Asset Allocation by Constructing a Technical Indicator

• Main Authors: Chen, Yi-Hsiu, 陳逸修
• Other Authors: Chien-Shan, Han
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/68117513415957352655

碩士 === 輔仁大學 === 金融研究所 === 97 === It is always an important issue for investors to enhance portfolio return by relocating assets according to some useful indicators as the market keeps changing. This research tries to identify a systematic asset relocating methodology and evaluates its effectiveness. Historical sector indices of Taiwan stock market are collected and analyzed while utilizing a technical analysis indicator (mid-long term moving average) to calculate the sector M values. The portfolio periodically relocates sector assets according to M values, and M values are calculated weekly. The return of portfolio is then compared with that of passive equal-weight-buy-and-hold investing method to exam the M value’s effectiveness. The portfolio calculates sector M values weekly and uses them as a quantitative indicator to conduct asset allocation periodically. The dynamic portfolio tries to enhance the return of passive investing method. Back testing result shows that return of the dynamic portfolio utilizing M value statistically outperforms return of passive equal-weight-buy-and-hold investing method both in 2-year and 3-year investment period.