以 Aumann and Serrano 新風險指標重新檢視基金投資策略之績效

Measuring the Performace of Investment Strategies with a New Index of Riskiness

楊峻瑋(Jun-wei Yang)

指導教授 ： 葉錦徽

國立中央大學/管理學院/財務金融學系/碩士(2015年)

摘要

本文觀察一般投資大眾易於操作的投資策略，分別計算並比較「定期定額」、「單筆總額」、「買進持有」投資策略所涉的風險和風險調整後績效。藉由標準差以及含有「隨機優越」概念之新風險指標衡量風險，採用 Foster and Hart (2009) 修正 Aumann and Serrano (2008) 的公式，運用 sharpe ratio、sortino ratio、upside potential ratio、EPM 等風險調整後績效指標加以比較。首先，發現定期定額降低平均持有成本的效果並不明顯，只有當股價趨勢往下的時刻才能有效發揮降低平均持有成本。接著，若將投資期間分成1、3年，無論是哪種投資期間或投資標的，定期定額績效最差；且若將投資年限延長至3年，定期定額的風險指標將變成三種投資策略之中最高。最後，我們把基金依照新風險指標與標準差排序後形成高風險、低風險投資組合進行風險與績效比較，結果顯示三種投資策略依照新風險指標值排序與標準差相同，但投資策略的績效以新風險指標形成投資組合較為優秀。

關鍵字

共同基金 ； Aumann and Serrano ； Foster and Hart ； dollar cost averaging ； lump-sum investing ； buy and hold

並列摘要

Based on Foster and Hart (2009) adjusted Aumann and Serrano index, we calculate a new index of riskness to compare three investment strategies, namely, dollar cost averaging, lump sum investing, and buy and hold policies. We examined the riskiness and risk-adjusted performance of three investment strategies with the standard deviation and a new index of riskiness which encompasses the stochastic dominance concept. First, we find that the dollar cost averaging was not obvious in reducing the average holding cost. Only when the stock price falls, the dollar cost averaging could effectively reduce the average holding cost. Moreover, no matter which policies or investment targets or period, dollar cost averaging's performance was worst. The risk of dollar cost averaging turns out to be the highest among the three investment strategies when the investment horizon extended to 3 years. Finally, based on the fund-sorted high-risk and low-risk investment portfolios in accordance with the new index of riskness and standard deviation, we find the performance of the low-risk portfolio formed by new index of riskness to be the best.

參考文獻

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6. Foster, D., and S. Hart (2009), “An operational measure of riskiness,” Journal of Political Economy, 117, 785–814.

7. Homm, U., and C. Pigorsch (2012), “Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement,” Journal of Banking & Finance, 36, 2274–2284.