| Summary: | 碩士 === 逢甲大學 === 金融碩士在職專班 === 101 === This paper compares the investment performance of five dynamic asset allocation strategies with the static buy-and-hold (BH) strategy by historical simulations. All strategies are assumed to have a 50-50 risky/risk-free initial mix. One of the dynamic strategies is the constant proportion portfolio insurance (CPPI). The others are the constant mix with different rebalancing mechanism. CM and CM1 strategies denote the constant mix with rebalancing every month, and six-month respectively. CM2 and CM3 strategies denote the constant mix with the rebalance depending on the risky asset price change reaching ±10 percent, and ±5 percent threshold respectively. The simulated results show that, CPPI, CM1 and CM2 have relatively high average returns, while BH has the lowest standard deviation of returns. Also, BH and CPPI have lower value at risk. In addition, BH has the highest Sharpe ratio. However, CM1, CM2 and CM3 perform well based on the probability of regret. The regret probability calculates the probability of the returns of dynamic strategy being less than the static BH strategy. Overall, there is no strategy dominates at every performance measure. Thus, what strategy an investor should select really depends on which performance measure the investor cares most.
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