Investment strategy with factor model under style rotation

2019 Fiscal Year Final Research Report

• Project/Area Number: 16K01234
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: University of Tsukuba
• Principal Investigator: Makimoto Naoki 筑波大学, ビジネスサイエンス系, 教授 (90242263)
• Co-Investigator(Kenkyū-buntansha): 小林 武 名古屋商科大学, 経済学部, 教授 (70751486)
• Project Period (FY): 2016-04-01 – 2020-03-31
• Keywords: 投資戦略 / ファクターモデル / レジームシフト / 金利期間構造

Outline of Final Research Achievements

We have investigated a method of expressing return fluctuations of financial assets with a small number of variables called factors, and making investment decisions based on the prediction of factors. In particular, we focused on the fact that the structure of factors and returns changed according to the market environment, and introduced a model with time variability to improve the accuracy of data fitting and prediction accuracy. In portfolio selection, we have developed a formulation and solution of optimization problems corresponding to prediction models with time variability. We conducted empirical analyses on stocks and bonds with several factors, and confirmed the superiority of the investment performance of the proposed method.

Free Research Field

確率モデル分析

Academic Significance and Societal Importance of the Research Achievements

リスクオン／リスクオフという言い方があるように，金融市場はその時々で局面が変化する．そのため，投資運用実務においても，市場局面の変化を捉え，それに合わせた投資判断を行うことが求められる．本研究は，こうした局面変化を組み込んだモデルの推定や予測と，それにもとづくポートフォリオ構築手法を提案しており，既存研究の分析枠組をさらに拡充する成果を得ている．また，金融市場データによる検証で投資手法の有用性を確認しており，投資運用実務にも資する内容といえる．