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題名 ETF投資組合之多元資產配置與權重最適化探討
A Study on Multi-Asset Allocation and Weight Optimization of ETF Portfolios作者 簡溢伶
Chien, Yi-Ling貢獻者 羅秉政
Kendro Vincent
簡溢伶
Chien, Yi-Ling關鍵詞 資產配置
權重最適化
現代投資理論
橋水基金全天候投資組合
最大化夏普比率
最小化變異數
風險平價
再平衡
Asset allocation
Weight optimization
Modern Portfolio Theory
Bridgewater Associates All-Weather Portfolio
Maximize Sharpe Ratio
Minimize Variance
Risk Parity
rebalancing日期 2024 上傳時間 4-Feb-2025 15:40:27 (UTC+8) 摘要 本研究探討ETF投資組合之多元資產配置與權重最適化，並對跨資產、跨產業及跨資產與產業結合的三種類型投資組合進行深入分析。研究透過實證數據，以2018年至2024年間ETF月平均報酬為樣本資料，評估這些投資組合在均等權重、權重優化（包括最大化夏普比率、最小化變異數及風險平價方法下）以及在不同再平衡頻率下之績效表現。 結果顯示，多元資產配置能有效降低投資風險，特別是在市場波動性較高的情境中，跨資產及產業的組合展現出更佳的防禦性與穩定性。同時，本研究發現權重最適化可進一步提升投資組合的風險調整後收益，而再平衡頻率的選擇亦會對長期績效產生顯著影響。此外，從不同回溯期間（12個月與36個月）的分析結果顯示，回溯期間對於投資策略設計的適用性亦造成影響。本研究透過多元化配置與權重最適化的方式，改善投資組合提高報酬亦維持穩定波動，可作為資產管理實務及未來學術研究參考。
This study investigates the diversified asset allocation and weight optimization of ETF portfolios, conducting an in-depth analysis of three types of portfolios: cross-asset, cross-sector, and a combination of cross-asset and cross-sector. Using empirical data from ETF monthly returns between 2018 and 2024, the study evaluates the performance of these portfolios under equal weighting, weight optimization (including maximum Sharpe ratio, minimum variance, and risk parity methods), and various rebalancing frequencies. The results reveal that diversified asset allocation effectively reduces investment risk, particularly under high market volatility conditions, where cross-asset and sector combinations demonstrate superior defensiveness and stability. Furthermore, the study finds that weight optimization can enhance risk-adjusted returns, and the choice of rebalancing frequency significantly impacts long-term performance. Additionally, the analysis of different lookback periods (12 months and 36 months) highlights their influence on the applicability of investment strategy design.參考文獻 Braga, M. D., 2016. Risk-Based Approaches to Asset Allocation Concepts and Practical Applications, Springer International Publishing AG Switzerland (www.springer.com), ISBN 978-3-319-24382-5 (eBook), DOI 10.1007/978-3-319-24382-5 Bridgewater Associates, 2012. The All Weather Story: How Bridgewater Associates created the All Weather investment strategy, the foundation of the ‘risk parity’ movement, Bridgewater.com. https://www.bridgewater.com/_document/the-all-weather-story?id=00000171-8623-d7de-affd-feaf4ee20000 Brinson, G. P., Hood, L., Beebower, G. L., 1986. Determinants of Portfolio Performance. Financial Analysts Journal / Jan-Feb. ), 133-138. Fama, E. F., & French, K. R., 1992. The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. Fernando, J., 2024. Compound Annual Growth Rate (CAGR) Formula and Calculation. Investopedia.com. https:// www.investopedia.com/ terms/c/cagr.asp Gelmini, M., & Uberti, P., 2024. The equally weighted portfolio still remains a challenging benchmark. International Economics, vol. 179, issue C GestaltU, 2014. The Evolution of Optimal Lookback Horizon. Resolve Asset Management, https://seekingalpha.com/article/2115393-the-evolution-of-optimal-lookback-horizon Harvey, C. R., & Siddique, A., 2002. Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295. Maillard, S., T., Roncalli, Teiletche, J., 2010. The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4):60-70, DOI:10.3905/jpm.2010.36.4.060 Malladi, R., & Fabozzi, F.J., 2017. Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence. Journal of Asset Management, 18(3):188-208. DOI: 10.1057/s41260-016-0033-4 Markowitz, H., 1952. Portfolio Selection. The Journal of Finance, Volume 7, No. 1, Pages 77-91. Meher, P., & Mishra, R. K., 2024. Risk-Adjusted Portfolio Optimization: Monte Carlo Simulation and Rebalancing. Australasian Accounting, Business and Finance Journal 18(3), 85-101. DOI:10.14453/aabfj.v18i3.06 Shiller, R. J., 2002. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), 83-104. Williamson, J., 2024. Ray Dalio All Weather Portfolio Review, ETFs, & Leverage(2024), Optimized Portfolio.com. https://www.optimizedportfolio.com/all-weather-portfolio/ 市場先生，2022。橋水基金全天候投資策略-發展歷程與資產配置概念完整解析。Mr. Market市場先生。https://rich01.com/bridgewater-associates-all-weather-strategy-0/ 布萊茲，2024。深入理解：Alpha、Beta 及 Smart Beta 在投資中的應用。布萊茲的投資筆記。https://vocus.cc/article/6687dac5fd897800019f7760 林知樵，2012。動態投資組合之再平衡及三種權重估計法比較。高雄大學統計學研究所碩士論文，高雄市。 胡惠菁，2023。全天候組合的績效評估。高雄科技大學財務管理研究所碩士論文，高雄市。 蔡和錦，2020。校務基金資產配置之研究-以美國耶魯大學與哈佛大學為例。東海大學高階經營管理研究所碩士論文，台中市。 顏榮威，2020。風險平價與其他傳統投資組合之績效分析。政治大學國際經營與貿易研究所碩士論文，台北市。 描述 碩士
國立政治大學
國際金融碩士學位學程
112ZB1021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112ZB1021 資料類型 thesis dc.contributor.advisor 羅秉政 zh_TW dc.contributor.advisor Kendro Vincent en_US dc.contributor.author (Authors) 簡溢伶 zh_TW dc.contributor.author (Authors) Chien, Yi-Ling en_US dc.creator (作者) 簡溢伶 zh_TW dc.creator (作者) Chien, Yi-Ling en_US dc.date (日期) 2024 en_US dc.date.accessioned 4-Feb-2025 15:40:27 (UTC+8) - dc.date.available 4-Feb-2025 15:40:27 (UTC+8) - dc.date.issued (上傳時間) 4-Feb-2025 15:40:27 (UTC+8) - dc.identifier (Other Identifiers) G0112ZB1021 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/155438 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 112ZB1021 zh_TW dc.description.abstract (摘要) 本研究探討ETF投資組合之多元資產配置與權重最適化，並對跨資產、跨產業及跨資產與產業結合的三種類型投資組合進行深入分析。研究透過實證數據，以2018年至2024年間ETF月平均報酬為樣本資料，評估這些投資組合在均等權重、權重優化（包括最大化夏普比率、最小化變異數及風險平價方法下）以及在不同再平衡頻率下之績效表現。 結果顯示，多元資產配置能有效降低投資風險，特別是在市場波動性較高的情境中，跨資產及產業的組合展現出更佳的防禦性與穩定性。同時，本研究發現權重最適化可進一步提升投資組合的風險調整後收益，而再平衡頻率的選擇亦會對長期績效產生顯著影響。此外，從不同回溯期間（12個月與36個月）的分析結果顯示，回溯期間對於投資策略設計的適用性亦造成影響。本研究透過多元化配置與權重最適化的方式，改善投資組合提高報酬亦維持穩定波動，可作為資產管理實務及未來學術研究參考。 zh_TW dc.description.abstract (摘要) This study investigates the diversified asset allocation and weight optimization of ETF portfolios, conducting an in-depth analysis of three types of portfolios: cross-asset, cross-sector, and a combination of cross-asset and cross-sector. Using empirical data from ETF monthly returns between 2018 and 2024, the study evaluates the performance of these portfolios under equal weighting, weight optimization (including maximum Sharpe ratio, minimum variance, and risk parity methods), and various rebalancing frequencies. The results reveal that diversified asset allocation effectively reduces investment risk, particularly under high market volatility conditions, where cross-asset and sector combinations demonstrate superior defensiveness and stability. Furthermore, the study finds that weight optimization can enhance risk-adjusted returns, and the choice of rebalancing frequency significantly impacts long-term performance. Additionally, the analysis of different lookback periods (12 months and 36 months) highlights their influence on the applicability of investment strategy design. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第二章 文獻回顧 3 第一節 現代投資組合理論介紹與近期研究發展 3 第二節 橋水基金-全天候投資策略與風險平價理論 7 第三章 研究方法 14 第一節 研究架構 14 第二節 資料來源與ETF投資組合選取說明 15 第三節 研究方法 18 第四章 實證結果分析 27 第一節 均等權重投組績效比較 27 第二節 最適化權重的投組績效比較 35 第五章 研究結論與建議 50 第一節 研究結論 50 第二節 建議 51 參考文獻 52 zh_TW dc.format.extent 4149374 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112ZB1021 en_US dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) 權重最適化 zh_TW dc.subject (關鍵詞) 現代投資理論 zh_TW dc.subject (關鍵詞) 橋水基金全天候投資組合 zh_TW dc.subject (關鍵詞) 最大化夏普比率 zh_TW dc.subject (關鍵詞) 最小化變異數 zh_TW dc.subject (關鍵詞) 風險平價 zh_TW dc.subject (關鍵詞) 再平衡 zh_TW dc.subject (關鍵詞) Asset allocation en_US dc.subject (關鍵詞) Weight optimization en_US dc.subject (關鍵詞) Modern Portfolio Theory en_US dc.subject (關鍵詞) Bridgewater Associates All-Weather Portfolio en_US dc.subject (關鍵詞) Maximize Sharpe Ratio en_US dc.subject (關鍵詞) Minimize Variance en_US dc.subject (關鍵詞) Risk Parity en_US dc.subject (關鍵詞) rebalancing en_US dc.title (題名) ETF投資組合之多元資產配置與權重最適化探討 zh_TW dc.title (題名) A Study on Multi-Asset Allocation and Weight Optimization of ETF Portfolios en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Braga, M. D., 2016. Risk-Based Approaches to Asset Allocation Concepts and Practical Applications, Springer International Publishing AG Switzerland (www.springer.com), ISBN 978-3-319-24382-5 (eBook), DOI 10.1007/978-3-319-24382-5 Bridgewater Associates, 2012. The All Weather Story: How Bridgewater Associates created the All Weather investment strategy, the foundation of the ‘risk parity’ movement, Bridgewater.com. https://www.bridgewater.com/_document/the-all-weather-story?id=00000171-8623-d7de-affd-feaf4ee20000 Brinson, G. P., Hood, L., Beebower, G. L., 1986. Determinants of Portfolio Performance. Financial Analysts Journal / Jan-Feb. ), 133-138. Fama, E. F., & French, K. R., 1992. The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. Fernando, J., 2024. Compound Annual Growth Rate (CAGR) Formula and Calculation. Investopedia.com. https:// www.investopedia.com/ terms/c/cagr.asp Gelmini, M., & Uberti, P., 2024. The equally weighted portfolio still remains a challenging benchmark. International Economics, vol. 179, issue C GestaltU, 2014. The Evolution of Optimal Lookback Horizon. Resolve Asset Management, https://seekingalpha.com/article/2115393-the-evolution-of-optimal-lookback-horizon Harvey, C. R., & Siddique, A., 2002. Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295. Maillard, S., T., Roncalli, Teiletche, J., 2010. The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4):60-70, DOI:10.3905/jpm.2010.36.4.060 Malladi, R., & Fabozzi, F.J., 2017. Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence. Journal of Asset Management, 18(3):188-208. DOI: 10.1057/s41260-016-0033-4 Markowitz, H., 1952. Portfolio Selection. The Journal of Finance, Volume 7, No. 1, Pages 77-91. Meher, P., & Mishra, R. K., 2024. Risk-Adjusted Portfolio Optimization: Monte Carlo Simulation and Rebalancing. Australasian Accounting, Business and Finance Journal 18(3), 85-101. DOI:10.14453/aabfj.v18i3.06 Shiller, R. J., 2002. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), 83-104. Williamson, J., 2024. Ray Dalio All Weather Portfolio Review, ETFs, & Leverage(2024), Optimized Portfolio.com. https://www.optimizedportfolio.com/all-weather-portfolio/ 市場先生，2022。橋水基金全天候投資策略-發展歷程與資產配置概念完整解析。Mr. Market市場先生。https://rich01.com/bridgewater-associates-all-weather-strategy-0/ 布萊茲，2024。深入理解：Alpha、Beta 及 Smart Beta 在投資中的應用。布萊茲的投資筆記。https://vocus.cc/article/6687dac5fd897800019f7760 林知樵，2012。動態投資組合之再平衡及三種權重估計法比較。高雄大學統計學研究所碩士論文，高雄市。 胡惠菁，2023。全天候組合的績效評估。高雄科技大學財務管理研究所碩士論文，高雄市。 蔡和錦，2020。校務基金資產配置之研究-以美國耶魯大學與哈佛大學為例。東海大學高階經營管理研究所碩士論文，台中市。 顏榮威，2020。風險平價與其他傳統投資組合之績效分析。政治大學國際經營與貿易研究所碩士論文，台北市。 zh_TW
