交易部位資金管理及其績效之研究──以近月份台股指數期貨為例

The Performances of Different Approaches on Fund Management of Transaction: Case of Nearby TAIEX Futures Contract

對每一個投資人而言，如何獲取超額報酬是做投資交易的最終目標，而投資決策中，除了投資標的選擇與進出場時機的決定之外，資金控管亦是很重要的一個要素。本研究以2004年12月至2017年12月之近月份台指期貨日資料為標的，探討在相同進出場機制下，運用保證金目標、波幅型風險、最大權益數回落、ATR波動度等不同交易部位資金管理策略之間的績效比較，並採用成對母體平均數差異t檢定對樣本測試結果進行分析。實證結果顯示，就此四種資金管理策略的績效而言，保證金目標策略劣於另外三種策略，由此可知，有加入風險考量運算部位之策略優於只單純以資金比例運算部位之資金管理策略。此外，波幅型風險策略在多數情況下都是表現最佳的，最大權益數回落策略適合多頭時使用，ATR波動度策略在空頭和盤整期間使用較佳，而金融海嘯期間則使用最大權益數回落策略或ATR波動度策略兩者之一皆可。

Fund Management plays an important role on the trading strategy in the framework of controlling losses and increasing returns. This study investigates the performances of four different fund management strategies by using the daily data of the nearby TAIEX futures contract, which spans from December 2004 to December 2017. The empirical results show that the margin target strategy underperforms the other three strategies, which are the strategies with consideration of risk in their calculation. It can be also seen in the empirical results that the volatility risk strategy performs the best in most cases, the maximum drawdown strategy is suitable for bull market, the ATR volatility strategy performs better in bear market and correction period, and it is appropriate to operate either the maximum drawdown strategy or the ATR volatility strategy during the financial crisis period.