運用風險對沖策略建構低風險台股投資組合

Using Hedging Strategies to Construct Low Risk Portfolios

傅大哲(Ta-Che Fu)

指導教授 ： 李維平

中原大學/商學院/資訊管理研究所/碩士(2018年)

https://doi.org/10.6840/cycu201800630

摘要

現今台灣環境有薪資漲幅不及物價攀升的狀況，使得理財投資越來越盛行，定存較不如以往熱門。在投資領域中，各種商品不斷推陳出新。影響投資效益的不外乎報酬率及風險。一般來說，要有高報酬就要承擔高風險，除了如何選擇良好投資標的，如何創造在維持一定報酬率下，降低風險的投資組合也成為越來越多人關注的課題。
過去台灣股市投資組合或策略之研究，以各面向的因子進行篩選或搭配，挑選出值得投資的股票。過去研究的方法一般都有不錯的報酬率，但是報酬率較不穩定，亦即波動性較大。
本研究利用多因子選股法篩選出值得投資的股票，研究期間自2010年至2018年第一季，以台灣50、中型100為研究樣本，以風險對沖之概念，透過風險分配資金比例及搭配不同的投資標的，建構低風險波動高報酬的投資策略。研究發現，效果最好的組合是股票搭配石油期貨，報酬率為12.29%，波動度為0.167。相較於過去研究，報酬率不相上下但是波動度降低很多。

關鍵字

多因子選股 ； 風險對沖 ； 投資組合

並列摘要

Due to the inflation outpacing the growth of wage, financial investment is growing in popularity in contrast to the decline of time deposit. In the realm of investment, new products continue to spring out. What influences the benefit of a investment are the return on investment(ROI) and the its risks. Usually, high rewards involve high risks. Thus, besides knowing what is a good investment, the ability to reduce risks whilst maintaining the ROI in an portfolio investment is what more and more people are focusing on.

Strategizing of portfolio investments in Taiwan in the past, employed filtering and mix-and-match based on multiple factors, to trim out stocks that were worth invest in. It yielded positive results. However, the ROI was unstable, as in it had a higher volatility.

This research utilized the multi-factor model to filter out worthwhile stocks. Samples were from Taiwan 50 index and mid-cap 100 index from 2010 to the first quarter of 2018. Using the concept of hedging, we divided our fund based on risks and mixed different investment targets, to build a plan with low risks and volatility, but with high ROI. From our research, we found out that the best combination was stocks and oil futures. The ROI was 13.55% with volatility of 0.167. Compared to past researches, the ROI was almost the same but with greatly reduced volatility.

並列關鍵字

Multi-Perspective Factors ； Hedging ； Portfolios

參考文獻

韓聖弘. (2015). 整合基本、技術及籌碼面建構台股投資策略. 中原大學資訊管理研究所.

參考文獻

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