貨幣循環下之最適資產配置

Abstract

本研究以11項資產為一投資組合，目前在財務領域仍為廣泛運用的馬可維茲效率前緣分析法，並依據美國聯邦準備理事會反向調整重貼現率的當月作為貨幣寬鬆或緊縮的劃分點，觀察本研究所投資組合內的各資產在貨幣寬鬆時期、貨幣緊縮時期及不分寬鬆貨緊縮的全部時期，報酬率及風險的變化特性、風險分散的功能及最適配置比例的調整情形，並證明因應貨幣循環調整資產配置比例的擇時策略，確實可以提高投資組合的績效。研究期間自1988年1月至2011年6月。 實證結果顯示：1.除黃金外，權益型資產在貨幣緊縮時期較在寬鬆時期的報酬率高，風險較低，而債券型資產在貨幣緊縮和寬鬆階段報酬率的差異不如權益型資產來的明顯。2.除貨幣緊縮時期，權益型資產的年化報酬率均較債券型資產的報酬率高，貨幣寬鬆時期，除新興拉丁美洲外，債券型資產的報酬率均高於權益型資產的報酬率。3.多數資產在貨幣寬鬆時期的相關性高於緊縮時期，因此在貨幣寬鬆時期調整組合內的資產配置有能大幅度改善投資組合報酬率。4.隨美國貨幣循環調整資產配置的擇時策略確實較買進持有策略能創造出更好的報酬。

Utilizing a broadly diversified portfolio of eleven equity and debt asset, we show our results in Markowitz mean/variance efficient frontier by using different factor in expansive phases, restrictive phases and full period separately. We define different monetary phases according to the Federal Reserve changes the discount rate in the opposite direction from its prior change. Our research intends to provide a general picture of how cycle phase impact specific assets and its proportion in portfolio. For comparative purpose, we use the same assets in buy-and-hold and give the performance quantitative evidence about monetary cycle effect. Following are our findings: 1. Equities asset (excluding gold) provide much higher and stable returns during the restrictive monetary policy phases, as reflected in the significantly lower standard deviation. In contrast to equities, the returns and risk (standard deviation) of debt assets show fewer difference across the two monetary cycle phases.2. Equity asset (excluding gold) show better performance than debt assets in restrictive policy phases, and reverse in expansive (excluding Emerging Markets Latin America).3.The assets’ total monthly return correlations during the expansive policy phase are higher than it during the restrictive policy phases. Hence, cyclical re-allocation appears to be more important in maintain Markowitz efficiency during the expansive relative to restrictive. 4. Asset proportion adjust by cycle phase enhance the performance compared with buy-and-hold strategy.