從芝加哥期權交易所標準普爾500指數掩護性組合策略看超額報酬

Finding Alpha in CBOE Standard & Poor 500 Covered Combo Index

江貞頤(Chen-Yi Chiang)

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2017年)

摘要

芝加哥期權交易所(CBOE)標準普爾 500 掩護性買權策略(S&P 500 BuyWrite Index, BXM)在過去 15 年來都有比標準普爾 500 指數更好的表現:有 差不多的報酬，卻有更低的標準差。而本論文討論的是比較新的標準普爾 500 掩 護性組合策略指數(S&P 500 Covered Combo Index, CMBO)，先對這個指數的 內容以及由來作介紹，接著看各因子與此策略表現的關係，並且和其他策略及指 數比較他們的表現，最後看這些策略的超額報酬阿爾法係數(Alpha)──絕對報 酬和預期報酬之間的差額，並分析適合這項策略的投資人。

關鍵字

阿爾法係數 ； 掩護性組合指數 ； 交易策略

並列摘要

The S&P 500 BuyWrite Index have, on average, outperformed the S&P 500 Index over the past 15 years while realizing lower standard deviations of returns. This analysis dissects the new strategy CBOE S&P 500 Covered Combo Index, introduces the strategy’s construction and its story. Then, we see the relationship between the factors and strategies, and compare the performance with other strategies and S&P 500 index. Finally, we focus on the alpha in this strategy, which is the difference between absolute return and expecting return, and then we make a conclusion about this strategy and discuss which investors are recommended to use this strategy.

並列關鍵字

alpha ； covered combo index ； strategy

參考文獻

1. Asness, C. S., Frazzini, A., & Pedersen, L. H. (2012). Leverage aversion and risk parity. Financial Analysts Journal, 68(1), 47-59.

3. Israelov, R., & Nielsen, L. N. (2014). Covered Call Strategies: One Fact and Eight

Myths. Financial Analysts Journal, 70(6), 23-31.

4. Israelov, R., & Nielsen, L. N. (2015). Covered Calls Uncovered. Financial

5. Israelov, R., & Klein, M. (2016). Risk and Return of Equity Index Collar Strategies.