由於歷經多次金融危機，使得投資人在追求報酬之際，也對風險更加重視與控管。同時也導致近年來在學術界，關於以風險分散的角度來建構投資組合的方法如雨後春筍般的出現。本研究主要目的是在台灣五十指數,台灣中型一百和中國上證五十指數上，探討風險基礎投資組合建構方式的權重與風險分散特性，並且檢視其績效表現與報酬風險輪廓。除了使用最近的風險配置模型如：MDP (最大風險分散投資組合) 與 DRP (主成分風險分散投之組合)以外，為了有比較上的基礎，另外選用三個古典以風險分散角度所配置的投資合建構方法：MVP (最小變異數投資組合)、EW（等權重投資組合) 和 ERC (等風險貢獻投資組合)。
研究結果發現到所有的風險基礎投資組合在事後都有相較於標的指數擁有較高的 Sharpe ratio 。然而，以 Jensen's alpha 指標來看，只有最小變異投資組合具有顯著的alpha。除此之外，也發現到當市場急遽下跌時，除了 MVP 以外，其他風險基礎投資組合都不具有抗跌的能力，反倒是在市場為熊市時，等權重投資組合和等風險貢獻投資組合比大盤漲地還快。以權重分配的特性來說，DRP 極端集中於少數股票上， MVP和最大風險分散投資組合則為次之。權重較平均分散的組合則為 ERC。以曝險因子特性來看， MVP、ERC 和 MDP 主要都曝險於小波動股票上，差別只在於曝險程度的不同，以及是否曝險足夠能取得低波動異酬。最後，我們認為新近提出的風險組合建構方法(MDP和DRP)，其風險報酬特性、績效和操作容易性並沒有較古典風險基礎建構方法優越。

This study examines the performance and characteristics of five risk-based strategies, which are the equal weight portfolio (EW), minimum variance portfolio (MVP), equal risk contribution portfolio (ERC), maximum diversification portfolio (MDP) and diversified risk parity portfolio (DRP) in three popular index samples in Taiwan and China equity markets from January 2002 to December 2012. In order to make this study more realistic and satisfy the standard of mutual funds, we build enhanced portfolios by applying several asset holdings constraints. All of these strategies outperform the capitalization-weighted market portfolio in terms of Sharpe ratio. However, only the MVP provides alpha source from the perspective of Jensen's alpha. In addition, it is unexpected that all risk-based portfolios except the MVP cannot provide protection against bearish markets. Instead, EW and ERC stably outperform the benchmarks in bullish markets in all cases. All these risk-based strategies except EW and ERC are concentrated portfolios in terms of distribution of stock weights and risk contribution. The weights allocation of the EW is evenly distributed by its design and the ERC also has to load on every stock to achieve equal risk contribution. In terms of style exposures, the MVP, ERC and DRP are overweighted with low volatility stocks and large capitalization stocks in all three index cases. Finally, when compared to classical risk-based strategies, the MDP and DRP, which are recently proposed risk-based portfolio construction methods respectively in 2008 and 2012, do not have outstanding performance and diversified advantages for investors.

論文審定書 .................................................................................................................... i
誌謝 ............................................................................................................................... ii
摘要 .............................................................................................................................. iii
Abstract ......................................................................................................................... iv
1. Introduction ............................................................................................................ 1
1.1 Background Information ............................................................................... 1
1.2 Research Purpose ........................................................................................... 3
1.3 Research Framework ..................................................................................... 4
2. Literature Review ................................................................................................... 5
2.1 Equal Weight Portfolio (EW) ........................................................................ 5
2.2 Minimum Variance Portfolio (MVP) ............................................................. 6
2.3 Equal Risk Contribution Portfolio (ERC) ..................................................... 8
2.4 Most Diversified Portfolio (MDP) .............................................................. 10
2.5 Diversified Risk Parity Portfolio (DRP) ...................................................... 12
3. Data and Methodology ......................................................................................... 16
3.1 Data .............................................................................................................. 16
3.2 Covariance Matrix Estimation ..................................................................... 17
3.3 A Small Case of Risk-Based Portfolio Constructions ................................. 20
3.4 Enhanced Portfolio Construction ................................................................ 28
3.4.1 Practical Considerations ...................................................................... 28
3.4.2 Enhanced Portfolio .............................................................................. 29
3.4.3 The Flow of the Enhanced Portfolio Construction .............................. 31
3.5 Performance Measures ................................................................................ 32
3.5.1 Sharpe Ratio ........................................................................................ 32
3.5.2 Jensen's Alpha ...................................................................................... 32
3.5.3 Turnover Rate ...................................................................................... 33
4. Empirical Results and Interpretation .................................................................... 34
4.1 Performance of Risk-Based Strategies ........................................................ 34
4.1.1 The Drawdown of Risk-Based Portfolios ............................................ 40
4.2 Source of Abnormal Returns ....................................................................... 41
4.2.1 Simple Regressions of Risk-based Portfolios ...................................... 41
4.2.2 Style Effect in TWN50, TWN150 and SSE50 .................................... 43
4.2.2.1 Volatility Style ................................................................................. 43
4.2.2.2 Size Style ......................................................................................... 44
4.2.3 Weight Decomposition by Size and Volatility .................................... 45
4.3 Diversification Characteristic Results ......................................................... 49
4.4 Market Scenario Analysis ............................................................................ 50
4.4.1 Bearish Equity Market ......................................................................... 51
4.4.2 Bullish Equity Market ......................................................................... 54
4.4.3 The Recommend Timing of Using the Risk-Based Strategies ............ 56
5. Conclusion and Suggestions ................................................................................. 57
5.1 Conclusion ................................................................................................... 57
5.2 Suggestions for Further Research ................................................................ 60
References ................................................................................................................... 61

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