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| Title: | 總體經濟因子模擬投資組合是否存在超額報酬 ? 以美國市場為例
Do Macro Factor-Mimicking Portfolios Generate Risk Premia?Evidence from the U.S. Market |
| Authors: | 陳雯芯
Chen, Wen-Hsin |
| Contributors: | 羅秉政
Vincent, Kendro
陳雯芯
Chen, Wen-Hsin |
| Keywords: | 因子模型
模擬投資組合
總體經濟風險
Factor Model
Mimicking Portfolio
Macroeconomic Risks |
| Date: | 2024 |
| Issue Date: | 2024-07-01 12:33:56 (UTC+8) |
| Abstract: | 由於2020年新冠疫情爆發及地緣政治議題的惡化可能使得總體經濟相較以往的環境有顯著的改變，因此，投資人在進行資產配置時可能將總體經濟作為一個重要的風險考量因素。儘管投資人意識到其重要性，但這些總體經濟變數在目前市場仍是不可交易，因此本文透過總體經濟因子模擬投資組合建構出可經市場交易之股票型及多元資產型投資組合，其7大總體經濟因子指標主要由2個預期通膨、長短天期利差、信用利差、美國工業生產年增率、實質利率、全球盈利修正指數所構成。
我們發現前瞻性的總體變數在樣本外穩健性具有不錯的表現，除此之外，本文深入探討投資組合的報酬歸因，可以發現當某個總體經濟變數實現時，可能受到特定的基礎資產驅動報酬，並同時對總體經濟有特定信念的投資人，提供避險及獲取超額報酬的機會。
The outbreak of COVID-19 in 2020 and the escalation of geopolitical issues have led to a macroeconomic environment that significantly differs from previous condition. Consequently, investors may consider macroeconomic exposure as a crucial risk factor in asset allocation. Despite investors' awareness of its importance, these macroeconomic variables remain non-tradable in the current market. Therefore, our paper employs the factor mimicking portfolios approach for macroeconomic variables to create equity and multi-asset portfolios that can be traded on the market. The seven key macroeconomic variables utilized include two measures of expected inflation, the term spread, the credit spread, the annual growth rate of U.S. industrial production, the real interest rate, and the global earnings revision index.
Our findings indicate that forward-looking macroeconomic variables exhibit robust out-of-sample performance. Furthermore, this paper delves into the return attribution of portfolios, revealing that the realization of specific macroeconomic variables may be driven by certain basis assets. And it also provides investors with specific macroeconomic beliefs opportunities for hedging and obtaining excess returns. |
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| Description: | 碩士
國立政治大學
金融學系
111352024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352024 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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