實證結果發現VIX指數在波動20%時的平均報酬率大於波動10%的平均報酬率，買賣期間較長的投資報酬率也優於知期間買賣。此外運用MV投資組合理論且每半年依據VIX在波動20%時做決策買賣時的基金投資組合績效最佳。綜合來說，本文的實證結果證明，Markowitz投資組合理論與VIX波動策略可提供投資人做為投資組合的參考。 The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low investment strategy, and long-term vision to look at investing in mutual funds.
This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively.
Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio.
