本研究從風險分散的角度，探討近年來廣為討論的準被動式指數策略(Quasi-passive index strategy)，其中挑選三大投資組合策略--等權重(Equal Weighted Portfolio, EW)、風險平價(Naïve Risk Parity Portfolio, RP)、相關性極小化(Minimum Correlation Portfolio, MCP)，實證應用於元大台灣卓越50ETF，回測基準時間從2004年1月5日起至2016年12月30日止，共計13年。在實證分析中，除了探討一般的投資組合績效結果外，文中也進一步比較文獻回顧中各式風險分散測度指標，其中包含(1)風險分散比率(Diversification Ratio, DR)、(2)集中度比率(Concentration Ratio, CR)、(3)波動性加權平均相關性(Volatility-weighted Average Correlation)、(4)赫芬戴爾指數(Herfindahl Index, Index)等對各種策略的控制成效。 本研究的實證結果如下: 相關性極小化投資組合策略(MCP)在元大台灣卓越50ETF的實證應用下，雖然成分股集中配置於某特定產業類股(即集中度比率、赫芬戴爾比率相對較高)，但本策略透過「波動性加權平均相關性」顯著且有效的控制，使得成對資產的相關性極小化，最終達成風險分散的投資目標。 / This article discusses the recently most popular “Quasi-passive index strategy”, especially from risk diversification aspect. We select three major portfolio strategies, including Equal Weighted Portfolio (EW), Naïve Risk Parity Portfolio (RP), and Minimum Correlation Portfolio (MCP), and apply all of three to the Yuanta/ P-shares Taiwan Top 50 ETF in Taiwan. The back-test period of the strategy is from January 5th, 2004, to December 30th, 2016 (around 13 years). In the empirical analysis, we not only compare the performance and risk of different strategies, but also focus on a variety of the measurement of diversification, such as Diversification Ratio (DR), Concentration Ratio (CR), Volatility-weighted Average Correlation (ρ), and Herfindahl Index (HI), all of which can quantify the degree of diversification control. In the empirical result, we find that Minimum Correlation Portfolio (MCP), applied in the Yuanta/ P-shares Taiwan Top 50 ETF, will allocate highly concentrated on some specific industry (equivalently high CR and high HI). However, this strategy significantly and efficiently controls the factor of “Volatility-weighted Average Correlation (ρ)”. Therefore, MCP can minimize the coefficient correlation between each pair asset and achieve the goal of risk diversification.

本研究利用元大台灣50 ETF作為樣本資料，檢測2006年至2016年實證期間風險基礎指數和市值加權指數所分別建構的投資組合，其績效表現、風險表現、分散性表現的優劣性；其中Choueifaty, Froidure, and Reynier (2011) 所建構的最佳風險分散投資組合 (most diversified portfolio) 為近年來新起的風險基礎指數投資組合，我們將證實在獲得良好的投資組合分散性同時，如同其他的風險基礎指數投資組合的目標，同時也能獲得超越以追蹤市值加權指數為標的的投資組合績效。 本研究以夏普比率、信息比率、阿爾法作為衡量績效的指標；以標準差、貝他作為風險衡量的指摽；另以Choueifaty and Coignard (2008) 提出的分散性比率作為分散性衡量的指標。實證結果顯示，在整體實證期間，最佳風險分散投資組合在績效、風險、分散性的指標上皆有超越市值加權指數投資組合的能力，再以年為單位的個別期間，其績效衡量上大致優於市值加權指數投資組合，風險和分散性衡量上則優於市值加權指數投資組合的表現，但論以其整體表現，並非為本研究所提出的風險基礎指數投資組合中最佳者，因此投資人在選擇該類投資組合策略時，建議從該投資組合過去表現中判斷，選擇符合自己投資習慣者為之。 / This article examines the performance, risks and diversification of different types of portfolio strategies such as risk-based indexes and cap-weighted index during 2006- 2016. We introduce the recent most diversified portfolio (MDP), which was proposed by Choueifaty, Froidure, and Reynier (2011) and find the result that like the goal of other risk-based portfolios, which is to improve the risk-return profile of cap-weighted portfolio, MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio while achieving diversification. We use Sharpe ratio, information ratio and alpha as the performance indicators, use standard deviation, beta as the risk indicators, and adopt diversification ratio (DR), which was proposed by Choueifaty and Coignard (2008), as the diversification indicator in our analysis. The results of this study show that MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio in the full empirical period. In addition, MDP is generally superior to cap-weighted portfolios in terms of performance in many single years of the whole period, and completely beat cap-weighted portfolios in terms of risks and diversification in every single year of the whole period. Although the ability of exceeding cap-weighted portfolio, MDP do not win first place of mentioned risk-based portfolios in our research. As a result, we suggest investors choose their portfolio strategies refer to its past performance, risks and diversification, and select the best according to their investment preference.