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題名 多重資產投資組合再平衡策略探討
Multi-Asset Portfolio Rebalancing: Strategies and Performance Analysis
作者 賴泉潣
Lai, Chuan-Ming
貢獻者 楊曉文
賴泉潣
Lai, Chuan-Ming
關鍵詞 再平衡策略
私募資產
因子模型
風險管理
Rebalancing strategy
Private assets
Factor model
Risk management
日期 2025
上傳時間 4-Aug-2025 14:31:33 (UTC+8)
摘要 本研究以2004年至2024年之模擬資料為基礎，評估多重資產投資組合納入私募資產後，不同再平衡策略在報酬、風險與流動性三個層面的表現差異。投資組合資產組成仿照台灣勞退基金的實務配置，涵蓋六項資產類別：國內股票、國際股票、抗通膨債券、美國公債、私募股權與私募不動產。研究設計三種再平衡策略，分別為固定權重的傳統再平衡、根據預測報酬進行調整的 Beta 再平衡，以及以因子曝險為基礎的因子再平衡策略，進一步探討在估值更新頻率不一致與私募資產流動性受限的條件下，各策略的適用性與資產組合穩健性。 實證結果顯示，因子再平衡策略在維持投資組合風險結構穩定方面具備相對優勢，能夠有效因應私募資產估值滯後所導致的風險偏移問題，並在風險控制能力與流動性覆蓋率等指標上展現最佳表現。相較之下，傳統再平衡策略雖具有操作簡便與執行成本較低等特性，但對於市場變動與估值資訊的反應較為遲緩，可能限制其於動態市場環境中的應變能力。 綜合各項評估結果，建議機構投資者在具備足夠資源與技術條件的情況下，採用因子再平衡策略以強化投資組合配置的穩定性與抵禦市場壓力的能力；若面臨操作資源或調整頻率上的限制，亦可考慮採行每半年進行一次調整的低頻傳統再平衡方式，作為兼顧實務可行性與穩定配置效果的替代方案。
This study evaluates the performance of various rebalancing strategies in multi-asset portfolios that incorporate private assets, using simulated data from 2004 to 2024. The portfolio composition is based on the asset allocation structure of Taiwan's Labor Pension Fund, including six asset classes: domestic equity, international equity, Treasury Inflation-Protected Securities (TIPS), U.S. government bonds, private equity, and private real estate. Three rebalancing strategies are developed and compared: fixed-weight rebalancing (traditional), beta-based rebalancing (return-forecast-driven), and factor-based rebalancing (factor exposure-driven). The analysis investigates the applicability and robustness of these strategies under conditions of infrequent valuation updates and illiquidity in private assets. The empirical results show that the factor-based rebalancing strategy demonstrates superior performance in maintaining the stability of portfolio risk exposures. It effectively addresses risk drift caused by delayed private asset valuation and outperforms in terms of risk control and liquidity coverage. In contrast, while the traditional rebalancing strategy is operationally simple and cost-efficient, it responds more slowly to updated market information. Overall, this study recommends institutional investors adopt factor-based rebalancing to enhance portfolio resilience when resources allow; alternatively, semiannual fixed-weight rebalancing may serve as a practical and implementable option under resource constraints.
參考文獻 一、 中文文獻 李瑞瑾（2024）。掌握全球、多元、分散三關鍵更快放大資產績效創新高！勞退基金穩健跟漲策略公開。理財，1418，2024年2月21日，上網日期：2024年3月15日，檢自：https://www.businesstoday.com.tw/article/category/183012/post/202402210043/ 二、 英文文獻 Aliaga-Diaz, R., Renzi-Ricci, G., O’Connor, B., & Ahluwalia, H. (2022). Integrating private equity in a liquid multi-asset portfolio. The Journal of Portfolio Management, 48(9), 39–60. Baxter, D. 2018. “Modelling illiquid assets within multi-asset portfolios” Alternative Investment Analyst Review 7(3): 32–35. Cliffwater. (2025). Long-term private equity performance 2000–2024. https://cliffwater.com/ResourceArticle/longterm-private-equity-performance-20002024?docId=26043 Dichtl, H., Drobetz, W., & Wambach, M. (2014). Testing rebalancing strategies for stock-bond portfolios across different asset allocations. Financial Markets and Portfolio Management, 28(3), 275–310. El Bernoussi, R., & Rockinger, M. (2023). Rebalancing with transaction costs: theory, simulations, and actual data. Financial Markets and Portfolio Management, 37, 121–160. Elkamhi, R., Lee, J. S. H., & Salerno, M. (2024). (Re)Balancing act: The interplay of private and public assets in dialing the asset allocation. The Journal of Portfolio Management, 50(7), 162–182. Elkamhi, R., J. S. Lee, and M. Salerno. (2021). “Factor investing using capital market assumptions” The Journal of Portfolio Management 48(2): 119–143. Emery, K. M. (2003). Private equity risk and reward. The Journal of Private Equity, 6(2), 43–50. Ick, M. M. (2005). Private equity returns: Is there really a benefit of low co-movement with public equity markets? SSRN Working Paper. J.P. Morgan Asset Management. (2022). Public and private market correlations: 10-years, quarterly returns. Kaplan, S. N., & Schoar, A. (2005). Private equity performance: Returns, persistence, and capital flows. The Journal of Finance, 60(4), 1791–1823. Lee, J. S. and M. Salerno. (2023). “Factor-targeted asset allocation: A reverse optimization approach” Financial Analysts Journal: 1–20. Lietz, N. G., & Chvanov, P. (2024). Does the case for private equity still hold? Harvard Business School Working Paper, 24-066. Masters, S. J. (2003). Rebalancing. The Journal of Portfolio Management, 29(3), 52. PGIM IAS. (2021). The rebalancing conundrum: Private equity valuations and market dislocations. Retrieved March 15, 2024, from: https://dx.doi.org/10.2139/ssrn.4019689 Shen, J., Li, D., Qiu, G. T., Jeet, V., Teng, M. Y., & Wong, K. C. (2021). Asset allocation and private market investing. The Journal of Portfolio Management, 47(4), 71–82. Takahashi, D., & Alexander, J. (2002). Illiquid alternative asset modeling. The Journal of Portfolio Management, 28(2), 90–100. Tokat, Y., & Wicas, N. (2007). Portfolio rebalancing in theory and practice. The Journal of Investing, 16(2), 52–59. Zhang, Y., & Ahluwalia, H. (2024). A rational multi-asset portfolio rebalancing decision-making framework. The Journal of Portfolio Management, 50(5), 11–24.
描述 碩士
國立政治大學
金融學系
111352006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352006
資料類型 thesis
dc.contributor.advisor 楊曉文zh_TW
dc.contributor.author (Authors) 賴泉潣zh_TW
dc.contributor.author (Authors) Lai, Chuan-Mingen_US
dc.creator (作者) 賴泉潣zh_TW
dc.creator (作者) Lai, Chuan-Mingen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:31:33 (UTC+8)-
dc.date.available 4-Aug-2025 14:31:33 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:31:33 (UTC+8)-
dc.identifier (Other Identifiers) G0111352006en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158585-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352006zh_TW
dc.description.abstract (摘要) 本研究以2004年至2024年之模擬資料為基礎，評估多重資產投資組合納入私募資產後，不同再平衡策略在報酬、風險與流動性三個層面的表現差異。投資組合資產組成仿照台灣勞退基金的實務配置，涵蓋六項資產類別：國內股票、國際股票、抗通膨債券、美國公債、私募股權與私募不動產。研究設計三種再平衡策略，分別為固定權重的傳統再平衡、根據預測報酬進行調整的 Beta 再平衡，以及以因子曝險為基礎的因子再平衡策略，進一步探討在估值更新頻率不一致與私募資產流動性受限的條件下，各策略的適用性與資產組合穩健性。 實證結果顯示，因子再平衡策略在維持投資組合風險結構穩定方面具備相對優勢，能夠有效因應私募資產估值滯後所導致的風險偏移問題，並在風險控制能力與流動性覆蓋率等指標上展現最佳表現。相較之下，傳統再平衡策略雖具有操作簡便與執行成本較低等特性，但對於市場變動與估值資訊的反應較為遲緩，可能限制其於動態市場環境中的應變能力。 綜合各項評估結果，建議機構投資者在具備足夠資源與技術條件的情況下，採用因子再平衡策略以強化投資組合配置的穩定性與抵禦市場壓力的能力；若面臨操作資源或調整頻率上的限制，亦可考慮採行每半年進行一次調整的低頻傳統再平衡方式，作為兼顧實務可行性與穩定配置效果的替代方案。zh_TW
dc.description.abstract (摘要) This study evaluates the performance of various rebalancing strategies in multi-asset portfolios that incorporate private assets, using simulated data from 2004 to 2024. The portfolio composition is based on the asset allocation structure of Taiwan's Labor Pension Fund, including six asset classes: domestic equity, international equity, Treasury Inflation-Protected Securities (TIPS), U.S. government bonds, private equity, and private real estate. Three rebalancing strategies are developed and compared: fixed-weight rebalancing (traditional), beta-based rebalancing (return-forecast-driven), and factor-based rebalancing (factor exposure-driven). The analysis investigates the applicability and robustness of these strategies under conditions of infrequent valuation updates and illiquidity in private assets. The empirical results show that the factor-based rebalancing strategy demonstrates superior performance in maintaining the stability of portfolio risk exposures. It effectively addresses risk drift caused by delayed private asset valuation and outperforms in terms of risk control and liquidity coverage. In contrast, while the traditional rebalancing strategy is operationally simple and cost-efficient, it responds more slowly to updated market information. Overall, this study recommends institutional investors adopt factor-based rebalancing to enhance portfolio resilience when resources allow; alternatively, semiannual fixed-weight rebalancing may serve as a practical and implementable option under resource constraints.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景及目的 1 第二節 研究架構 7 第二章：文獻回顧 9 第一節 私募資產對多重資產投資組合之影響 9 第二節 多重資產投資組合再平衡方法 10 第三章 研究資料與方法 13 第一節 研究資料說明 13 第二節 研究方法 16 第四章：實證結果與分析 31 第五章：結論與建議 43 參考文獻 46zh_TW
dc.format.extent 1998987 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352006en_US
dc.subject (關鍵詞) 再平衡策略zh_TW
dc.subject (關鍵詞) 私募資產zh_TW
dc.subject (關鍵詞) 因子模型zh_TW
dc.subject (關鍵詞) 風險管理zh_TW
dc.subject (關鍵詞) Rebalancing strategyen_US
dc.subject (關鍵詞) Private assetsen_US
dc.subject (關鍵詞) Factor modelen_US
dc.subject (關鍵詞) Risk managementen_US
dc.title (題名) 多重資產投資組合再平衡策略探討zh_TW
dc.title (題名) Multi-Asset Portfolio Rebalancing: Strategies and Performance Analysisen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文文獻 李瑞瑾（2024）。掌握全球、多元、分散三關鍵更快放大資產績效創新高！勞退基金穩健跟漲策略公開。理財，1418，2024年2月21日，上網日期：2024年3月15日，檢自：https://www.businesstoday.com.tw/article/category/183012/post/202402210043/ 二、 英文文獻 Aliaga-Diaz, R., Renzi-Ricci, G., O’Connor, B., & Ahluwalia, H. (2022). Integrating private equity in a liquid multi-asset portfolio. The Journal of Portfolio Management, 48(9), 39–60. Baxter, D. 2018. “Modelling illiquid assets within multi-asset portfolios” Alternative Investment Analyst Review 7(3): 32–35. Cliffwater. (2025). Long-term private equity performance 2000–2024. https://cliffwater.com/ResourceArticle/longterm-private-equity-performance-20002024?docId=26043 Dichtl, H., Drobetz, W., & Wambach, M. (2014). Testing rebalancing strategies for stock-bond portfolios across different asset allocations. Financial Markets and Portfolio Management, 28(3), 275–310. El Bernoussi, R., & Rockinger, M. (2023). Rebalancing with transaction costs: theory, simulations, and actual data. Financial Markets and Portfolio Management, 37, 121–160. Elkamhi, R., Lee, J. S. H., & Salerno, M. (2024). (Re)Balancing act: The interplay of private and public assets in dialing the asset allocation. The Journal of Portfolio Management, 50(7), 162–182. Elkamhi, R., J. S. Lee, and M. Salerno. (2021). “Factor investing using capital market assumptions” The Journal of Portfolio Management 48(2): 119–143. Emery, K. M. (2003). Private equity risk and reward. The Journal of Private Equity, 6(2), 43–50. Ick, M. M. (2005). Private equity returns: Is there really a benefit of low co-movement with public equity markets? SSRN Working Paper. J.P. Morgan Asset Management. (2022). Public and private market correlations: 10-years, quarterly returns. Kaplan, S. N., & Schoar, A. (2005). Private equity performance: Returns, persistence, and capital flows. The Journal of Finance, 60(4), 1791–1823. Lee, J. S. and M. Salerno. (2023). “Factor-targeted asset allocation: A reverse optimization approach” Financial Analysts Journal: 1–20. Lietz, N. G., & Chvanov, P. (2024). Does the case for private equity still hold? Harvard Business School Working Paper, 24-066. Masters, S. J. (2003). Rebalancing. The Journal of Portfolio Management, 29(3), 52. PGIM IAS. (2021). The rebalancing conundrum: Private equity valuations and market dislocations. Retrieved March 15, 2024, from: https://dx.doi.org/10.2139/ssrn.4019689 Shen, J., Li, D., Qiu, G. T., Jeet, V., Teng, M. Y., & Wong, K. C. (2021). Asset allocation and private market investing. The Journal of Portfolio Management, 47(4), 71–82. Takahashi, D., & Alexander, J. (2002). Illiquid alternative asset modeling. The Journal of Portfolio Management, 28(2), 90–100. Tokat, Y., & Wicas, N. (2007). Portfolio rebalancing in theory and practice. The Journal of Investing, 16(2), 52–59. Zhang, Y., & Ahluwalia, H. (2024). A rational multi-asset portfolio rebalancing decision-making framework. The Journal of Portfolio Management, 50(5), 11–24.zh_TW