本文主要研究景氣循環之下,如何配置投資部位。以Markowiz於1952年所提出的MV模型,利用美國經濟研究會(NBER)所公布的景氣循環指標判斷轉折點。將全樣本分為景氣擴張與景氣收縮。利用兩個完全不一樣的景氣階段去研究資產間投資組合部位的變化。 本研究選取1988年至2014年,S&P500、Russell2000、台灣加權股價指數、美國六個月國庫券、美國十年期公債、美國原物料指數、西德州原油現貨、不動產投資信託指數,以及國際黃金價格。推估26年內,不同投資組合報酬率,採用全期持有最佳化、景氣循環最佳化,使用7種最佳化投資策略,最後將全期持有與景氣循環運用統計方法相互比較。 實證結果顯示,每一分的風險可以得到多少報酬,景氣循環相較全期持有來的有效率,並且在NBER宣告之後再改變投資部位,景氣循環具有顯著的報酬,國人應配合景氣循環發布調整至最佳投資組合。
This study shows how to allocate portfolio. We use the model which is reported by Markowitz (1952) and business turning point. The sample is divided to two phases, business expansion phase, and recession phase. We use them to improve Markowitz efficiency. Based on the monthly data from 1988 to 2014, a variety of assets are used to estimate the return of portfolio which includes Taiwan Weighted Stock Index, the Standard & Poor's 500, the Russell 2000 Index, U.S. Treasury bills, long-term government bonds, Producer Price Index, real estate oil spot, and precious metal(gold return). In twenty-six years, we investigate potential improvements from rebalancing based on turning points by seven ways. According the result, we find that the business cycle has greater influence than buy-and-hold on the variance/covariance structure of multiple assets classes. Business cycle has significance return than buy-and-hold method based on NBER business cycle turning points.