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Title: 透過TEV模型與CVaR模型的交互運用提升ETF的績效
Applying TEV Model and CVaR Model Enhance the Performance of ETF
Authors: 郭志安
Contributors: 商業教育學系
Keywords: 指數型基金;追蹤誤差;條件風險值;拔靴複製法
ETF;Tracking error;Conditional value-at-risk;Bootstrap
Date: 2008-08
Issue Date: 2013-07-11T08:45:30Z
Publisher: 行政院國家科學委員會
Abstract: 近年來,指數型基金深受投資者歡迎,放眼全球的ETF 市場,在短短的13 年間,規模由8 億美元大幅增加到5000 多億美元。指數型基金的特色是追蹤某個標竿指數,通常以偏離標竿指數的程度,來判斷指數型基金績效的好壞,也就是所謂的追踨誤差波動度(Tracking Error Volatility)。Campbell et al.(2001)發展出以風險值為限制的資產配置模型,該模型以經理人事先設定之最大預期損失為限制,追求極大化的預期報酬。文獻上對於TEV 模型與CVaR 模型的討論很多,但是幾乎所有的文獻都只有侷限在其中之一,本研究擬比較TEV 模型與CVaR 模型的預測能力。就模型的特質來看, CVaR 模型比TEV 模型保守,也就是說,CVaR 模型的風險應該會小於TEV 模型。在追求極大化的報酬率時,若能善用CVaR 模型與TEV 模型之特質,在股市上漲或下跌時,分別使用不同的模型來操作,應該可以有效的擊敗 ETF。本研究擬採用歷史模擬法(Historical Simulation Method)作為投資組合的評估方式,當取得樣本不足時,則採用定態拔靴複製法(stationary bootstrap method)加以補足。
In recent years, the index funds are deeply welcomed by investors. The market value of ETF increases significantly from $800 million to $500 billion within 13 years. Tracking a benchmark portfolio is the special feature of index funds. It is usually thought that the performance of an index fund depends on its tracking error volatility. Besides, Campbell et al. (2001) develop an asset allocation model based on value-at-risk. Although there are a lot of discussions of both tracking error volatility model and conditional value-at-risk model, but all of them had never discussion these two models together. In regard to the characteristic of model, the conditional value-at-risk model is more conservative than the tracking error volatility model. It is also to say that the risk of the conditional value-at-risk model should be smaller than the tracking error volatility model. If we can know how to handle the characteristics of these two models, we should be able to beat the ETF effectively. This research draws up to adopt the historical simulation method and the insufficient samples are filled in with the stationary bootstrap method.
Relation: 國科會計畫, 計畫編號: NSC97-2410-H018-004; 研究期間: 97/08-98/07
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