Optimal Asset Allocation Of The Portfolio Over The Business Cycle In Taiwan

[[abstract]]摘要 本文以台灣金融市場上的九項資產為一投資組合，遵循目前在財務領域仍為廣泛運用的馬克維茲效率前緣的分析方法，並依據行政院經濟建設委員會所公佈的台灣景氣循環基準日期，劃分景氣擴張時期及景氣收縮時期，觀察本研究所建立之投資組合的九項資產在景氣擴張時期、景氣收縮時期及不分景氣的全循環時期，報酬率及風險的變化特性、風險分散的功能及最適資產配置比例的調整情形，並證明因應景氣循環調整資產配置比例的操作策略，確實可以提高投資組合的績效。研究期間自民國80年12月至90年6月，共115個月。 實證結果顯示：1. 因應景氣循環調整資產配置比例的操作策略，確實可以提高投資組合的績效。2.本研究所建立的投資組合，權益證券在景氣擴張時期優於景氣收縮時期，景氣收縮時期則反之，但整體而言，固定收益證券的報酬率較權益證券為高，因此，投資人應重視風險對於投資績效的影響。3.固定收益證券，不論在任何時期報酬率的變化都不大，波動性很小，但公債指數在景氣收縮時期有很好的績效表現，是兼顧報酬率與風險分散的投資工具，為投資組合中必要的資產配置。4.美元資產報酬穩定，風險分散功能佳，是風險規避型的保守投資人良好的避險工具。5.最適資產配置比例消長移動的變化情形，在景氣收縮時期較在景氣擴張時期快速。6.景氣收縮期比擴張期來得短，投資人可以藉預測景氣，以提高投資績效。 選擇報酬風險特性良好的資產，並正確的預測景氣的波段變化，做最適的資產配置，是投資決策的重要原則。[[abstract]]ABSTRACT This paper utilizes a commonly financial market portfolio of nine equity, debt and equivalent cash assets. We show our results in Markowitz mean/variance efficiency by using different factors in expansion period, recession period and whole business cycle period separately. We define different business phases according to the turning point data sets of the business cycle issued by the Council For Economic Planning and Development through 1991/12 to 2001/06,115 months in all. Our research intends to provide a general picture of how cycle phase impacts specific assets and its proportion in portfolio. Thus, for comparative reason, we use the same assets in buy-and-hold strategy and give the performance quantitative evidence about business cycle effects. Following are our findings : 1.Assets proportions adjusted by cycle phase enhance the performance compared with buy and hold strategy. 2.Equity assets show better performance than debt assets in expansion period, and reverse in recession. 3.The risk（standard deviation）of fixed income assets are little except bonds, whereas, bonds bear good character in return/risk. 4.The return from assets calculated in u.s. dollars are stable and they reduce risk. 5.The weights of optimal assets allocation change more fast in recession period than in expansion period. 6.The period of the recession phase is shorter than the expansion period. Predicting business cycle in advance promotes performance of the portfolio. Asset selection policy and asset allocation strategy that adjusted by predicting business cycle fluctuation simultaneously are influential in making investment decision