本研究延伸 Bongaerts et al. (2020) 之條件目標波動度策略，探討波動度指數的運用及模型設定，並透過不同市場的比較分析，來驗證波動度指數在傳統與條件目標波動度策略中對提升投資組合報酬及降低下檔風險的有效性。考慮投資人風險偏好之差異，我們同時在傳統與條件目標波動度策略中加入最大槓桿程度的設定，不僅使兩種策略能在同一基準進行比較，並容許投資人可以根據自身風險態度選擇合適之槓桿程度。在實證方面，我們針對美國、臺灣、中國、日本和歐洲等五大市場進行分析，採用S&P 500指數、臺灣加權股價指數、香港恆生指數、日經225指數和歐洲50指數等股價指數及其相對應的波動度指數。實證結果顯示條件目標波動度策略相較於傳統目標波動度策略保守，能更有效的降低下檔風險且周轉率較低，報酬表現則不一。且當最大槓桿程度為1時，降低下檔風險的效果較好，周轉率也較低；而當最大槓桿程度為2，報酬表現較佳。本研究的貢獻在於，闡明條件目標波動度策略在不同國家的應用，並驗證採用波動度指數能更有效的降低下檔風險，周轉率也較低，可以節省投資人的交易成本。

This thesis extends the conditional target volatility strategy of Bongaerts et al. (2020), and explores the usefulness of volatility indices. Through a comparative analysis of different markets, we demonstrate the effectiveness of volatility indices in enhancing portfolio returns and reducing downside risk in both conventional and conditional target volatility strategies. Considering the difference in investors' risk preferences, we also impose the same leverage ratio in both the conventional and the conditional target volatility strategies, which not only enables the two strategies to be compared on the same benchmark, but also allows investors to choose the appropriate degree of leverage according to their own risk attitude. For the empirical investigation, we analyze five major markets from the United States, Taiwan, China, Japan and Europe. Data examined in this thesis include S&P 500 Index, Taiwan Weighted Stock Index, Hong Kong Hang Seng Index, Nikkei 225 Index and Europe 50 Index and their corresponding volatility indices. The empirical results show that the conditional target volatility strategy is more conservative than the conventional target volatility strategy, which can more effectively reduce the downside risk, and the turnover rate is also lower, but results on return performance are mixed. When the maximum leverage level is set to 1, the effect of reducing downside risk is better, and the turnover rate is also lower; while, when the maximum leverage level is set to 2, the return performance is better. This thesis contributes to clarify the application of the conditional target volatility strategy in different countries. In addition, we verify that using volatility indices has a better effect on downside risk control, and entails lower turnover rates which imply lower transaction costs for investors.

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