- 學位論文
美國抗通膨公債 (TIPS) 交易策略之實證研究
TIPS Trading Strategy: An Empirical Investigation
摘要
摘要 美國抗通膨公債 (TIPS) 是一兼具收益穩定及對抗通膨兩大優點的金融商品，本論文除介紹此一金融商品之外，重點在實證分析三種廣為美國抗通膨公債投資人使用的交易策略：「多空交易策略」、「息差交易策略」、及「平衡交易策略」。實證方法主要參考 F. Bardong and T. Lehnert (2004, 2005) 這兩份尚未出版的論文，再加上「利息收入」此一報酬考量因素。 實證結果可歸納出以下三點： (1) 越近期的未來通膨預測值，其準確度越高，運用於交易策略判斷時所能獲得的報酬率也越高。 (2) 不同的交易策略，適用於不同的投資期間：「多空交易策略」適用於一個月等較短的投資期間；「息差交易策略」適用於較長的投資期間，且是三策略中績效表現較亮眼的；「平衡交易策略」沒有特別趨勢顯示較適合何種投資期間，且在三策略中的表現並未特別突出。 (3) 各交易策略運用於長年期 TIPS 的獲利績效表現，遠不如運用於短年期 TIPS 的獲利績效表現。
並列摘要
Abstract Treasury Inflation-Protection Securities (TIPS) is a financial instrument which has the features of stable return and anti-inflation function. In addition to introduce TIPS, this paper also investigates three main trading strategies of TIPS: long-short strategy, carry strategy, and break-even strategy. The methodology of this paper mainly follows F. Bardong and T. Lehnert (2004, 2005). However, one additional factor, interest incomes, is added in the methodology of this paper. The results of this research can be concluded as follows. First, using inflation estimates with shorter forecast period in these trading strategies can result in higher rates of return because of the higher accuracy. Second, different holding periods are suitable for different trading strategies of TIPS. Shorter holding period, such as one month, is more suitable for long-short strategy. On the other hand, longer holding period is more suitable for carry strategy. Moreover, the return of carry strategy is better among these three trading strategies. No obvious evidence shows that which kind of holding period is more suitable for break-even strategy. Furthermore, the performance of break-even strategy is not outstanding. Third, using TIPS with longer maturity, such as 30-year TIPS, in these trading strategies will result in worse rates of return.