| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 103 === The paper is to study if the macroeconomic indicators could be investment reference for dynamic strategies and is to adopt nine leading indicators individual monthly issued by the Unit State of America and Taiwan authority. It adopts the dynamic strategies by the principal component analysis, which provides an implement to manage the investment portfolios by its asset risk. Last, it compares the efficiency between the fixed strategies with the dynamic strategies under the efficient frontier. The study data is from August 1989 to April 2014, which totals 297 months.
The empirical result shows:
1. Through the combination of the economics leading indicators and dynamic strategies, it presents a better performance in return, under the same efficient frontier and risk undertaken investment portfolio.
2. The longer the investment time under the efficient frontier restriction, the more accumulated return and the larger standard deviation around the fixed investment strategies, moving window strategies and leading indicators’ dynamic strategies, but it’s not obviously in average year return. This mainly contributes to Taiwan exported-oriented economy, which business cycle is easily influenced by the global one.
3. The longer investment time, the more accumulated return in the method of leading indicators’ dynamic strategies, but it comes very close in the average year return of each time segment, which is short-term, middle-term and long-term. It tells us it is more stable in the performance of return by the use of leading indicators strategies.
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