- 學位論文
風險係數改變對投資組合保險績效的影響
An empirical study of the performance of the Portfolio Insurance through the adjustment of risk paramter
摘要
投資組合保險的目的是使投資者在空頭時能維持一定價值，另一方面在多頭時又能參 考市場上漲的增值利益。在目前發展出眾多之投資策略中，時間不變的投資組合保險策略(Time-Invariant Portfolio Protection ； TIPP) 及固定比例投資組合保險策略（ Constant Proportion Porfolio Insurance；CPPI）相對較為簡易，一般而言，在執行這兩種投資策略時，投資者會採風險態度係數固定之操作模式，但行為財務學則指出投資者的風險態度係數並非固定，因此，本研究參考行為財務學的建議，針對投資人風險態度改變動態調整風險態度係數，以檢視風險態度係數變動與否對投資績效的影響。 一般而言，投資者風險態度改變主要受其績效與其對未來趨勢的看法而定，就投資者對未來趨勢判斷而言，技術分析是一廣為使用的工具，但不可諱言的是，技術分析長久以來備受學術界質疑，而近來學術界發現隱含波動率為一有效預測市場趨勢改變的工具，因 此，本研究擬以隱含波動率作為調整投資者風險態度係數之依據。本研究除了使用VIX(Volatility Index；波動率指數)來調整投資者的風險態度外，本研究亦使用買權的隱含波動率IVC 及賣權的隱含波動率IVP 來調整投資者風險態度係數，主要是考量特殊事件發 生時，賣權隱含波動率的變動似乎較VIX 更為敏感，另一方面，如投資者對未來看好，則會傾向交易買權。因此本研究在調整風險態度係數時，將分別導入VIX、IVC、IVP，企圖由不同的隱含波動率IV 的使用，更進一步瞭解個別指標在投資組合保險的適用性。 透過以上三種波動率指標相對落點與現貨指數相對高低的關係，動態調整TIPP 及CPPI 策略中之風險態度係數M 值，並以2003/6/30~2007/10/9 為研究時期，探討投資組合的績效報酬及風險程度，實證研究結果發現： 一、 整體而言，各種策略的績效受研究期間的影響甚大。 二、 在股市下跌時，（1）無論是CPPI 或TIPP 投資策略，針對Mean-Variance 觀點來分析，將風險態度係數M 值固定為2 其績效優於動態調整風險態度係數；（2）以動態調整風險態度係數M 值而論，不論那一種指標，就Mean-Variance 觀點來分析，TIPP 績效最佳，其次為CPPI，最後為Buy and Hold；（3）就所採用之VIX、 IVC、IVP 三種波動率指標來分析，就報酬率而言，不論TIPP 或是CPPI，以IVP波動率指標動態調整均較VIX 及IVC 為佳，但風險亦較大。 三、 在股市上漲時，（1）無論是CPPI 或TIPP 投資策略，針對Mean-Variance 觀點來分析，將風險態度係數M 值固定為6 其投資報酬優於動態調整風險態度係數，但風險較大；（2）以動態調整風險態度係數M 值而論，不論是那一種指標，就報酬率來分析，Buy and Hold 最佳，其次為CPPI，最後為TIPP。（3）就所採用 之VIX、IVC、IVP 三種波動率指標來分析，就報酬率而言，不論TIPP 或是CPPI，以IVC 波動率指標動態調整均較VIX 及IVP 為佳，但CPPI 的風險亦較大。 四、 以全期而言，本質上為多頭走勢，但因期間有多段空頭，以致其結果與前述純多頭走勢有異。其實證結果為（1）風險態度係數固定的報酬未必較動態為佳；（2）就報酬率來分析，Buy and Hold 最佳，其次為CPPI，最後為TIPP，但風險相對較高；（3）就VIX、IVC、IVP 三種波動率指標動態調整風險態度係數而言，以IVP 波動率指標的報酬較大，但風險亦為最大。
並列摘要
Portfolio insurance is designed to give investors the ability to participate in upward market movements while limiting downside risk. The Time-Invariant Portfolio Protection (TIPP) and Constant Proportion Portfolio Insurance (CPPI) are the two relatively simpler portfolio insurance strategies among the currently available ones. Since investors’ attitude towards risk, as pointed out in the behavioral finance, does not stay constant, the thesis studies the performance of the TIPP and CPPI together with the dynamical adjustment of their M multiplier in response to the change in the investors’ risk attitude and hedging needs. In general, investors’ attitude toward risk is affected by their portfolio performance and their market view. Although technical analysis has long been widely used, recent academic study has found implied volatility to be a more effective predictor of the change in market irection. Therefore, this research employs implied volatility as a parameter in gauging investors’risk attitude and in adjusting the M multiplier. Considering that the implied volatility of puts (IVp) could reflect the panic demand for hedging during periods of market turmoil and the implied volatility of calls (IVc) could IV incorporate the anticipated bullish sentiment, this research adopts, in addition to the volatility index (VIX) which uses the same calculation as CBOE VIX, also IVc and IVp to understand the suitability of each parameter applied in TIPP and CPPI. For the study period of 2003/06/30 to 2007/10/09, this research, through the value of IVp, IVc,and VIX associated with the TAIEX related high and low, dynamically adjusts the TIPP and CPPI risk profile multiplier M to evaluate the portfolio’s risk adjusted return. The following findings are observed: 1. The performance varies greatly with different evaluation periods. 2. For a downtrend period and analyzed from the Mean-Variance viewpoint, the TIPP and CPPI produce the best performance when the multiplier M is set constant at 2. But, if the multiplier M is variable, in terms of risk adjusted return, TIPP is better than CPPI which is in turn better than the Buy and Hold strategy regardless of which of the IVp, IVc or VIX is used. When the use of IVp, IVc, and VIX is further examined, IVp produces the highest return but also highest risk. 3. For an uptrend period and analyzed from the Mean-Variance viewpoint, the TIPP and CPPI produce the highest return with highest risk when the multiplier M is set constant at 6. But, if the multiplier M is variable, in terms of rate of return, Buy and Hold strategy is better than CPPI which is in turn better than TIPP regardless of which of the IVp, IVc or VIX is used. When the use of IVp, IVc, and VIX is further examined, IVc produces the highest return and also the highest risk if employed in CPPI. 4. For the whole evaluation period consisting of both uptrend and downtrend periods with the uptrend periods outnumbering the downtrend period, fixing the value of multiplier M may not necessarily produce a better performance than varying it. Also, in terms of rate of return, while Buy and Hold strategy appears to be better than CPPI which is better than TIPP, it also produces the highest risk. Further analysis of the use of IVp, IVc and VIX reveals that the use of IVp produces the best rate of return but also the highest risk.