ETF最適投資組合波動擇時策略

本文訴求重點在於以波動擇時策略探討股票、債券及黃金混合型ETF最適投資組合績效，在資產配置中股票與債券兩種資產經常呈現負相關，單一投資都不盡完美，可是二者相加卻是相對完美的投資組合。股、債分立單獨投資猶如單翼的天使，兩者彼此擁抱結合才能展翅高飛！本研究以連結SPDR標普500指數股票ETF(SPY)、iShares 7-10年期美國公債ETF(IEF)及SPDR黃金ETF(GLD)混合的ETF投資組合並採取波動擇時的投資策略，運用以指數權重的滾動方法估計資產報酬的波動度(簡稱為FKO模型)及DCC-GJR-GARCH模型，建構最佳資產配置並衡量波動擇時策略之績效 (夏普比率、經濟價值)。實證結果顯示採波動擇時策略之DCC-GJR-GARCH經濟價值明顯優於FKO；而FKO模型則優於靜態模型。由此可證明股、債混合的ETF最適投資組合波動擇時策略，除了可以使資產配置穩健成長外並能從波動擇時策略中獲得最大之績效。國際金融市場瞬息萬變，衍生性金融商品工具和操作日趨繁瑣與複雜，但太過於複雜的投資工具多數投資人很難駕馭，本文借重風險分散的被動式ETF簡單投資組合「以簡馭繁」，或可建立大巧若拙、大智若愚之良好績效，創造其經濟價值。

關鍵字

標普500指數ETF(SPY) ； 7-10年期美國公債ETF(IEF) ；黃金ETF (GLD) ；靜態模型；平均數-變異數模型； FKO模型； DCC-GJR-GARCH模型

並列摘要

The paper study investigates the performance of the proposed alternative investment portfolio based on the combined use of SPDR Standard Poor’s 500 Indexed Stocks ETF (SPY), iShares 7-10 year U.S. Government Bond ETF (IEF), cash, and SPDR Gold ETF (GLD). In addition, this study employs the weighted rolling method to estimate the volatility of asset return; that is, FKO model. Moreover, a DCC-GJR-GARCH model is constructed to achieve the optimal mean and variance values of the asset allocation, as well as measure the performance of the volatility strategy (e.g. Sharp ratio and economic value). The findings of this study show that the economic value of DCC-GJR-GARCH in the adopted volatility timing strategy is significantly higher than that of FKO, followed by the static model. One major implication is that the combined ETF based on the mixed use of stocks and bonds is the most applicable to the investment portfolio volatility timing strategy. This strategy can not only ensure stable growth of asset allocation, but also realize the optimal performance in the volatility timing strategy. The increasing volatility of international financial is complicating the decision-making process for an investor to choose right financial derivatives. This study tries to simplify the process and diversify investment risks based on the passive ETF investment portfolio strategy.

並列關鍵字

Standard Poor’s 500 indexed ETF (SPY) ； 7-10 U.S. Government Bond ETF(IEF) ； Gold ETF (GLD) ； Static Model ； Average-Variance Model ； FKO Model ； DCC-GJR-GARCH Model

參考文獻

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國際替代計量

ETF最適投資組合波動擇時策略

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