期貨投資組合交易策略應用之研究

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Title:	期貨投資組合交易策略應用之研究
Other Titles:	An application of global futures portfolios trading strategies
Authors:	謝佩瑾;SIE, PEI-JIN
Contributors:	淡江大學財務金融學系碩士班邱忠榮;Chiou, Jong-Rong
Keywords:	期貨投資組合;交易策略;移動平均線;平均數-變異數模型;Futures Portfolio;Trading Strategy;Moving Average;Mean-variance portfolio model
Date:	2016
Issue Date:	2017-08-24 23:33:45 (UTC+8)
Abstract:	本研究分析百分之百期貨商品構成的投資組合獲利能力，投資商品分別為：美國標準普爾500指數期貨、美國10年期公債指數期貨、美元指數期貨、黃金期貨及輕原油期貨等五個期貨商品。研究方式為採用2007年1月至2015年12月每日收盤價，進行技術分析（移動平均線）與資產配置（馬克維茲的平均數-變異數模型）實證，藉此找出最適的交易策略。首先，在技術分析方面，根據張恪清(2015)期貨投資組合的操作模式進行研究，實證結果除了買進持有到期策略的投資績效打敗移動平均線組合外，亦發現交易次數與成本對於投資績效確實有影響。其次，在資產配置方面，觀察到買進持有到期且不調整權重策略擁有較佳的績效。另外，在本研究期間資料顯示採用固定調整權重交易策略，調整權重的頻率愈長，其績效似乎會相對較好；若採用動態調整權重交易策略則相反，調整權重的頻率愈密集，其投資獲利也貌似愈佳。 This thesis examines the profitability of futures portfolio. The main products in the thesis are futures of S&P500 Index, 10-year T-Bond of America Index, US Dollar Index, gold and oil. We process close price daily data from January 2007 to December 2015 by technical analysis (moving average rule) and asset allocation (Markowitz’s Mean-Variance Portfolio Model) in order to find the best trading strategy. First, we followed the investment setting of futures portfolio in Zhang(2015) to do empirical research in technical analysis part and found two things: (a) the technical analysis underperformed than simple buy and hold strategy; (b) the transactions and transaction cost would influence investment performance. Second, we found that the simple buy and hold strategy performed better in the empirical result of asset allocation. The conclusion was that with constant weights strategies, the low frequency of adjusted weights would accompany with better performance. In contrast, the high frequency of adjusted weights would accompany with better performance by using dynamic weights strategies.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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