Using Hedging Strategies to Construct Low Risk Portfolios

• Main Authors: Ta-Che Fu, 傅大哲
• Other Authors: Wei-Ping Lee
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/943j49

碩士 === 中原大學 === 資訊管理研究所 === 106 === Due to the inflation outpacing the growth of wage, financial investment is growing in popularity in contrast to the decline of time deposit. In the realm of investment, new products continue to spring out. What influences the benefit of a investment are the return on investment(ROI) and the its risks. Usually, high rewards involve high risks. Thus, besides knowing what is a good investment, the ability to reduce risks whilst maintaining the ROI in an portfolio investment is what more and more people are focusing on. Strategizing of portfolio investments in Taiwan in the past, employed filtering and mix-and-match based on multiple factors, to trim out stocks that were worth invest in. It yielded positive results. However, the ROI was unstable, as in it had a higher volatility. This research utilized the multi-factor model to filter out worthwhile stocks. Samples were from Taiwan 50 index and mid-cap 100 index from 2010 to the first quarter of 2018. Using the concept of hedging, we divided our fund based on risks and mixed different investment targets, to build a plan with low risks and volatility, but with high ROI. From our research, we found out that the best combination was stocks and oil futures. The ROI was 13.55% with volatility of 0.167. Compared to past researches, the ROI was almost the same but with greatly reduced volatility.