Transcription of FTSEシニアアドバイザー 加藤康之 ボラティリティ …
1 2 FTSE . 2013 8 23 .. FTSE .. Page 2 2 FTSE .. Page 3 2 FTSE .. E (rM ) rf . M.. E rp .. E (rM ) .. rf .. M p . Page 4 2 FTSE .. Fama&French 1992 .. Schwartz(2000) & 1992 .. Fama, Eugene F., Kenneth R. French(1992), The Cross-Section of expected Returns, Journal of Finance, Vol. 47 , pp. 427-465. Schwartz T., 2000, How to beat the S&P 500 with portfolio optimization, working paper, DePaul University 1992 TOPIX Page 5 2 FTSE .. Fama&French 1993 . Charhart(1997) . Haugen&Baker(1996) .. - Fama, E. F., French, K. R., risk factors in the returns on stocks and of - Financial Economics 33, 3 56. - Carhart, M. M., 1997. On persistence in mutual fund of Finance 52, 57 82. -Haugen, , Baker, , (1996), Commonality in the Determinants of expected Stock Returns , Journal of Financial Economics, Page 6 2 FTSE.
2 Page 7 2 FTSE .. Page 8 2 FTSE .. Realized volatility .. Andersen, , and Bollerslev, T. (1998), Answering the Skeptics: Yes,Standard Volatility Models Do Provide Accurate Forecasts, . InternationalEconomic Review, 39, 4, November, 885-905.. Jiang, George J., and Yisong S. Tian, Extracting Model-Free Volatility from Option Prices: An Exam-ination of the VIX Index, Journal of Derivatives,14 (3), Spring, 2007, pp. 35 60. GARCH . Page 9 2 FTSE .. GARCH . It t .. ARCH . GARCH .. -Bollerslev, Tim, Generalized Autoregressive Conditional Heteroskedasticity, , Journal of Econometrics, 31(3), 1986, 327. - 2006 ARCH Realized Volatility . Value-at-Risk . Page 10 2 FTSE .. Page 11 2 FTSE .. Haugen&Baker . 10decile .. - Haugen, , Baker, , (1996), Commonality in the Determinants of expected Stock Returns , Journal of Financial Economics, - Haugen, , Baker, , (2008), Case Closed.
3 Page 12 2 FTSE .. (2010) . Page 13 2 FTSE .. idiosyncratic volatility .. ri = i + i rM + i . * 3 .. - Ang, A., Hodrick, , Xing, Y., Zhang, X., (2006), The cross-section of volatility and expected returns , Journal of Finance 61,pp. 259 299. - Ang, A., Hodrick, , Xing, Y., Zhang, X., (2009), High Idiosyncratic Volatility and Low Returns: International and Further U. S. Evidence, Journal of Financial Economics, 91, Page 14 2 FTSE .. (2011) . Page 15 2 FTSE .. Page 16 2 FTSE .. Representativeness .. Anchoring .. Loss Aversion .. Herding .. Over-confidence .. Page 17 2 FTSE .. (2010) . Page 18 2 FTSE .. - Baker,M., Bradley,B.,Wurglar,J., (2011), Benchmarks as Limits to Arbitrage:Understanding the Low-Volatility Anomaly , Financial Analysts Journal,Vol67, , - 2013.
4 25 114 2013 . Page 19 2 FTSE .. - 2013 . 25 114 2013 . Page 20 2 FTSE .. - 2010 . - 2013 . 25 114 2013 . Page 21 2 FTSE .. Page 22 2 FTSE .. -Bandi, F. M., and B. Perron, 2008, Long-run risk-return trade-offs , Journal of Econometrics, 143 (2): 349-74. -Amenc,N.,Martellini,L.,Goltz,F.,Sahoo,D ., 2011, Is There a Risk/Return Tradeoff Across Stocks? An Answer from a Long-Horizon Perspective , EDHEC-Risk Institute Page 23 2 FTSE .. EGARCH .. - Fu, Fangjian,(2009), Idiosyncratic Risk and the Cross-Section of expected Stock Returns, Journal of Financial Economics, 91, - Huang, W., Q. Liu, S. G. Rhee and L. Zhang,(2010), Return Reversals, Idiosyncratic Risk, and expected Returns, Review of Financial Studies, 23, Page 24 2 FTSE .. Page 25 2 FTSE .. Small FTSE Japan Minimum Variance FTSE EDHEC Japan TOPIX.
5 V-G S-L R2. FTSE RAFI Japan FTSE EDHEC Japan FTSE Japan Minimum Variance Value FTSE RAFI Japan Large TOPIX V-G S-L.. 2003 1 -2012 6 FTSE . Page 26 2 FTSE .. Skew Kurtosis FTSE RAFI Japan FTSE EDHEC Japan FTSE Japan Minimum Variance TOPIX 1 * . 2003 1 -2012 6 . FTSE . Page 27 2 FTSE .. Page 28 2 FTSE Chow,T., Hsu,T., Kalesnik,V., Little,B.,(2011), A Survey of Alternative Equity Index Strategies , Financial Analysts Journal,Vol67, , . Page 29 2 FTSE .. Page 30 2 FTSE .. Stoyanov,S., 2011, Advantages and shortcomings of minimum variance portfolios , EDHEC Research Page 31 2 FTSE .. Upper Stock Li mit: 1% or 20 times of the underlying index weight Lower Stock Li mit: Upper Country Li mit: min (underlying country weight x 110% + 5, 100%). Lower Country Li mit: max (underlying country weight x 90% 5, 0%).
6 Upper ICB Industry Li mit: 20%. Diversification Target: i w i 1/1000. Page 32 2 FTSE . FTSE .. Feifei Li, 2013, "Avoiding Pricey Low Volatility Investing", Resae ch Affiliates Page 33 2 FTSE .. Feifei Li, 2013, "Avoiding Pricey Low Volatility Investing", Page 34 2 FTSE . Resae ch Affiliates .. Soe, , Low-Volatility Portfolio Construction: Ranking Versus Optimization , The Journal of Portfolio Management,Winter 2012, Page 35 2 FTSE .. Soe, , Low-Volatility Portfolio Construction: Ranking Versus Optimization , The Journal of Portfolio Management,Winter 2012, Page 36 2 FTSE . Contact Details FTSE Group FTSE .. Email: Email: Tel no: 03-3581-3443 Tel no: 03-3581-2811. Page 37 2 FTSE . Disclaimer FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE.
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