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題名 透過提升主權債投資組合的總體經濟變異性來優化UMVE投資表現
Enhancing UMVE Investment Performance by Increasing Macroeconomic Variability in Sovereign Bond Portfolios
作者 楊惠閔
Yang, Hui-Min
貢獻者 徐政義
Shiu, Cheng-Yi
楊惠閔
Yang, Hui-Min
關鍵詞 國際主權債券
投資組合效率
總體經濟異質性
避險策略
夏普比率
未定價風險
International sovereign bonds
Unconditional Mean-Variance efficient (UMVE) Portfolio
Portfolio efficiency
Macroeconomic heterogeneity
Hedging strategy
Sharpe Ratio
Unpriced Risk
日期 2025
上傳時間 4-Aug-2025 14:15:26 (UTC+8)
摘要 本研究探討「無條件平均數-變異數效率組合（Unconditional Mean-Variance Efficient, UMVE）」的避險效果來源，並分析總體經濟變異性（macroeconomic variability）與單一標的報酬率波動如何影響UMVE的投資績效與風險管理能力。UMVE 透過投資於多個國家的國際主權債（international sovereign bonds），利用不同國家間的利率水平與殖利率期限結構差異，達到分散風險、進一步提升投資表現的目的。儘管UMVE通常具有較高的夏普比率，但現有文獻認為，多角化策略僅在總體經濟因子具有跨國差異時才有效。 因此，本研究試圖回答兩個問題：(1) 若提升 UMVE 投資組合內的總體經濟變異性，是否能進一步提升 UMVE 的投資表現？(2) 若提高組合中標的的報酬率波動度，是否能增強其避險能力？為解答上述問題，本研究延伸 Randl, Simion, and Zechner (2024)《Pricing and Constructing International Government Bond Portfolios》一文的方法，並將投資標的由 G10 擴展至 G20，藉由更高的總經異質性分析 UMVE 在不同經濟環境下的風險補償與表現差異。實證結果顯示，儘管 G20 UMVE 的報酬提升，但風險亦大幅增加，導致夏普比率低於 G10，而其與總體因子的連動性亦較弱。 本研究不僅提供 UMVE 避險機制的新實證證據，也針對如何運用 UMVE 作為投資與避險工具提出見解，並說明當總體經濟異質性過高時，UMVE 不一定能有效降低系統性風險，對於實務投資者在資產配置與風險管理策略上，具有重要參考價值。
This study examines the sources of hedging effectiveness in the Unconditional Mean-Variance Efficient (UMVE) portfolio and analyzes how macroeconomic variability and idiosyncratic return volatility affect UMVE's investment performance and risk management capabilities. UMVE achieves its hedging effect through diversification and typically exhibits a high Sharpe Ratio (SR). However, existing literature suggests that diversification is only effective when there is variation among macroeconomic factors, which may differ from UMVE's hedging mechanism. Therefore, this study seeks to answer two key questions: (1) Would increasing macroeconomic variability within the UMVE portfolio further enhance its Sharpe Ratio? (2) Would increasing the idiosyncratic return volatility of assets within the UMVE portfolio improve its hedging effectiveness? To address these questions, this study expands UMVE's investment scope from G10 to G20 and analyzes how UMVE's risk compensation and investment performance vary under different macroeconomic conditions. Empirical results show that the Sharpe Ratio of G20 UMVE is lower than that of G10, and its response pattern to macroeconomic factors differs significantly, particularly in relation to unemployment rate variability. Furthermore, the hedging effectiveness of UMVE varies across different market conditions, indicating that UMVE’s risk management mechanism may be influenced by both macroeconomic heterogeneity and idiosyncratic return volatility. The findings of this study not only provide new empirical evidence on UMVE’s hedging mechanism but also offer new insights into the construction and risk management of international government bond portfolios. Additionally, this research provides valuable guidance for asset allocation decisions under different macroeconomic environments.
參考文獻 Andrews, S. and Colacito, R. and Croce, M. M. and Gavazzoni, F., (2024). Concealed Carry. Journal of Financial Economics, 159. Retrieved from https://www.sciencedirect.com/science/article/pii/S0304405X24000977. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593–1636. Campbell, J. Y., & Ammer, J. (1993). What moves the stock and bond markets? a variance decomposition for long-term asset returns. The Journal of Finance, 48(1), 3–37. Campbell, J. Y., & Shiller, R. J. (2001). Valuation ratios and the long-run stock market outlook. NBER Working Paper No. w8221. Available at SSRN: https://ssrn.com/abstract=266191 Cieslak, A., & Povala, P. (2015). Expected returns in treasury bonds. The Review of Financial Studies, 28(10), 2859–2901. Daniel, K., Mota, L., Rottke, S., & Santos, T. (2020). The cross-section of risk and returns. The Review of Financial Studies, 33(5), 1927–1979. Du, W., Hébert, B., & Huber, A. W. (2023). Are intermediary constraints priced? The Review of Financial Studies, 36(4), 1464–1507. Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680–692. He, Z., Kelly, B., & Manela, A. (2017). Intermediary asset pricing: New evidence from many asset classes. Journal of Financial Economics, 126(1), 1–35. Koijen, R. S., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018). Carry. Journal of Financial Economics, 127(2), 197–225. Ledoit, O., & Wolf, M. (2022). The power of (non-) linear shrinking: A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20(1), 187–218. Lopez-Lira, A., & Roussanov, N.L.(2020). Do common factors really explain the cross-section of stock returns? SSRN Electronic Journal. Available at SSRN: https://ssrn.com/abstract=3628120 or http://dx.doi.org/10.2139/ssrn.3628120 Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. The Review of Financial Studies, 22(12), 5027–5067. Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151–158. Miranda-Agrippino, S., & Rey, H. (2020). Us monetary policy and the global financial cycle. The Review of Economic Studies, 87(6), 2754–2776. Piazzesi, M. (2001). An econometric model of the yield curve with macroeconomic jump effects. NBER Working Paper No. w8246. Retrieved from http://www.nber.org/papers/w8246 . Randl, O., Simion, G., & Zechner, J. (2024). Pricing and constructing international government bond portfolios. Available at SSRN: https://ssrn.com/abstract=4021429 or http://dx.doi.org/10.2139/ssrn.4021429
描述 碩士
國立政治大學
國際經營與貿易學系
112351026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112351026
資料類型 thesis
dc.contributor.advisor 徐政義zh_TW
dc.contributor.advisor Shiu, Cheng-Yien_US
dc.contributor.author (Authors) 楊惠閔zh_TW
dc.contributor.author (Authors) Yang, Hui-Minen_US
dc.creator (作者) 楊惠閔zh_TW
dc.creator (作者) Yang, Hui-Minen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:15:26 (UTC+8)-
dc.date.available 4-Aug-2025 14:15:26 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:15:26 (UTC+8)-
dc.identifier (Other Identifiers) G0112351026en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158536-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 112351026zh_TW
dc.description.abstract (摘要) 本研究探討「無條件平均數-變異數效率組合（Unconditional Mean-Variance Efficient, UMVE）」的避險效果來源，並分析總體經濟變異性（macroeconomic variability）與單一標的報酬率波動如何影響UMVE的投資績效與風險管理能力。UMVE 透過投資於多個國家的國際主權債（international sovereign bonds），利用不同國家間的利率水平與殖利率期限結構差異，達到分散風險、進一步提升投資表現的目的。儘管UMVE通常具有較高的夏普比率，但現有文獻認為，多角化策略僅在總體經濟因子具有跨國差異時才有效。 因此，本研究試圖回答兩個問題：(1) 若提升 UMVE 投資組合內的總體經濟變異性，是否能進一步提升 UMVE 的投資表現？(2) 若提高組合中標的的報酬率波動度，是否能增強其避險能力？為解答上述問題，本研究延伸 Randl, Simion, and Zechner (2024)《Pricing and Constructing International Government Bond Portfolios》一文的方法，並將投資標的由 G10 擴展至 G20，藉由更高的總經異質性分析 UMVE 在不同經濟環境下的風險補償與表現差異。實證結果顯示，儘管 G20 UMVE 的報酬提升，但風險亦大幅增加，導致夏普比率低於 G10，而其與總體因子的連動性亦較弱。 本研究不僅提供 UMVE 避險機制的新實證證據，也針對如何運用 UMVE 作為投資與避險工具提出見解，並說明當總體經濟異質性過高時，UMVE 不一定能有效降低系統性風險，對於實務投資者在資產配置與風險管理策略上，具有重要參考價值。zh_TW
dc.description.abstract (摘要) This study examines the sources of hedging effectiveness in the Unconditional Mean-Variance Efficient (UMVE) portfolio and analyzes how macroeconomic variability and idiosyncratic return volatility affect UMVE's investment performance and risk management capabilities. UMVE achieves its hedging effect through diversification and typically exhibits a high Sharpe Ratio (SR). However, existing literature suggests that diversification is only effective when there is variation among macroeconomic factors, which may differ from UMVE's hedging mechanism. Therefore, this study seeks to answer two key questions: (1) Would increasing macroeconomic variability within the UMVE portfolio further enhance its Sharpe Ratio? (2) Would increasing the idiosyncratic return volatility of assets within the UMVE portfolio improve its hedging effectiveness? To address these questions, this study expands UMVE's investment scope from G10 to G20 and analyzes how UMVE's risk compensation and investment performance vary under different macroeconomic conditions. Empirical results show that the Sharpe Ratio of G20 UMVE is lower than that of G10, and its response pattern to macroeconomic factors differs significantly, particularly in relation to unemployment rate variability. Furthermore, the hedging effectiveness of UMVE varies across different market conditions, indicating that UMVE’s risk management mechanism may be influenced by both macroeconomic heterogeneity and idiosyncratic return volatility. The findings of this study not only provide new empirical evidence on UMVE’s hedging mechanism but also offer new insights into the construction and risk management of international government bond portfolios. Additionally, this research provides valuable guidance for asset allocation decisions under different macroeconomic environments.en_US
dc.description.tableofcontents 第一章 緒論 6 第一節 研究動機 6 第二節 研究問題 7 第三節 研究結果 9 第二章 文獻探討 11 第三章 數據與研究方法 13 第一節 數據選擇與來源 13 第二節 UMVE模型與投資組合建構 14 第四章 實證結果 20 第一節 G20 UMVE 的特徵 20 第二節 G20 UMVE 投資組合在不同經濟時期的表現 24 第三節 G20 UMVE投資組合定價與避險能力 28 第五章 研究結果背後的投資意涵 36 第一節 G20 UMVE 在國際債券投資中的優勢與限制 36 第二節 總體經濟的跨國變異性對 UMVE 效率的影響 37 第三節 UMVE 作為避險工具的應用與投資策略調整 38 第六章 結論 40 參考文獻 42zh_TW
dc.format.extent 886471 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112351026en_US
dc.subject (關鍵詞) 國際主權債券zh_TW
dc.subject (關鍵詞) 投資組合效率zh_TW
dc.subject (關鍵詞) 總體經濟異質性zh_TW
dc.subject (關鍵詞) 避險策略zh_TW
dc.subject (關鍵詞) 夏普比率zh_TW
dc.subject (關鍵詞) 未定價風險zh_TW
dc.subject (關鍵詞) International sovereign bondsen_US
dc.subject (關鍵詞) Unconditional Mean-Variance efficient (UMVE) Portfolioen_US
dc.subject (關鍵詞) Portfolio efficiencyen_US
dc.subject (關鍵詞) Macroeconomic heterogeneityen_US
dc.subject (關鍵詞) Hedging strategyen_US
dc.subject (關鍵詞) Sharpe Ratioen_US
dc.subject (關鍵詞) Unpriced Risken_US
dc.title (題名) 透過提升主權債投資組合的總體經濟變異性來優化UMVE投資表現zh_TW
dc.title (題名) Enhancing UMVE Investment Performance by Increasing Macroeconomic Variability in Sovereign Bond Portfoliosen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Andrews, S. and Colacito, R. and Croce, M. M. and Gavazzoni, F., (2024). Concealed Carry. Journal of Financial Economics, 159. Retrieved from https://www.sciencedirect.com/science/article/pii/S0304405X24000977. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593–1636. Campbell, J. Y., & Ammer, J. (1993). What moves the stock and bond markets? a variance decomposition for long-term asset returns. The Journal of Finance, 48(1), 3–37. Campbell, J. Y., & Shiller, R. J. (2001). Valuation ratios and the long-run stock market outlook. NBER Working Paper No. w8221. Available at SSRN: https://ssrn.com/abstract=266191 Cieslak, A., & Povala, P. (2015). Expected returns in treasury bonds. The Review of Financial Studies, 28(10), 2859–2901. Daniel, K., Mota, L., Rottke, S., & Santos, T. (2020). The cross-section of risk and returns. The Review of Financial Studies, 33(5), 1927–1979. Du, W., Hébert, B., & Huber, A. W. (2023). Are intermediary constraints priced? The Review of Financial Studies, 36(4), 1464–1507. Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680–692. He, Z., Kelly, B., & Manela, A. (2017). Intermediary asset pricing: New evidence from many asset classes. Journal of Financial Economics, 126(1), 1–35. Koijen, R. S., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018). Carry. Journal of Financial Economics, 127(2), 197–225. Ledoit, O., & Wolf, M. (2022). The power of (non-) linear shrinking: A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20(1), 187–218. Lopez-Lira, A., & Roussanov, N.L.(2020). Do common factors really explain the cross-section of stock returns? SSRN Electronic Journal. Available at SSRN: https://ssrn.com/abstract=3628120 or http://dx.doi.org/10.2139/ssrn.3628120 Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. The Review of Financial Studies, 22(12), 5027–5067. Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151–158. Miranda-Agrippino, S., & Rey, H. (2020). Us monetary policy and the global financial cycle. The Review of Economic Studies, 87(6), 2754–2776. Piazzesi, M. (2001). An econometric model of the yield curve with macroeconomic jump effects. NBER Working Paper No. w8246. Retrieved from http://www.nber.org/papers/w8246 . Randl, O., Simion, G., & Zechner, J. (2024). Pricing and constructing international government bond portfolios. Available at SSRN: https://ssrn.com/abstract=4021429 or http://dx.doi.org/10.2139/ssrn.4021429zh_TW