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    題名: 相關性極小化投資組合在台灣股票市場之應用-以元大台灣卓越50ETF為例
    Application of minimum correlation portfolio in Taiwan stock market-Yuanta/ P-shares Taiwan Top 50 ETF
    作者: 蔡伯緣
    Tsai, Po-Yuan
    貢獻者: 郭維裕
    Kuo, Wei-Yu
    蔡伯緣
    Tsai, Po-Yuan
    關鍵詞: 相關性極小
    風險分散比率
    赫芬戴爾指數
    Minimum Correlation
    Diversification Ratio
    Herfindahl Index
    日期: 2017
    上傳時間: 2017-07-11 11:22:26 (UTC+8)
    摘要: 本研究從風險分散的角度，探討近年來廣為討論的準被動式指數策略(Quasi-passive index strategy)，其中挑選三大投資組合策略--等權重(Equal Weighted Portfolio, EW)、風險平價(Naïve Risk Parity Portfolio, RP)、相關性極小化(Minimum Correlation Portfolio, MCP)，實證應用於元大台灣卓越50ETF，回測基準時間從2004年1月5日起至2016年12月30日止，共計13年。在實證分析中，除了探討一般的投資組合績效結果外，文中也進一步比較文獻回顧中各式風險分散測度指標，其中包含(1)風險分散比率(Diversification Ratio, DR)、(2)集中度比率(Concentration Ratio, CR)、(3)波動性加權平均相關性(Volatility-weighted Average Correlation)、(4)赫芬戴爾指數(Herfindahl Index, Index)等對各種策略的控制成效。
    本研究的實證結果如下: 相關性極小化投資組合策略(MCP)在元大台灣卓越50ETF的實證應用下，雖然成分股集中配置於某特定產業類股(即集中度比率、赫芬戴爾比率相對較高)，但本策略透過「波動性加權平均相關性」顯著且有效的控制，使得成對資產的相關性極小化，最終達成風險分散的投資目標。
    This article discusses the recently most popular “Quasi-passive index strategy”, especially from risk diversification aspect. We select three major portfolio strategies, including Equal Weighted Portfolio (EW), Naïve Risk Parity Portfolio (RP), and Minimum Correlation Portfolio (MCP), and apply all of three to the Yuanta/ P-shares Taiwan Top 50 ETF in Taiwan. The back-test period of the strategy is from January 5th, 2004, to December 30th, 2016 (around 13 years). In the empirical analysis, we not only compare the performance and risk of different strategies, but also focus on a variety of the measurement of diversification, such as Diversification Ratio (DR), Concentration Ratio (CR), Volatility-weighted Average Correlation (ρ), and Herfindahl Index (HI), all of which can quantify the degree of diversification control.
    In the empirical result, we find that Minimum Correlation Portfolio (MCP), applied in the Yuanta/ P-shares Taiwan Top 50 ETF, will allocate highly concentrated on some specific industry (equivalently high CR and high HI). However, this strategy significantly and efficiently controls the factor of “Volatility-weighted Average Correlation (ρ)”. Therefore, MCP can minimize the coefficient correlation between each pair asset and achieve the goal of risk diversification.
    參考文獻: 1. Amenc, N., Goltz, F., & Martellini, L. (2015). “Smart Beat 2.0”. ERI Scientific Beta.
    2. Arnott, R., Hsu, J., & Moore, P. (2003). “Fundamental Indexation”. Research Affiliates, LLC.
    3. Arnott, R., Kalesnik, V., Moghtader, P., & Scholl, C. (2010). “Beyond Cap Weight--The Empirical Evidence for a Diversified beta”. Journal of Indexes.
    4. Choueifaty, Froidure, & Reynier. (2013). “Properties of the most diversified portfolio”. Working Paper.
    5. Graver, A., & Parsons, T. (2011). “Indexing Evolution--Understanding Alternatives Forms of Beta”. BlackRock, Inc.
    6. Kahn, R. N., & Lemmon, M. (2015). “Smart Beta: The owner`s Manual”. The Journal of Portfolio Management.
    7. O`Toole, R. (2012). “Measuring the Diversification and Hedging Properties of Correlations”. Federated Investors, Inc.
    8. O`Toole, R. (2014). “A Critical Review of Correlation-based Measures of Portfolio Diversification”. Federated Investors, Inc.
    9. Qian, E. (2013). “Are Risk-Parity Managers at Risk Parity? ”. The Journal of Portfolio Management.
    10. Schoen, R. J. (2013). “Parity Strategies and Maximum Diversification”. Putnam Investments.
    11. Varadi, D., Kapler, M., Bee, H., & Rittenhouse, C. (2012). “The Minimum Correlation Algorithm: A Practical Diversification Tool”. CSSA Analytics.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    104351017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104351017
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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