Translated Titles

Rebalance of Portfolios and Their Performances-A Case Study of the Taiwan 50 Index Constituents




許江河(Philip Hsu);許淑斐(Shu-Fei Hsu)

Key Words

台灣50成分股 ; 報酬率預測 ; 風險預測 ; 相關係數預測 ; 投資組合績效 ; Taiwan 50 Index Constituents ; Forecast of return ; Forecast of Risk ; Prediction of Correlation coefficient ; Portfolio Performanc



Volume or Term/Year and Month of Publication

30卷4期(2012 / 06 / 01)

Page #

27 - 38

Content Language


Chinese Abstract


English Abstract

In this study, we use the data of the Taiwan 50 Constituents to investigate the relationship between the rebalance of portfolios and their performances. We use the equally weighted portfolios as well as the portfolios, which returns, variances and/or correlations are predicted by the AR, GARCH and Exponential Smoothing models, respectively. There are altogether nine kinds of portfolio in our study. The optimal portfolios would be built by solving the maximum problESM of the Sharpe ratio. The data used in this study are the daily data of the Taiwan 50 Constituents and spans from January 2001 to December 2010. Our result shows that under consideration of transaction cost, the portfolio, which is constructed by the AR model and quarterly rebalanced, has the best performance. Furthermore, it also outperforms the same type of stock index funds and the market.index as well.

Topic Category 基礎與應用科學 > 數學
基礎與應用科學 > 資訊科學
生物農學 > 生物科學
社會科學 > 教育學
社會科學 > 經濟學
社會科學 > 管理學
  1. Below, Scott,Kiely, Joe,Prati, Robert(2009).Style index rebalancing for better diversification: lessons from broad market and equity style indexe.Financial Services Review,18(3),231-248.
  2. Bollerslev, T.(1987).A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.Review of Economics and Statistics,69(3),542-547.
  3. Chalmers. J. M. R.,Edelen, R. M.,Kadlec, G. B.(2001).On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option.Journal of Finance,56(6),2209-2236.
  4. Chevalier, J. A.,Ellison, G. D.(1999).Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance.Journal of Finance,54(3),875-899.
  5. Eakins, S.,Stansell, S.(2007).An examination of alternative portfolio rebalancing strategies applied to sector funds.Journal Asset Management,8,1-8.
  6. Edelen, R. M.(1999).Investor Flows and the Assessed Performance of Open-End Mutual Funds.Journal of Financial Economics,53(3),439-466.
  7. Elton, Edwin J.,Gruber, Martin J.,Spitzer, Jonathan(2006).Improved Estimates of Correlation and their Impact on the Optimum Portfolios.European Financial Management,12(3),303-318.
  8. Grinblatt, M.,Titman, S.(1989).Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings.Journal of Business,62(3),393-416.
  9. Gruber, M. J.,Another, P.(1996).The Growth in Actively Managed Mutual Funds.Journal of Finance,51(3),783-810.
  10. Ippolito, R. A.(1989).Efficiency with Costly Information: A Study of Mutual Fund Performance.Quarterly Journal of Economics,104(1),1-23.
  11. Jensen, M. C.(1968).The Performance of Mutual Funds in the Period 1945-1964.Journal of Finance,23(2),389-416.
  12. Malkiel, B. G.(1995).Returns from Investing in Equity Mutual Funds 1971 to 1991.Journal of Finance,50(2),549-572.
  13. Sharpe, W. F.(1966).Mutual Fund Performance.Journal of Business,39(1),119-138.
  14. Wermers, R.(2000).Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transaction Costs, and Expenses.Journal of Finance,55(4),1655-1695.
Times Cited
  1. 張恪清(2015)。全球期貨投資組合交易策略分析。淡江大學財務金融學系碩士班學位論文。2015。1-85。 
  2. 謝佩瑾(2016)。期貨投資組合交易策略應用之研究。淡江大學財務金融學系碩士班學位論文。2016。1-60。