景氣循環對於資產配置影響之探討

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题名:	景氣循環對於資產配置影響之探討
其它题名:	The Study of the effect of Business Cycle on Asset Allocation
作者:	潘梅貴 Mei Guei Pan
贡献者:	莊凱旭;王凱立 Kai-Shi Chuang;Kai-Li Wang 財務金融學系碩士在職專班
关键词:	投資組合;景氣循環;資產配置 Business Cycle;Asset Allocation;Portfolios
日期:	2015
上传时间:	2015-12-24T03:40:14Z (UTC)
摘要:	本研究探討景氣循環對於資產配置之影響，擬針對美國NBER公布的景氣循環時期、金融風暴事件及總體經濟領先指標變化，作為資產配置之景氣循環轉折，比較何者提供資產配置較佳之績效。本文採用六項資產為投資組合，觀察投資工具在各期間之報酬率及風險特性，計算最適資產配置比例及夏普指標，分析因應景氣循環的擇時策略與買進持有策略，何者對整體投資組合績效可有效的提升。本研究實證結果分述如下：1.當景氣擴張時，應增加權益型資產的配置，其報酬率優於債券型資產。2.景氣收縮期最佳配置為黃金、全球政府債券，其資產特性具避險保值功能。3.美元指數與其他資產呈現負相關，有助降低投資組合風險。4.依經濟狀態調整資產配置的擇時策略，其投資組合報酬率優於買進持有策略。5.以美國領先指標做為資產配置調整之投資組合，其夏普指標之績效優於景氣循環之投組。 This essay is the study of the effect of Business cycle on asset allocation. The purpose of the study is to find out which method can offer the best performance on asset allocation according to different business cycles. We use the following information to define the different business cycle including cycle period defined by National Bureau of Economic Research in U.S., Financial Crisis and macroeconomic leading indicators. The portfolio is created by six assets and to compare the performance by using two investment strategies, including business cycle and buy-and-hold strategies.Following are our findings: 1. Equities asset provides higher return than bond assets during expansion period. 2. When contraction period, gold and global government bond has better performance on return and less risk. 3. The negative correlation between US Dollars and other assets is help to reduces risk in portfolios. 4. Asset proportion adjusts by business cycle enhance the performance compared with buy-and-hold strategy. 5. Asset proportion adjusted by US leading indicator has good performance in sharp ratio compared to that of business cycle.
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