在不同免疫策略下臺灣地區債券投資組合績效比較

Abstract

免疫策略的目標是無論利率如何變化，維持債券投資組合的期末價值高於或儘可能接近期初目標投資組合價值。在Nelson & Siegel (1987)的利率期間結構模式的基礎下，過去台灣在此方面的實證研究上，無考量到同時變動利率期間結構變動之二因子，此外，大部份也沒有考慮到票息效果的影響。 因此，本研究利用高斯-牛頓法估計利率期間結構的係數，並考量同時模擬變動任意兩係數下，債券投資組合績效之變化。實證結果有以下三點發現：(1) M-Vector策略中的M3, M4,及M5無論在模擬資料及實際資料中，皆能一致性地排名於前。(2) 傳統的存續期間免疫策略及M-Square策略並不能保護債券投資組合免除利率風險，尤其在利率大幅度變動下。(3) Nelson & Siegel (1987) 模型能相當有效地配適台灣地區實際利率期間結構曲線。

The objective of immunization strategy is to maintain the terminal value of bond portfolio above or close to the target value of portfolio no matter how high or low the interest rate is. The empirical researches in Taiwan concerning immunization strategies and term structure don’t consider the removal of the coupon effect and the variation in two estimated coefficients. Thus, this study uses Nelson & Siegel (1987) model with Gauss-Newton method to determine term structure as well as variate two estimated coefficients simultaneously. The major findings are as follows: (1) M-Vector strategies(M3, M4, and M5) perform quite well in both historical data and the two simulated data. (2) Traditional duration strategies and M-Square strategies can’t protect against the change in the risk of interest rate , especially when interest rate changes by a large scale. (3) Nelson & Siegel (1987) model does a good job in fitting the term structure in Taiwan which is demonstrated from high R-Square.