本研究從技術分析和資產配置的角度，分別以允許多空操作的移動平均線法則及最適配置權重的投資組合理論探討全球期貨投資組合的交易策略，並將其策略績效與簡單買進持有至到期策略比較。研究對象包括美國標準普爾500指數期貨、美國10年期公債期貨、美元指數期貨、黃金期貨及輕原油期貨五個期貨商品的收盤價日資料，樣本期間為2007年1月2日至2013年6月28日。 實證結果顯示，無論是技術分析交易策略還是資產配置交易策略(固定權重及動態調整權重)，其績效均不如買進持有至到期策略。而在所有資產配置交易策略中，固定權重按季調整的最適投資組合策略績效最好。對比動態權重調整策略及對應調整頻率的固定權重調整策略，除動態權重按月調整策略績效優於固定權重按月調整策略績效外，其按季度及按半年調整策略的績效均不如固定權重按季度及按半年調整策略的績效。 This thesis examines trading strategies about global futures portfolio based on moving average rule (shorting is allowed) and portfolio theory separately, from the perspective of technical analysis and asset allocation, and compares the performance with simple buy and hold strategy. Our sample includes the daily data of futures close price of S&P500, 10-year T-Bond of America, US Dollar Index, gold and crude oil. The sample period covers from January 2, 2007 to June 28, 2013. The empirical results imply that technical analysis and asset allocation trading models all underperform simple buy and hold strategy. Among all the asset allocation trading models, the performance of constant weights strategy with quarterly rebalance is the best. Comparing the performance of dynamic weights strategies with constant weights strategies, only dynamic monthly rebalance strategy outperform constant monthly rebalance strategy, dynamic quarterly and half-year rebalance strategies all underperform constant quarterly and half-year rebalance strategies.
