Responsive image
博碩士論文 etd-0705111-034043 詳細資訊
Title page for etd-0705111-034043
論文名稱
Title
建構多因子選股模型平台-以台灣股市為例
The Construction of Multi-Factor Alpha Model Platform with Application in Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
87
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2011-06-18
繳交日期
Date of Submission
2011-07-05
關鍵字
Keywords
市場趨勢、平台、多因子、產業、增值指數策略
Market trend, Platform, Industry, Enhanced Index Strategy, Multi-Factor
統計
Statistics
本論文已被瀏覽 5695 次,被下載 0
The thesis/dissertation has been browsed 5695 times, has been downloaded 0 times.
中文摘要
這篇研究的目的主要是去建構一個多因子選股模型平台,可供選擇的模型有基礎的多因子選股模型,產業多因子選股模型,和市場多空多因子選股模型這三種模型。標的指數可以選擇台灣加權指數,電子指數,金融指數,或非金電指數。此研究也嘗試了平台的各種可能性,例如使用混合模型,藉由混合不同模型的分數,來尋找更多運用上的可能性。
此平台提供了使用者(1)權益資產管理的彈性(2)投資策略考慮的完整性(3)不同投資流程的包容性。能夠篩選有效模型,配置選股模型和標的指數,進行策略回測,和績效評估。
這篇研究主要的貢獻在於能幫助資產管理業者,能夠快速設計投資策略,並進行相關之歷史績效回測,或是可以衍生出許多不同屬性之股票投資組合商品,滿足投資人的需求,並進行績效評估,追求穩定之績效表現。
Abstract
The objective of this study is to build the platform, and the user can choose one model of the three models (1) base multi-factor alpha model (2) sector-specific alpha model (3) market trend-based multi-factor alpha model. The user can choose one target index of the four indexes (1) Electronic (2) Finance (3) Non-Finance Non-Electronics (4) TAIEX. The platform also combined the score of sector-specific model and market model, which we called hybrid model.
The platform provides (1) elasticity of equity management (2) completeness of investment strategy (3) inclusiveness of alpha models and target indexes. The user can select a suit model and allocate the model and the target index, and quickly back-testing and evaluate performance.
The contributions of this study are that help asset management companies quickly design investment strategies and back-testing, or product many different equity portfolio funds, and evaluate performance for stabled performance.
目次 Table of Contents
ABSTRACT III
I. INTRODUCTION 1
1.1 BACKGROUND OF QUANTITATIVE INVESTMENT MANAGEMENT 1
1.2 PURPOSE OF RESEARCH AND MOTIVATION 3
1.3 CONCEPT OF MULTI-FACTOR ALPHA MODEL PLATFORM 5
1.4 OVERVIEW OF THE PAPER 6
II. LITERATURE REVIEW 8
2.1 FACTOR MODELS 8
2.2 EQUITY INVESTMENT STRATEGY 11
III. METHODOLOGY 13
3.1 RESEARCH DESIGN 13
3.2 FACTOR USE IN THIS STUDY 19
3.3 DATA PROCESS AND FORMULAS OF EACH MODEL 20
3.3.1 Market Trend and Industry 20
3.3.2 Process the Value of Factors 21
3.3.3 Testing of Factor Effectiveness 23
3.3.4 Integrate the Descriptors and Factors (Two Stage Model) 25
3.3.5 The Monthly Frequency Scores and Weekly Frequency Scores 27
3.3.6 Bayes' Theorem 27
3.4 ENHANCED INDEX STRATEGY 29
IV. EMPIRICAL RESULTS 33
4.1 DATA AND SAMPLE PERIOD 33
4.2 STEPS OF CONSTRUCTION MULTI-FACTOR ALPHA MODEL 33
4.2.1 Major modules 33
4.2.2 Fixed and dynamic value 35
4.3 SIGNAL OF THREE MODELS 38
4.4 PLATFORM IMPLEMENT 43
4.4.1 Analysis the features of factor models 45
4.4.2 Mix the different models into one model 52
4.4.3 Enhanced Index Strategy 55
V. CONCLUSIONS 60
5.1 CONCLUSION OF THIS STUDY 60
5.2 SUGGESTIONS FOR FUTURE RESEARCH 62
REFERENCE 63
參考文獻 References
BARRA (1998), ―United States Equity Version 3 (E3), ―Risk Model Handbook.
Chen, T.S. (2011), Sector-Specific Multi-Factor Alpha Model with Application in
Taiwan Stock Market (Master’s thesis, National Sun Yat-Sen University).
Chincarini, L.B. and Kim, D. (2006), Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management. McGraw-Hill.
Connor, G. (1995), The Three Types of Factor Models: A Comparison of Their Explanatory Power. Financial Analysis Journal, May/June.
DiBartolomeo, D. (2000), The Enhanced Index Fund as an Alternative to Indexed
Equity Management. Working paper, Northfield Information Services, Boston,
MA.
Lo, A.W. and Patel, P.N . (2008), 130/30: The New Long-Only, Journal of
Portfolio management, Vol. 34, No.2, 12-38, winter.
Sorensen, E.H., Hua, R.H. and Qian ,E.E (2005), Contextual Fundamentals, Models,
and Active Management, Journal of Portfolio management, Vol. 32, No.1, 23-36,
fall.
Sorensen, E.H., Qian, E.E., Hua, R.H., and Schoen, R. (2004), Multiple alpha sources
and active management, Journal of Portfolio management, Vol. 31, No.2, 39-45,
winter.
Grinold, R.C. (1994) Alpha is volatility times IC times score, Journal of Portfolio
management, Vol. 20, No.4, 9-16, summer.
Grinold, R.C. (1998), The fundamental law of active of active management, Journal
of Portfolio management, Vol. 15, No.3, 30-37, spring.
Grinold, R.C. and Kahn, R. (2000), Active Portfolio Management, McGraw-Hill.
Jorion, P. (2002), Enhanced Index Funds and Tracking Error Optimization. Working paper, University of California at Irvine.
Li, C.J. (2011), Multi-Factor Model and Enhanced Index Fund Performance Analysis in China (Master’s thesis, National Sun Yat-Sen University).
Qian, E.E., Hua, R.H., and Schoen, E.H. (2007), “Quantitative Equity Portfolio
Management: modern techniques and application,” Chapman & Hall / CRC.
Riepe, M.W. and Werner, M.D. (1998), Are Enhanced Index Mutual Funds Worthy of Their Name?. Journal of Investing, 18 (3), 6-15.
Tsai, T.H. (2009), A System Platform of Multi-Factor Model (Master’s thesis,
National Sun Yat-Sen University).
Wang, S.Y. (2011), A Market Trend-Based Multi-Factor Alpha Model— with
Application in Taiwan Market (Master’s thesis, National Sun Yat-Sen
University).
Hsu,Y.H., Jeng, Y., Tzang, S.W., and Lee,Y.H (2011), Enhanced Index Fund
Performance Analysis by Multi-Factor Alpha Model : Evidence From Taiwan
(2011 International Conference of Taiwan Finance Association).
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外均不公開 not available
開放時間 Available:
校內 Campus:永不公開 not available
校外 Off-campus:永不公開 not available

您的 IP(校外) 位址是 54.166.223.204
論文開放下載的時間是 校外不公開

Your IP address is 54.166.223.204
This thesis will be available to you on Indicate off-campus access is not available.

紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code