長期投資組合管理之權變避險模式

Long-Term Portfolio Management with Contingent Hedging Model

投資組合管理伴隨著有效避險可視為整體投資組合管理思維的一環，它是一個動態的過程，不是隨興注入式的避險活動。本文旨在提出一個長期投資組合管理之權變避險模式，以強化投資組合管理績效。此避險策略包括三大決策：避險時機、避險工具及避險比率的選擇。元大台灣50是一個相當多角化的ETF，成分股涵蓋台股各產業的龍頭股，是非常熱門的投資商品，尤其在大盤長期看漲的前提之下，此項商品可以當作一個優良的長期投資組合標的。本文藉由技術分析方法[如KD與MACD指標（合稱KMD模式）及濾嘴法則]判斷避險時機點，並以元大台灣50反1及台指期當作避險的工具。此模式好處為一方面可享受標的物上漲時的利益並且也可鎖定下方風險，使整個投資報酬率大為提升。實證結果發現KMD模式運用在日資料上，並以台指期避險，得到的年化報酬率為最高，可達15.89%；若採用不避險的買進持有（buy and hold）策略僅為6.19%。由此可知，權變避險模式策略報酬率遠大於買進持有策略，適合運用於長期投資組合管理上。

Portfolio management along with effective hedging can be viewed as a portion of the thought of portfolio management. It is a dynamic process, not a casually injected hedging activity. The purpose of this paper is to propose a contingent hedging model for the long-term portfolio management to enhance the performance of portfolio management. The contingent hedging model contains three major decisions: the selection of hedging timing, hedging vehicles and hedging ratios. Yuanta Taiwan 50 is a well-diversified ETF, which is a stock portfolio consisting of Taiwan's blue chips in various industries, and has already become a very popular investment product. Under the premise of long-term bullish stock market, this product can be viewed as an excellent object of long-term portfolio. This article uses technical analysis methods such as KD and MACD indicators, collectively referred to as the KMD model, and filter rules to determine the timing of hedging, and Yuanta Daily Taiwan 50 Bear -1X ETF and TAIEX Futures as hedging vehicles. Empirical results show that the KMD model used for the selection of hedging timing in Yuanta Taiwan 50 daily data and the TAIEX Futures used as a hedging vehicle achieves the highest annualized rate of return of 15.89%, largely outperformed the buy and hold strategy of 6.19% only. Thus we conclude that the performance of the contingent hedging model strategy is far superior to the buy and hold strategy, suitable for long-term portfolio management.