本文採用一般大眾分散風險的投資方式,以股票六成債券四成的資產配置為基礎,每月檢視股債比例加以調整。比較三種不同方式的交易方式:買進並持有、 股債比 6:4 每月再平衡與依據美國聯準會降息結果當作調整信號調整股債比例。利用報酬率、波動率、 Sharpe ratio 、 Sortino ratio 與最大回撤值去比較每一種交易策略的結果優劣。實證結果發現,以每月再平衡調整股債比 6:4 之策略波動性最小、 Sortino ratio 最佳與最大回撤值最小。而依美國聯準會降息結果調整股債比的策略因結合了買進並持有與再平衡策略的特點,在市場大幅往上時,提高風險性資產比例;在市場大幅下挫時,同時具有再平衡策略因調整股債比而加大向下波動的特性,使波動性最大、 Sharpe ratio 與 Sortino ratio最差但得到最佳的報酬率。
This article takes the popular 60-40 stock-bond portfolio as the base case. It adopts three strategies: buy and hold, monthly rebalancing and the Federal Reserve cutting interest rates as a signal to rebalancing. The result of this study found, the monthly rebalancing strategy in risk measurement indicators such as volitility、Sortino ratio and maximum drawdown are better than other strategies. The Federal Reserve cutting interest rates as a signal to rebalancing is the best in return, but with high volatility.