摘 要 本研究探討Black-Litterman模型在國際資產配置之樣本外績效，其模型之特點在於結合長期市場均衡報酬及投資者看法，以形成預期超額報酬，並據以建立投資組合。關於投資者看法部分，本研究以短期動能建立2種投資者看法，分別為前幾期之累積報酬【投組Ⅰ】及平均超額報酬【投組Ⅱ】。實證上，以G7作為研究對象，研究期間為1991年1月至2000年12月。投資組合根據前一期及相同持有期間並分別採用1個月、3個月、6個月及1年等四種期間進行資產配置。所得到的實證結果如下： 1. 整體而言，本模型的績效（包括累積報酬及sharpe ratio）較G7指數及全球最小變異數組合為佳。 2. 就投資組合持有期間而言，以3至6個月之績效較佳。 3. 就信心水準之設定而言，較保守的信心水準（10~50%） 有較佳之sharpe ratio。 4.就【投組Ⅰ】與【投組Ⅱ】之績效比較而言，大多以後者為佳。 Abstract This research studies the out-of-sample performance of Black-Litterman Model on international asset allocation, which characterizes the combination of the long-run market equilibrium and investors’ views in order to gain a set of expected excess returns and accordingly, to formulate the investment portfolio. As to the portion of the invertors’ views, with short-run momentum, this research formulates two kinds of investors’ views, which are respectively the cumulative return of the previous periods, “Portfolio I” and the average excess return “Portfolio II”. Empirically, G7 is the object of this research of which the data spans from January in 1991 to December in 2000. According to the previous period as well as the same holding period, the asset allocation in the portfolio comes in four periods of 1 month, 3 months, 6 months and 1 year, respectively. The empirical result obtained is as follows: 1. As a whole, the performance of the model, including the cumulative return and sharpe ratio, is better than that of G7 index and Global minimum variance portfolio. 2. As far as the holding period of the portfolio is concerned, the performance of 3 months through 6 months is the best. 3. With regard to the setup of the level of confidence, sharpe ratio is better at more conservative level of confidence (10~50%). 4. In terms of the comparison between “Portfolio I” and “Portfolio II”, mostly the latter is better than the former.
