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风险基础投组策略之运用与比较

【中文摘要】:由于历经多次金融危机,使得投资人在追求报酬之际,也对风险更加重视与控管。同时也导致近年来在学术界,关于以风险分散的角度来建构投资组合的方法如雨后春笋般的出现。本研究主要目的是在台湾五十指数,台湾中型一百和中国上证五十指数上,探讨风险基础投资组合建构方式的权重与风险分散特性,并且检视其绩效表现与报酬风险轮廓。除了使用最近的风险配置模型如:MDP (最大风险分散投资组合) 与 DRP (主成分风险分散投之组合)以外,为了有比较上的基础,另外选用三个古典以风险分散角度所配置的投资合建构方法:MVP (最小变异数投资组合)、EW(等权重投资组合) 和 ERC (等风险贡献投资组合)。
研究结果发现到所有的风险基础投资组合在事后都有相较于标的指数拥有较高的 Sharpe ratio 。然而,以 Jensen''s alpha 指标来看,只有最小变异投资组合具有显着的alpha。除此之外,也发现到当市场急遽下跌时,除了 MVP 以外,其他风险基础投资组合都不具有抗跌的能力,反倒是在市场为熊市时,等权重投资组合和等风险贡献投资组合比大盘涨地还快。以权重分配的特性来说,DRP 极端集中于少数股票上, MVP和最大风险分散投资组合则为次之。权重较平均分散的组合则为 ERC。以曝险因子特性来看, MVP、ERC 和 MDP 主要都曝险于小波动股票上,差别只在于曝险程度的不同,以及是否曝险足够能取得低波动异酬。最后,我们认为新近提出的风险组合建构方法(MDP和DRP),其风险报酬特性、绩效和操作容易性并没有较古典风险基础建构方法优越。
【英文摘要】:This study examines the performance and characteristics of five risk-based strategies, which are the equal weight portfolio (EW), minimum variance portfolio (MVP), equal risk contribution portfolio (ERC), maximum diversification portfolio (MDP) and diversified risk parity portfolio (DRP) in three popular index samples in Taiwan and China equity markets from January 2002 to December 2012. In order to make this study more realistic and satisfy the standard of mutual funds, we build enhanced portfolios by applying several asset holdings constraints. All of these strategies outperform the capitalization-weighted market portfolio in terms of Sharpe ratio. However, only the MVP provides alpha source from the perspective of Jensen''s alpha. In addition, it is unexpected that all risk-based portfolios except the MVP cannot provide protection against bearish markets. Instead, EW and ERC stably outperform the benchmarks in bullish markets in all cases. All these risk-based strategies except EW and ERC are concentrated portfolios in terms of distribution of stock weights and risk contribution. The weights allocation of the EW is evenly distributed by its design and the ERC also has to load on every stock to achieve equal risk contribution. In terms of style exposures, the MVP, ERC and DRP are overweighted with low volatility stocks and large capitalization stocks in all three index cases. Finally, when compared to classical risk-based strategies, the MDP and DRP, which are recently proposed risk-based portfolio construction methods respectively in 2008 and 2012, do not have outstanding performance and diversified advantages for investors.
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  • 来源:中山大学;作者:洪祥益
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