應用風險值於全球股票投資組合建構與績效衡量之研究

在某些時候，幾乎每一位已投資或正在考慮投資於某個風險資產的投資者都會提出這個問題：在這項投資裡，我最大限度的損失是多少？。我們可以嘗試以風險值來找出答案，或至少提供一個合理的答案範圍。在本文中，我們使用變異數－共變異數法來建構五種投資組合策略並計算對應的投資組合風險值，這包括了等權（EW）投資組合、夏普指數（SRW）投資組合、修正後夏普指數（MSR）投資組合、動能投資組合（MO）及反向（CO）投資組合。實證資料股票數據日資料皆來自摩根士丹利資本國際指數。這些數據的範圍涵蓋了十五個來自已開發市場、新興市場及亞洲市場的國家。總體而言，我們的實證結果顯示，以反向策略建構的投資組合績效之表現，可能比其他策略更佳，亦即有較低的風險值，而等權策略的投資組合績效表現則往往表現不佳。

關鍵字

風險值；變異數－共變異數法；夏普指數；動能投資組合；反向投資組合

並列摘要

What is the most I can lose on this investment? This is a question that almost every investor who has invested or is considering investing in a risky asset asks at some point in time. Value at Risk tries to provide an answer, at least within a reasonable bound. In this paper, Variance- Covariance approach is applied to calculate VaR for five portfolios with regarding to the Equally-weighted (EW) portfolio, Sharpe ratio-weighted (SRW) portfolio, Modified Sharpe-weighted (MSR) portfolio, Momentum-weighted portfolio (MO) and Contrarian-weighted (CO) portfolio. The daily stocks data applied for our empirical experiments are collected from The Morgan Stanley Capital International MSIC stock indexes including fifteen countries in Developed market, Emerging market, Asean market. Overall, these results suggest that Contrarian strategy might perform more effectively than others and Equally weighted strategy might work less effective than the rest.

並列關鍵字

Value at Risk ； Variance-Covariance approach ； Sharpe ratio ； Momentum strategy ； Contrarian Strategy

參考文獻

[67] Sharpe, William F. and Gordon J. Alexander. (1990), Investments, Fourth Edition, Prentice Hall:Englewood Cliffs, NJ.

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應用風險值於全球股票投資組合建構與績效衡量之研究

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