| Summary: | 碩士 === 國立中興大學 === 財務金融學系所 === 107 === In recent years, smart-beta investment has been popular in Taiwan or foreign stock and fund markets. But smart-beta investment still has problems that the volatility and downside-risk of portfolio is too high. Therefore, this study will use seven factor and Taiwan Stock Exchange Future/Put Option to construct single factor hedging portfolio. This study use all listed companies data from 1999 to 2018 to conduct empirical research. Based on the minimization of the overall portfolio conditional Value at Risk, we find the optimal weight of the single factor and hedging tools. The research results show that the hedging effect is obviously in using futures. The performance of the hedging instruments with GP, IVOL and TSKEW is the best, and each factor has better performance than TSE.
In order to reduce the cost of hedging and improve the problem that portfolio return is falling because of the hedging. This study use the concept of market timing, adjusts the weight of hedge instruments according to the volatility of the market. The performance of portfolio using market timing is better than not using market timing. Also, using market timing in hedging can effectively reduce the weight of hedge instruments.
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