- 學位論文
風險平價策略與風險因子分析
Analysis of Risk Parity Strategies and Risk Factors
摘要
隨著近年金融市場的波動度越來越高，投資人更注重個別資產的風險配置。本篇論文應用風險平價理論於投資策略，以每項資產對整體投資組合保持相同風險貢獻的特性，利用標準普爾500股票建構投資組合，藉此和價值加權、均等權重投資組合進行比較。並考慮不同形成和持有期、交易成本和樣本期間，以及影響風險平價的風險因子。本文從月超額報酬、夏普值、索丁諾比率、崔諾比率和四種下方風險深入剖析風險平價法的應用時機和特性。實證結果顯示，風險平價策略優於傳統投資組合，即使投資組合只包含股票並且扣除交易成本後。風險平價的優異績效主要是由於其較低的波動性而不是較高的報酬，且提供更強的下方風險保護以抵禦市場衰退。由於高動能股票間高度相關的波動性，能提升風險平價策略相對於價值加權策略的績效表現；另一方面,高淨值市價比成分股，可能包括較多賬面價值高的大型股，而削弱了風險平價的優勢，使價值加權策略表現更好。
並列摘要
With the volatility of the financial market increasing in recent years, the risk allocation of individual assets has been gaining in popularity. This paper applies the theory of risk parity to investment portfolios composed of S&P 500 stocks, compared to the value-weighted and equal-weighted strategies. Also, we partition portfolios into several groups by stock characteristics, then attempt to find out the relationship between risk factors and risk parity. In our study, we analyze the timing and performance of risk parity portfolios in terms of the excess returns, Sharp ratios, Sortino ratios, Treynor ratios and four downside risk measurements. The empirical research also takes into account the impact of trading costs and the effect of a sample period on the outperformance of risk parity strategies. We suggest that the risk parity is a preferred strategy on the basis of the performance evaluation ratios and downside risk measurements in our study - even portfolios invest only in stocks and adjust for transaction cost. The outperformance of risk parity is largely due to its lower volatility rather than higher returns and the risk parity strategy can provide stronger downside protection against market downturns. High momentum component stocks can improve the outperformance of risk parity over value-weighted strategies because of the highly related volatility; on the other hand, high BM component stocks, which may include lots of large stocks with high book equity, diminish the dominance of risk parity strategies and make the value-weighted strategy perform better.
參考文獻
延伸閱讀
- 華敏學（2021）。結合多因子與風險平價模型於資產管理的應用〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU202101105
- 陳家昌（2006）。投資最佳化組合數學模式中風險值預估方式之研究〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://doi.org/10.6841/NTUT.2006.00374
- 顏榮威（2020）。風險平價與其他傳統投資組合之績效分析〔碩士論文，國立政治大學〕。華藝線上圖書館。https://doi.org/10.6814/NCCU202000497
- 楊博丞（2016）。投資組合報酬率風險值與條件風險值估計方法之實證分析〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-2209201608371000
- Lin, S. K., Chen, T. F., & Lin, C. T. (2016). Analysis of Risk Management Strategies for Contingent Convertible Bonds. 財務金融學刊, 24(4), 47-83. https://doi.org/10.6545/JFS.2016.24(4).3