臺灣股市局部最小變異數投資組合之績效

The Performance of Local Minimum-Variance Portfolio based on Taiwan Stocks

最小變異數投資組合是從低波動性獲利的有效策略。本研究整合低波動性與Warren Buffett的「安全、便宜、高質量選股風格」，轉換為局部最小變異數投資組合 (local minimum-variance portfolio, LMVP)。我們將臺灣證券交易所上市公司劃分為優質、安全、風險報酬調整等三類。績效評比的對象，採用常用的標竿 (benchmark)：台股加權指數、臺灣50指數。研究結果顯示：LMVP策略可以達到控制風險的目標，並且打敗標竿。其中，採用MIR (modified information ratio)策略的LMVP投資組合表現最佳。本研究提供一個值得探討的投資組合管理方法，可做為業界發展最小波動性指數的參考。

 

Previous studies indicate that the minimum variance strategy is a proven approach to profiting from the low volatility effect. This study integrates the low volatility effects and Warren Buffett’s “safe, cheap, high-quality strategy” into the local minimum-variance portfolio (LMVP). To test the model, we use the listed companies on the Taiwan Stock Exchange. The performance evaluation employs the benchmarks commonly used: the TWSE Weighted Index (TAIEX) and the TWSE Taiwan 50 Index. We create 12 LMVPs to evaluate their performance. The results show that the LMVP could achieve the goal of risk reduction. In addition, the evidence indicates that these LMVPs outperforms the TAIEX and the TWSE Taiwan 50 Index. Notably, the LMVP portfolio based on the modified information ratio (MIR) performs the best. This study provides a helpful reference for the finance industry to build the minimum volatility index in Taiwan stocks market.