Adaptive Asset Allocation: Empirical Evidence of Taiwan TOP 50 ETF、Taiwan Mid-Cap 100 ETF

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Title:	Adaptive Asset Allocation: Empirical Evidence of Taiwan TOP 50 ETF、Taiwan Mid-Cap 100 ETF
Authors:	Tsai, Ming- Lin
Contributors:	財務金融學系碩士在職專班
Keywords:	Asset Allocation;Momentum;choosing Volatility;Excess returns
Date:	2015
Issue Date:	2015-10-15 06:52:58 (UTC+0)
Publisher:	亞洲大學
Abstract:	The research applies the adaptive investing strategies of David Varadi (2013) to the Taiwan stock market. Four weighting methods, which are equal weighting, volatility weighting, momentum weighting, and volatility combined with momentum weighting, are adopted to construct portfolios in comparison with the benchmark indices of Taiwan Top 50 and 100 ETF. Empirical results are as follows: 1) constructed portfolios from Taiwan Top 50 ETF based on volatility combined with momentum weighting have the best performance among all weighting schemes. The annual rate of return is 11.74% with a Sharpe ratio of 0.68; 2) constructed portfolios from Taiwan Top 100 ETF based on volatility combined with momentum weighting have the best performance among all weighting schemes. The annual rate of return is 10.22% with a Sharpe ratio of 0.51.
Appears in Collections:	[Department of Business Administration] Theses & dissertations

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