投資組合保險策略績效分析－運用SPDR為例

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Title:	投資組合保險策略績效分析－運用SPDR為例
Other Titles:	Performance analysis of portfolio insurance」an empiric study of spdr
Authors:	陳仁傑;Chen, Jen-chieh
Contributors:	淡江大學財務金融學系碩士在職專班林允永;Lin, Yun-yung
Keywords:	投資組合保險;CPPI;DPPI;VIX;ETF;SPDR;Portfolio Insurance;CPPI;DPPI;VIX;ETF;SPDR
Date:	2008
Issue Date:	2010-01-11 01:01:05 (UTC+8)
Abstract:	自2000年以來FED連續調降FED FUND RATE並降至2002年的1%後，低利率的環境持續了數年，市場也不斷衍生出各式各樣的投資工具。其中，頂著保本口號的結構型商品，因運用了財務工程技術，可保障投資組合不會因為股市下跌而低於投資前所設定的最低水準，並還具有參與市場上漲的能力，在低利率時期，廣受市場投資人的接受與青睞。由於在實務操作中，固定比例投資組合保險策略連續調整部位所累積的交易成本往往大幅侵蝕了產品績效，尤其是在盤勢震盪走勢時，所累積的交易成本會更高，績效往往因此不能彰顯。另外也會影響投資組合保險的精確度。因此，如何在投資組合保險的精確度及交易成本間取得平衡，將是重要課題。本研究將探討實務上較常採用的落差調整法(Lag Discipline)，究竟以何種臨界值作為調整的依據為最佳。除此之外，固定比例投資組合保險策略係依據投資者的風險偏好度來選定乘數m，而m值一但選定即不能變化，但若投資者對市場趨勢是判斷錯誤的話，極可能因採用了不恰當的乘數，而造成日後的失利。另外，若採用大乘數，一旦市場波動加劇，亦有可能甫進行投資，便因市場大幅下跌，造成全數資產轉往保留性資產，若市場反轉上升，投資者將無法再享上漲利益。本研究以SPDR為例，配合落差調整法來比較依VIX指數作為乘數調整的DPPI策略及各種固定乘數下的CPPI策略。結果發現 DPPI策略，其績效介於低乘數及高乘數的CPPI策略之間，適合穩健型之投資人選擇作為投資之依據。 Since FED had adjusted and lowered FED FUND RATE and dropped to 1% of 2002''s in succession since 2000, the environment of the low interest rate has lasted several years, the market is deriving out the investment tool of all kinds constantly too. Among them, are carrying the structure type goods of the slogan of breaking even, because has used financial engineering, can ensure the minimum levels established before investment combination can is it invest to lower than because of declining stock market, and is it participate in market upward ability to have also, in low interest rate period, wide to receive acceptance and favor, market of investor. Because of in the practice is operated , have adjusted the transaction cost accumulated of the position and often corroded the performance of the products by a wide margin in succession in regular proportion investment combination insurance tactics, especially when a tendency shakes the tendency, the transaction cost accumulated will be higher, the performance can''t often be reflected. Will influence the accuracy of the investment combination insurance too in addition. So how make the balance among accuracy and transaction cost, investment combination of insurance, it will be the important subject. Research this probe into drop that practice adopt often relatively adjust law (Lag Discipline ) , best as the basis that is change with any critical value on earth. In addition, the regular proportion investment combination insurance tactics department selects multiplier m according to investors'' risk partiality degree, it can''t be changed that once m value is selected, but if investors judged the market trend wrongly, have adopted the multiplier not appropriate most probably, has caused the failure in the future. In addition, if adopt the big multiplier, once the market fluctuations are aggravated , also make the investment just probably, because the market drops by a wide margin, cause totally the assets are transferred to keeping assets, if the market overturns and rises, investors will be unable to enjoy upward interests again . Research this take SPDR as an example, cooperate with drop adjust law is it compare in accordance with VIX index as DPPI tactics and CPPI tactics of various kinds of regular multiplier that multiplier adjust to come. Finding DPPI tactics, its performance lies between CPPI tactics of low multiplier and high multiplier, suitable for sane type investors and choose the basis as investment.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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