風險中取得較好的平衡，帶來穩定高報酬的同時降低了風險，取得較高的Sharpe ratio。有趣的是合併模型的下檔風險更是遠勝風險基礎投資組合。最後本研究使用了反轉過後的樣本，重新檢驗後，發現即使在長時的下跌趨勢中，合併模型一樣能夠帶來相對正報酬及較佳的風險控制。

The purpose of this study is to construct a global tactical asset allocation combining risk-based and trend following strategies. We extend Guilleminot, Ohana, and Ohana (2014), which compares risk and trend driven strategies. Risk-based portfolios have attracted much attention in recent years and developed different strategies. The risk-based portfolio in this study uses naïve Equal Risk Contribution (naïve ERC) strategy. The trend signal includes 4 index families to measure the trend. Finally, we provide the combined model to incorporate the signals from these two strategies.
The risk-based portfolio has lower volatility and better downside control. The trend following portfolio generates more return and suffers higher volatility. The combined model takes advantage of these two strategies and balances risk and reward with a higher Sharpe ratio. Furthermore, as the robustness test shows, the combined model can still outperform in long-term downward market conditions

論文審定書..........................................................................................................i
摘要.....................................................................................................................ii
ABSTRACT.......................................................................................................iii
I. INTRODUCTION......................................................................................1
1.1 Background Information.........................................................................1
1.2 Research Purpose..................................................................................3
1.3 Research Framework.............................................................................4
II. LITERATURE REVIEW............................................................................5
2.1 Risk-Based Strategies............................................................................5
2.2 Trend Following Strategies....................................................................7
2.3 Global Tactical Asset Allocation with Multi-Strategies......................9
III. DATA and METHODOLOGY.................................................................12
3.1 Data..........................................................................................................12
3.2 Risk-Based Strategies.........................................................................15
3.2.1 Construction of Risk-Based Strategies..........................................15
3.2.2 Estimation of Volatility........................................................................17
3.3 Trend Following Strategies.................................................................18
3.3.1 Construction of Trend Following Strategies..................................18
3.3.2 Trend Signal........................................................................................19
3.4 The Combined Model ..........................................................................23
3.5 Construction of Portfolio......................................................................24
IV. EMPIRICAL RESULTS.........................................................................26
4.1 Analysis of Risk-Based Strategy........................................................26
4.2 Analysis of Trend Following Strategies............................................29
4.2.1 Testing of each Trend Index Family................................................29
4.2.2 Analysis of the Three Index Signals................................................33
4.3 Comparison of the Two Strategies...................................................34
4.4 Analysis of the Combined Model.......................................................36
4.5 Robustness Test .................................................................................39
V. CONCLUSION AND SUGGESTIONS...............................................42
REFERENCES..............................................................................................46

Anderson, R. M., Bianchi, S. W., &; Goldberg, L. R. (2012). Will My Risk Parity Strategy Outperform? Financial Analysts Journal, 68(6), 75-93.
Gwilym, O., Clare, A., Seaton, J., &; Thomas, S. (2010). Price and momentum as robust tactical approaches to global equity investing. Journal of Investing, 19(3), 80-91.
Asness, C. S., Frazzini, A., &; Pedersen, L. H. (2012). Leverage aversion and risk parity. Financial Analysts Journal, 68(1), 47-59.
Asness, C. S., Moskowitz, T. J., &; Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
Blitz, D., &; Van Vliet, P. (2008). Global tactical cross-asset allocation: applying value and momentum across asset classes. The Journal of Portfolio Management, 45(1), 23-38.
Chaves, D. B., Hsu, J. C., Li, F., &; Shakernia, O. (2011). Risk parity portfolio vs. other asset allocation heuristic portfolios. Journal of Investing, 20(1), 108-118.
Doeswijk, R., &; Vliet, P. v. (2011). Global Tactical Sector Allocation: A Quantitative Approach. The Journal of Portfolio Management, 38(1), 29-47.
Faber, M. T. (2007). A quantitative approach to tactical asset allocation. The Journal of Wealth Management, Spring, 9(4), 69-79.
Guilleminot, B., Ohana, J.-J., &; Ohana, S. (2014). Risk-versus Trend-Driven Global Tactical Asset Allocation. The Journal of Portfolio Management, 40(3), 21-33.
Maillard, S., Roncalli, T., &; Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4), 60-70.
Moskowitz, T. J., Ooi, Y. H., &; Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104(2), 228-250.
Qian, E. (2011). Risk parity and diversification. Journal of Investing, 20(1), 119-127.
Szakmary, A. C., Shen, Q., &; Sharma, S. C. (2010). Trend-following trading strategies in commodity futures: A re-examination. Journal of Banking &; Finance, 34(2), 409-426.
Wang, P., &; Kochard, L. (2011). Using a Z-score approach to combine value and momentum in tactical asset allocation. Journal of Wealth Management, 15(1), 52–71.