運用Riskiness R作為投資標的篩選指標的可行性——以美國交易所交易的股票型ETF為例

The feasibility of using Riskiness R as a screening index for investment portfolios––A case study of Equity ETFs traded in US exchange

黃郁珺(Yu-Jyun Huang)

指導教授 ： 石百達

共同指導教授 ： 蔡芸琤(Yun-Cheng Tsai)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202001150

摘要

本文欲探討使用Schnytzer and Westreich (2013)修正提出的Riskiness R作為標的資產篩選的衡量指標，建構投資組合的策略是否具有可行性；該指標是依照資產的報酬與風險因素共同衡量。以在美國交易所交易的股票型ETF為標的資產。結果顯示Riskiness R指標在已開發國家市場中回測資料表現符合預期結果：過去績效表現佳的資產，在進行下一期投資時表現亦能保持優良，代表Riskiness R指標可運用在已開發國家市場的投資組合策略中。從回測過程中發現資料回溯時間長度與標的資產分組組數會影響投資組合績效表現，本文也對此細究投資組合策略最佳化的配置；回測結果為回溯13週的歷史資料、將標的資產分為5組、並使用級距中表現最好的ETF群組當作投資標的資產是最佳的投資策略設定。並將投資組合與市場指數S P500相比，得到平均報酬率與風險波動度皆優於市場指數的結果，再次驗證Riskiness R的有效性。

關鍵字

股票型ETF ； Riskiness R ； 績效衡量指標 ； 投資策略 ； 歷史回測

並列摘要

This paper examines the feasibility of using Riskiness R, a performance measurement measured by return and risk, as a performance measurement to screen out assets and develop a portfolio strategy. Take equity ETFs traded in the U.S. market as underlying assets. The data backtesting results show that the performance of portfolios, chosen by the Riskiness R index, in the developed countries’ market is in line with the expectation: Assets with good performance in the past can also maintain good performance in the next investment period. In other words, the Riskiness R index can be used in portfolio strategies in developed national markets.
Besides, it is found that the data backtracking time and the number of asset groupings will affect the performance of the portfolio. This paper also examines the optimal setting of the portfolio strategy. The results show that 13 weeks of historical data, 5 groups ETFs, and the best performing ETF groups as the underlying asset are the best portfolio strategy. Comparing the investment portfolio with the market index S P500 showed that the average return and risk volatility of the investment portfolio are better than the market index, and the effectiveness of Riskiness R is verified.

並列關鍵字

Equity ETF ； Riskiness R ； Performance measurement ； Investing strategy ； Data backtesting

參考文獻

Schnytzer, A., Westreich, S. (2013). A global index of riskiness. Economics Letters, 118(3), 493-496.

Aumann, R. J., Serrano, R. (2008). An economic index of riskiness. Journal of Political Economy 116(5), 810-836.

Foster, D. P., Hart, S. (2009). An operational measure of riskiness. Journal of Political Economy 117(5), 785-814.

Schreiber, A. (2012). An economic index of relative riskiness. SSRN Working Papers. Available at SSRN 1988211.

Homm, U., Pigorsch, C. (2012). Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement. Journal of Banking Finance, 36(8), 2274-2284.