An Empirical Study of Portfolio Insurance Strategy on TaiwanStock Group Index Futures

[[abstract]]本研究是以臺灣50指數成分股建立一個投資組合保險策略，並以臺灣期貨交易所發行的三大類股指數期貨做為研究對象，以期貨來調整投資組合保險中的風險性資產。文中所運用的投資組合保險策略為固定比例投資組合保險策略(Constant Proportion Portfolio Insurance，CPPI)及時間不變性投資組合保險策略（Time-Invariant Portfolio Protection ，TIPP），將其中乘數依照趨勢的變動設計為可變，檢視是否能更有效的提高報酬，並以買入持有策略(Buy and Hold，B&H)加以對照比較，資料期間從2008年1月2日至2010年6月30日，共計621個交易日。研究結果顯示，將CPPI和TIPP策略中加入乘數可變模型，能有效的從類股指數期貨交易中獲取報酬，績效皆優於同一期間的買入持有策略。在績效及風險評估方面，本文分析各策略在不同參數設定下之報酬率、波動度及夏普指標，結果顯示乘數模型的設計，相較於傳統固定乘數將有更高的報酬。[[abstract]]The study is based on the establishment of a Taiwan 50 Index constituent stocks portfolio insurance strategy, and Taiwan Futures Exchange issued by the three-index futures as the object of study, and use futures to adjust the portfolio insurance of risk assets. Three kinds of strategies are adopted, including “Constant Proportion Portfolio Insurance” (CPPI), “Time-Invariant Portfolio Protection” (TIPP) and “Buy and Hold”, and make the multiplier became variability, and view the results are better than before or not, the study has an empirical period from January 2nd, 2008 to June 30th, 2010. The empirical results shows: CPPI and TIPP strategy will be added to the multiplier variable model, can get compensation from the trading futures, and the results are better than the “Buy and Hold”. This paper analyzes the different parameters set in the strategy under rate of return, volatility and Sharpe index. Multiplier variability will bring high returns