Multi-asset allocation of exchange traded funds: Application of Black–Litterman model

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2021-10-02 DOI:10.1080/10293523.2021.2010387

M. Tang, Feng Wu, Ming-Chin Hung

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引用次数: 2

Abstract

ABSTRACT The Black–Litterman (BL) model allows investors to apply their subjective views to asset allocation optimisation. In this study, we construct a multi-asset allocation portfolio of iShares exchange traded funds (ETFs) using mean–variance (MV) and BL models. Two investment strategies, namely lump-sum investment and a systematic investment plan (SIP), are also investigated and applied to ETF portfolios. On the basis of a momentum strategy, three subjective views of investors are developed for the BL model. The contributions of this empirical study are threefold. First, under the SIP strategy, BL portfolios outperform the MV portfolio in terms of cumulative values, even when an investment starts with bad market timing (i.e., 2008). Second, the asset allocation weights of BL portfolios are demonstrated to be closely related to investors’ subjective views and significantly different from those of the MV portfolio. Third, the three BL portfolios constructed on the basis of the momentum strategy exhibit similar performance patterns in their cumulative returns during the period from 2008 to mid-2021, indicating that investors’ views are consistently reflected in the BL portfolios and consequently contribute to the similarity of the portfolios’ performance as they share similarities in the application of momentum strategies.

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交易所交易基金的多资产配置：Black–Litterman模型的应用

摘要Black–Litterman（BL）模型允许投资者将其主观观点应用于资产配置优化。在本研究中，我们使用均值-方差（MV）和BL模型构建了iShares交易所交易基金（ETF）的多资产配置组合。研究了两种投资策略，即一次性投资和系统投资计划（SIP），并将其应用于ETF投资组合。在动量策略的基础上，对BL模型提出了投资者的三种主观看法。这项实证研究的贡献有三方面。首先，在SIP策略下，BL投资组合的累计价值超过MV投资组合，即使投资开始时市场时机不好（即2008年）。其次，BL投资组合的资产配置权重与投资者的主观观点密切相关，与MV投资组合的权重显著不同。第三，基于动量策略构建的三个BL投资组合在2008年至2021年年中的累积回报表现出相似的表现模式，表明投资者的观点在BL投资组合中得到了一致的反映，因此有助于投资组合表现的相似性，因为他们在动量策略的应用中有相似之处。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.