VIX and Momentum Strategies: Evidence of Taiwan Mutual Funds

[[abstract]]本文研究恐慌指數（volatility index, VIX）搭配動能（momentum）之擇時策略，針對台灣加權指數之共同基金，檢驗其在報酬率及投資風險是否能優於傳統動能策略。本文主要參考Varadi (2014a, 2014b) 關於報酬率恐慌指數擇時策略與預測誤差調整後累積報酬率動能策略之研究，首先計算經由VIX調整後的報酬率和經由預測誤差調整後的累積報酬率，並以其所形成不同期間之動能策略，對台灣市場中較多投資者投資的中大型共同基金(元大台灣50(0050)、元大中型100(0051)、富邦科技(0052)、元大高股息(0056))進行回測，再與傳統動能策略(買進持有、200天價格移動平均線動能策略、200天累積報酬率動能策略)做200天的投資天數比較。另外，也將200天價格移動平均線動能策略、200天累積報酬率動能策略、報酬率恐慌指數擇時策略、預測誤差調整後累積報酬率動能策略這四種動能策略作時間敏感度分析。研究顯示，雖然運用報酬率恐慌指數擇時策略在投資這四檔基金時的200天的年均複合增長率，並不一定最好的；但是利用時間敏感度分析時可以發現，在某一些時間上報酬率恐慌指數擇時策略卻能有強勢的表現。[[abstract]]This study investigates VIX index (VIX) combined with momentum for timing investment strategies, using Taiwan mutual funds and Taiwan weighted indexes, to test whether its rate of return and investment risk can outperform traditional momentum strategies. This study mainly refers to the research of Varadi (2014a, 2014b) on the timing strategy of the rate of return of the VIX-adjusted momentum strategy. The cumulative rate of return VIX-adjusted momentum strategy is obtained by back-testing widely traded mutual funds(Yuanta/P-shares Taiwan Top 50 ETF(0050), Yuanta/P-shares Taiwan Mid-Cap 100 ETF (0051), Fubon Taiwan Technology Tracker Fund (0052) and Yuanta/P-shares Taiwan Dividend Plus ETF (0056)) in the Taiwan market. In addition, four momentum strategies, the 200-day price moving average momentum strategy, the 200-day cumulative return momentum strategy, the VIX-adjusted momentum strategy, and the forecast error-adjusted momentum strategy, are also measured for their time sensitivity analysis. Results show mixed performance delivered by the four strategies based on the sensitivity anlaysis of different length of investment periods