臺灣博碩士論文加值系統

美國期貨交易顧問績效(CTA)持續性評估之研究
研究生：姒元忠 指導教授：盧陽正博士
中文摘要
我國開放國外期貨交易已超過八年(民國八十三年四月二十八日第一家合法期貨公司正式成立), 同時主管機關正準備開放期貨服務事業(期貨經理與期貨投資顧問)，如何選擇優良之期貨交易顧問也成為業者與投資人重要課題，而本研究之問題如下：
一、 根據期貨交易顧問之歷史交易績效探討是否其交易績效具有持續性，如有發現有持續性現象，則投資人可藉由期貨交易顧問績效變化來選擇期貨交易顧問之進出場時間；反之如果期貨交易顧問之績效不具有持續性，則投資人更應慎選期貨交易顧問，而非被其當下之高績效所迷惑。
二、 另外，透過本研究亦可看出當分析期貨交易顧問之績效時，時間區間之選擇對於結論有很大影響，這種現象也提醒投資人不應僅看到期貨交易顧問績效之表面，而需更瞭解績效所代表之意義。
本研究係根據美國ITR公司之期貨交易顧問績效資料庫進行實證分析，主要結論如下：
1. 強者恆強、弱者恆弱之現象並非明顯存在於美國期貨交易顧問市場中。
2. 在美國期貨交易顧問市場中，若形成期較長時(大於6個月)，則出現強者轉弱、弱者轉強之機會較大。
3. 若以取樣美國期貨交易顧問之年報酬率操作績效與史坦普五百指數(S&P 500)、里曼兄弟債券指數(Lehman Brother Bond Index)等大盤指數相比，顯示管理期貨(Managed Futures)應可做為交易人之新種交易標的之一。
關鍵詞：期貨交易顧問、 管理期貨、績效持續性、動能操作策略、反向交易策略

Research into
the Evaluation of the Performance Persistence of American Commodity Trading Adviser
ABSTRACT. The development of Taiwan futures market has been eight years since the Security and Futures Commission (SFC) passed the Foreign Futures Trading and the first legal Futures Commission Merchant (FCM) was founded in April 28th 1993. Recently, the Security and Futures Commission is ready to pass the business of Futures Service Industry－The Futures Trading Company and The Futures Investment Consultant; therefore, of interest is to give a measurable ranking of commodity trading adviser (CTA). Many previous works has primarily relied on the track of past records of CTA; however, we can not make sure where do CTA returns come from. Instead of records-track works, this paper is to understand whether the momentum strategy of CTA returns is profitable. In other words, the winner portfolio of today guarantees with profit in the near future.
The study is based on the database of International Trader Research. The momentum effects testing of CTA returns shows the evidences as follows: (1) The winner portfolio of CTA today will not always continue in the near future. (2) For CTA market in American, the relatively strong or weak winner portfolio preceding reversal signals is easier profitable over the six-month formation period. (3) The annual return of American CTA is much better in comparison with the Index benchmark of the S&P 500 stock index and the Lehman Brother Bond index. It reveals that Managed Futures will be one of the new trading tools for investors in the near future.
Keywords. Commodity Trading Adviser, Managed Futures, Performance persistence, Momentum strategy, Contarian strategy

目 錄
第壹章 緒論 1
1.1 研究背景與動機 1
1.1.1 管理期貨業與期貨交易顧問 2
1.1.2國外管理期貨業之發展歷程 5
1.2 研究目的 13
1.3 研究步驟 14
第貳章 文獻探討 15
2.1 動能投資策略及反向操作策略 15
2.1.1 證券市場操作策略 16
2.1.2 共同基金操作策略 17
2.2 期貨交易顧問績效之持續性研究 18
第參章 研究設計與方法 20
3.1 一維簡單動能策略及反向操作策略模型 20
3.2 研究設計 21
3.3 一維簡單動能策略及反向策略之形成與檢定 23
3.3.1累積報酬率之估算 23
3.3.2一維簡單動能策略 24
3.2.3 一維簡單反向策略 26
第肆章 實證分析 29
4.1 資料說明 29
4.1.1 資料類別及種類 29
4.1.2 資料選取時間 30
4.1.3 資料來源 30
4.2 動能策略之績效分析 30
4.2.1 就全體資料而言 30
4.2.2 就分類資料而言 31
4.2.3小節 35
4.3 期貨交易顧問操作績效與市場報酬 37
第伍章 結論 40
5.1 總結 40
5.2研究限制與未來發展 42
參考文獻 66

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