美國及台灣市場之動態資產配置策略

Dynamic Asset Allocation Strategies in The US and Taiwan Markets

林鈺晉(Yu-Chin Lin)

指導教授 ： 張森林

國立臺灣大學/管理學院/財務金融學系/碩士(2024年)

https://doi.org/10.6342/NTU202400358

摘要

本文建構了一個適用於美國及台灣市場的量化投資方法，該方法雖然簡單但也意味著進入門檻低，旨在降低投資風險及時間成本的同時獲得超越市場指數的報酬。本研究基於前人所研究的投資方法，包括但不限於以價值因子及動能因子為基礎的動態資產配置策略，並提出一個改良版的以動能為基礎的動態配置方法。透過實證分析該策略於美國及台灣市場中的表現，也證明該策略長期優於大盤，尤其是在熊市期間有效控制風險，最後也探討了如何利用簡單的市場指標來改善動能配置策略在市場大跌後復原率欠佳的問題。

關鍵字

動態資產配置 ； 產業輪動策略 ； 動能因子 ； 投資組合

並列摘要

This paper develops a quantitative investment method suitable for both the U.S. and Taiwan markets. Although simple, this method also signifies a low barrier to entry, aiming to reduce investment risk and time cost while achieving returns that exceed market indices. The study is based on investment methods previously researched, including but not limited to dynamic asset allocation strategies based on value and momentum factors, and proposes an improved version of the momentum-based dynamic allocation method. Through empirical analysis, the strategy's performance in both the U.S. and Taiwan markets is examined, proving its long-term superiority over the market, especially in effectively controlling risks during bear markets. Finally, the paper discusses how to use simple market indicators to improve the recovery rate of the momentum allocation strategy following significant market downturns.

並列關鍵字

Dynamic Asset Allocation ； Sector Rotation Strategy ； Momentum Factor ； Portfolio

參考文獻

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