固定比例投資組合保險策略動態調整乘數績效分析 : 運用VIX指標為例

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Title:	固定比例投資組合保險策略動態調整乘數績效分析 : 運用VIX指標為例
Other Titles:	Constant proportion portfolio insurance using dynamic adjusting factors : an empiric study of VIX indicator
Authors:	江衍德;Chiang, Yen-te
Contributors:	淡江大學財務金融學系碩士在職專班邱忠榮;Chiou, Jong-rong
Keywords:	投資組合保險;CPPI;VIX;ETF;Portfolio Insurance;CPPI;VIX;ETF
Date:	2007
Issue Date:	2010-01-11 00:48:09 (UTC+8)
Abstract:	近年來國內的投資風氣日盛，而投資報酬與風險呈現正比關係，意即高報酬常伴隨高風險，因此投資者在追求高報酬時，也承受高風險。隨著證券市場的興起，資本市場的自由化，國內的證券市場發展是越來越蓬勃，投資的管道也越來越多，昔日追求財富穩定成長的人，會選擇把錢放在銀行存定存；而追求風險、愛好刺激的投資者會去購買風險性偏高的資產－諸如股票，但是，影響股票市場的不確定因素實在太多，譬如台灣的921 地震、美國的911 恐怖攻擊、到最近因為總統大選結果造成322 股市重挫，股票市場背後所隱藏的高度風險及不確定性讓許多投資人望之卻步，因此，投資人在追求高報酬的同時，亦希望能在自身所能忍受的範圍之下，控制下方損失的風險，但卻同時能保有享受上方獲利的機會，投資組合保險的概念正解決這些問題。另一方面，行為財務學指出在不同情況下，投資者的風險態度亦會不同，故如投資組合保險對投資者的風險態度假設不變，則有不能貼近投資者行為的疑慮，本研究企圖將投資組合保險導入行為財務學的論點，藉投資人恐慌性指標的變動，來修正固定比例投資組合保險策略(CPPI；Constant Proportional Portfolio Insurance )中風險態度參數，以期能更貼近投資者行為。然事實上，貼近風險態度不表示績效最佳，所以本研究的一個目的就在檢視風險係數m值變動後，對投資行為是否更貼近於市場的波動。依本研究結果發現，利用VIX指標具有描述市場風險感受度的“訊息能力”，導入CPPI風險係數m值後，利用VIX相對落點與指數相對高低之市場現象，提供在CPPI交易中的風險係數m值調整，可在多頭市場增加風險乘數提高投資報酬，並在空頭市場時降低其風險乘數，減少投資風險，其結果優於傳統在風險乘數m值固定下之投資組合報酬率與波動度。此策略對於無法承受巨大損失風險或是對於市場趨勢不明的投資人而言，既可以保障原始投入的資金，又可以參與上方的獲利，對於具有投資部位投資人具吸引力。 Over the last few years, domestic investment activity has been growing fast, local investors are agressively seeking opportunities to get the highest possible return for their free capital. While risk and return are always going side be side, investors have to realize that in order to achieve higher rate of return, they are expose to higher potential risk at the same time.With the blooming of security market and the liberalization of the capital market, domestic security market development is becoming more and more flourishing, more and more investment channels too local equity market becomes more active and efficient and there are more investment products available to investors. Investors who pursue a steady wealth growth in the past usually put their money in bank deposit, and investors who have higher risk tolerance choose to put their money in risky assets such as stocks, however, there are too many uncertainties involved in the stock market, such as 921 earthquake, 911 terrorist attack in USA, and recent Taiwan presidential election incident, all of these have kept investors away from getting back to the market. As a result, the idea of creating an investment strategy that can provide investors upside potential and at the same provide protection to downside risk has become more and more popular. On the other hand, behavioral finance points out that under different circumstances, investors tend to value risk differently. So if the investors'' attitude toward risk of the investment insurance remain the same, then there is a doubt that it is not close to investor''s real behavior. This research is intended to channel the concept of investment portfolio insurance into the behavioral finance, by studying changes of investors sentiment, comes up with a better risk multiplier that can better explain investors’ behaviors. try to adjust the fixed ratio of investment combo’s parameter, hope to know the investors behavior better.But in reality, accurate accessment of risk behavior doesn’t guarantee best performance. it doesn''t show close to risk behavior is performing the best, so the purpose of the study is to see if the risk factor m changed, will the investment behavior more closely approximate the market volatility. According to my study, utilize VIX indicator’s" information discovery capability " to describe market risks and experience degree, and after inputing CPPI risk factor m value, then further utilize the correlation between market index movement and relative level of VIX We found out that if a dynamic risk factor m value is applied in a CPPI portfolio, we can increase the risk multiplier M and to achieve higher investment return in a bull market and reduce the risk multiplier M in bear market to reduce downside risk. The overall result is superior to traditional application of a constant M.This strategy works out perfectly for investors with low risk tolerance and investors without strong view about market direction. This strategy not only offers principal protection, but also provides potential upside participation. It is attractive to investors with existing investments. Tactics this to unable to bear enormous loss risk or to market trend clear investor but speech, can both ensure the primitive fund invested and participate in the profit above, attractive for having position investors of investment.
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