投資組合保險策略搭配濾嘴法則之績效比較

Return Comparison of Portfolio Insurance Strategies with Filter Rule

許國書(Kuo-Shu Hsu)

指導教授 ： 林蒼祥

共同指導教授 ： 段昌文

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00621

摘要

投資人在證券市場追求高報酬的背後，隱含的是面臨高度風險。近年來在國內外盛行的投資組合保險策略(Portfolio insurance)，成為投資操作時，規避下檔風險的重要參考。
只是投資組合保險有無必要在投資期間全程內進行保險，遂成為一項值得研究之課題。有鑑於此，本研究加入以濾嘴法則作為判斷投資組合保險之依據，依市場狀況而決定是否進行投資組合保險之權變型投資組合保險。透過不斷調整風險性資產與保留性資產的部位，達到投資組合保險的要求。並針對此種動態調整的策略之績效表現，與標準型之投資組合保險績效，何者為佳，做一比較。
本研究以民國86年1月至93年12月共計8年之台灣加權股價指數月資料為研究對象，採用固定比例投資組合保險策略(CPPI)與時間不變性投資組合保護策略(TIPP)以為基礎之投資組合保險策略，配合濾嘴法則之應用，形成權變投資組合保險策略。驗證投資組合保險在台灣股市之可行性與績效比較。
實證得出如下結論：
1.固定比例投資組合保險策略（CPPI）與時間不變性投資組合保護策略（TIPP）是可依照個人對於風險不同的偏好來量身訂作投資組合保險策略。並且是可以依照市場狀況來作風險偏好乘數的調整。大盤走勢呈現多頭行情，就可以將乘數調高，而如果大盤屬於空頭的行情，則將乘數調低，若盤勢處於盤整的情況下，我們可以將乘數設在0 和1 之間，這樣的績效將會是最好的。
2.大盤如果是呈現多頭的走勢，權變型投資組合保險則表現績效就會越好。但如果呈現的是空頭的行情，則期初持有較少風險性資產部位的策略，標準型投資組合保險表現績效就會比較好。而權變式投資組合保險策略遇到大盤呈現長空的格局之反彈時，容易產生追高殺低的現象，不斷的買賣進出，沒有一個確定的方向，這樣只會造成交易成本的損失，這會使投組合保險的效率不彰。
3.權變型投資組合保險長期平均而言是可以有優於大盤的表現。
4.頻繁的調整資產部位，可以使投資組合保險更為精確，但是也累積了可觀的交易成本，使投資組合保險的績效大打折扣。
5.在考慮交易成本之後，實證發現3％濾嘴之權變型投資組合保險比2％、4％及5％有較佳之報酬表現。

關鍵字

投資組合保險策略 ； 濾嘴法則

並列摘要

Embedded in return enhancement is high investment risk. Portfolio insurance is one of the strategies prevailing in the recent years in protecting investors from this downside investment risk. One issue at hand is whether investors do need insurance protection during the whole term of their investment. That is the reason why this research adds in filter rules to judge the need of portfolio insurance in constructing a weighting-adjusted portfolio insurance strategy. Through continual adjustments of risky and reserving assets we can achieve the goal of portfolio insurance. We conducted a study to compare the benefits of the adjusted portfolio insurance strategy and traditional portfolio insurance strategy in terms of investment returns. In our study we used monthly data from the Taiwan Weighted Stock Index between January 1997 and December 2004 as our research material and adopted two methods, the Constant Proportion Portfolio Insurance (CPPI) and Time Invariant Portfolio Protection (TIPP), as our basic investment insurance strategies. We then applied the filter rule to form the weighting-adjusted portfolio insurance strategy to testify the feasibility of these methods in Taiwan stock market. Below are the conclusions we drew from our experiment: Both CPPI and TIPP are portfolio strategies that can be tailored to individual risk-taking preferences. We can also adjust the risk preference parameter to reflect the general market situation. When in a bull market, we can shift up the market parameter; when the market is sliding, we can tune down the market parameter. And if the market is trading in a bound range, we can set the market parameter between 0 and 1. The ability to change our market risk settings gives us the best returns. If the market is bullish, the weighting-adjusted portfolio insurance strategy can give us the best return among all insurance strategies. On the other hand, when market sentiment is bearish, the traditional portfolio insurance with a low initial market position gives us the best return. Our research also shows that weighting-adjusted portfolio insurance performs poorly when the long bear market rebounds because frequent trading might blur our overall investment strategy and booming trading costs may drag the portfolio’s overall return. The weighting-adjusted portfolio insurance strategy can beat the market in the long-term. Adjusting the portfolio composition on a timely basis can make our strategy execution more accurate. Nevertheless the corresponding trading costs also work against our return. After taking trading cost into consideration, our backward testing shows that portfolios using 3% weighting-adjusted portfolio insurance strategy delivered more satisfactory returns than those with 2%, 4% and 5% adoption rates.

並列關鍵字

Portfolio Insurance Strategy ； Filter Rule

參考文獻

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