Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart

Journal of the Korean Institute of Industrial Engineers http://dx.doi.org/10.7232/JKIIE.2012.38.4.237

Vol. 38, No. 4, pp. 237-243, December 2012. © 2012 KIIE

ISSN 1225-0988 | EISSN 2234-6457

변동성지수와 관리도를 이용한 KOSPI200 지수선물 투자전략

유재필 신현준 상명대학교 경영공학과

Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart

Jaepil Ryu Hyun Joon Shin

Dept. of Management Engineering, Sangmyung University

This paper proposes quantitative investment strategies for KOSPI200 index futures using VKOSPI and control chart. Stochastic control chart is employed to decide when to take a position as well as what position out of long and short should be taken by monitoring whether VKOSPI or difference of VKOSPI touches the control limit lines. The strategies include 4 approaches, which are traditional control chart and 2-Area control chart coupled with VKOSPI and its difference, respectively. Computational experiments using real KOSPI200 futures index for recent 3 years are conducted to show the excellence of the proposed investment strategies under control chart framework.

Keywords: VKOSPI, KOSPI200 Index Futures, SPC Control Chart, Investment Strategies, Volatility

1. 서 론

(volatility) (risk) (investment strategy) .

. .

(derivatives) .

,

. (indicator)

, (Korea Exchange; KRX)

2009 4 13 KOSPI200

VKOSPI(Volatility index of KOSPI200) ,

2003 1 2 VKOSPI

. 2003

(CBOE)

(volatility index; VIX) .

(market risk) (hedge) .

.

(Lee, 2009).

연락저자 신현준 교수, 330-720 충남 천안시 동남구 안서동 300 상명대학교 경영공학과, Tel : 041-550-5374, Fax : 041-550-5185, E-mail : [email protected]

2012년 10월 2일 접수; 2012년 11월 13일 수정본 접수; 2012년 11월 15일 게재 확정.

238 유재필 신현준

.

KRX KOSPI200 VKOSPI

, . (statistical quality control)

(chart) VKOSPI

KOSPI200 .

2 ( ) 2 2-Area

VKOSPI

. VKOSPI KOSPI200

2009 1 2011

12 KOSPI200

, .

2. 기존연구

,

(Corrado et al., 2005; Koopman et al., 2005; Martens, 2002).

(Choi and Kim, 2009).

, GARCH (implied vola-

tility) . Christen and Prabhala(1998), Jorion(1995), Day and Lewis(1992)

. Canina (1993) 1983 3 1987 3 S&P100

. Black-Scholes

, Black-Scholes . Giot(2005) S&P 100

Nasdaq 100 VIX VXN

. Becker et al.(2009)

(jump activation) .

Ock(1997) GJR-GARCH 8

. Choi(2010) KOSPI200 VKOSPI

, VKOSPI

. Kim and Ryoo(2007)

KRX, AMEX, NYSE

.

. SPC chart

KOSPI200 ,

.

3 KOSPI200 VKOSPI

, 4

KOSPI

200 . 5

, 6

.

Figure 1. KOSPI200 index and VKOSPI

3. KOSPI200과 VKOSPI 간의 상관관계

KRX VKOSPI KOSPI200

KRX

. ,

(contrarian psychology)

. ,

,

. ( )

변동성지수와 관리도를 이용한 KOSPI200 지수선물 투자전략 239

(Lee, 2009).

VKOSPI KOSPI200 . <Figure 1> 3

KOSPI200 VKOSPI .

2011 8 KOSPI200

VKOSPI .

<Table 1> VKOSPI 2009 2012

5 KOSPI200 -0.804

. KOSPI200 ( ) VKOSPI

( ) , KOSPI200

. 2010

-0.521 , 5

.

Table 1. Correlation between KOSPI200 and VKOSPI

Year 2009 2010 2011 2012

Correlation -0.933 -0.521 -0.901 -0.864

VKOSPI KOSPI200

VKOSPI .

VKOSPI KOSPI

200 .

Figure 2. An example of control chart

4. 관리도를 이용한 KOSPI200 지수선물 투자전략

4.1 전통적인 관리도를 이용한 투자전략

.

.

( , )

.

<Figure 2>

. CL(center line) , UCL(upper control limit) LCL(lower control limit)

.

40 (abnormal

situation) .

VKOSPI

(control limit line)

(touch) (abnormal situation)

KOSPI200

. UCL LCL .

     (1)

     (2)

,

 VKOSPI

 VKOSPI

 ( , 0 < k < 1)

(1) (2) ^

,

. 5.1

.   1

1 .

Figure 3. An investment procedure using control chart

240 Jaepil Ryu Hyun Joon Shin

<Figure 3> VKOSPI

.

VKOSPI UCL LCL

KOSPI200 (Short; S.No) ,

(Long; L.No) (

No ).

(cash settlement) .

<Figure 3> VKOSPI UCL

KOSPI200 (S.1)

VKOSPI UCL

(L.1) (S.1)

. VKOSPI LCL

(L.2)

(L.1) . VKOSPI

UCL LCL

KOSPI200 .

Figure 4. An investment procedure using 2-Area control chart

4.2 2-Area 관리도를 이용한 투자전략

VKOSPI (jump activation)

. VKOSPI

top down 2- (2-Area)

(UCL LCL)

. 2-Area top down VKOSPI

28 , VIX CBOE

, 28 VIX

. 2-Area

<Figure 4> , <Table 2>

<Figure 3>

. 



top , 



down

, 1

1 .

.



 

 

(3)



 

 

(4)



 

 

(5)



 

 

(6)

,



VKOSPI 2 8 VKOSPI



VKOSPI 28 VKOSPI



VKOSPI < 28 VKOSPI



VKOSPI < 28 VKOSPI

Table 2. Investment strategy using 2-Area control chart Control limit

lines

Direction for

touch Investment actions

_{ }

,

_{ }

,

_{ }

,

_{ }

Upward Take a short position and settle previous positions if any Downward Take a long position and

settle previous positions if any

4.3 VKOSPI 차분과 관리도를 이용한 투자전략

VKOSPI VKOSPI

VKOSPI (= 







) VKOSPI (difference of VKOSPI)

. VKOSPI

2-Area .

5. 실험결과 및 분석

5.1 실험 계획

4 4 -

VKOSPI (V-TC), VKOSPI

2-Area (V-2AC), VKOSPI

(DV-TC), VKOSPI 2-Area (DV-2AC)

Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart 241

2009 1 2

2011 12 29 KOSPI200 2008

1 2 2011 12 29 VKOSPI

. 0.004% .

<Table 3> . k

. 2011 k 0.1 1 0.1

,

0.7 .

Table 3. Experimental features

Factors Values

Derivatives for investment KOSPI200 index futures Transaction cost 0.004%

Data VKOSPI, KOSPI200 futures index

Investment strategies V-TC, V-2AC, DV-TC, DV-2AC Target period 3 years(2009. 01. 02~2011. 12. 29)

5.2 실험 결과 및 분석

<Figure 5>~<Figure 8> 2009

1 2011 12 VKOSPI VKOSPI

(TC) 2-Area (2AC) .

, <Figure 6>

<Figure 8>  0.7 top 



down 



(3)~ (6) ^{ } top, down

. VKOSPI (jump activation)

, VKOSPI .

Figure 5. Investment pattern of V-TC strategy

Figure 6. Investment pattern of V-2AC strategy

Figure 7. Investment pattern of DV-TC strategy

Figure 8. Investment pattern of DV-2AC strategy

<Table 4> 4

,

<Figure 9> .

2-area V-2AC DV-2AC

V-TC DV-TC 2 .

VKOSPI

242 유재필 신현준

2-area

. 2009

DV-2AC ,

 (tuning)

.

V-TC 19.5%, 6.4

.

. DV-TC

20.2 V-TC DV-TC

V-TC . 2011

DV-TC 292 ,

V-TC 44 . DV-2AC

2010 2009

2011 .

10% V-2AC V-

TC 2010 2011

. 3 KOSPI200 VKOSPI

.

Table 4. Analyses of proposed strategies in terms of # of trading and rate of return

Proposed strategies # of trading Rate of return(%)

V-TC Year

2009 48 14.7

2010 14 17.1

2011 44 26.6

Mean 35.3 19.5

Standard

deviation 18.6 6.4

V-2AC Year

2009 66 -2.9

2010 36 14.0

2011 80 19.0

Mean 60.7 10.0

Standard

deviation 22.5 11.5

DV-TC Year

2009 66 50.1

2010 164 11.6

2011 292 18.6

Mean 174.0 26.8

Standard

deviation 113.3 20.2

DV-2AC Year

2009 322 -53.8

2010 348 46.9

2011 358 0.9

Mean 342.7 -2.0

Standard

deviation 18.6 50.6

Figure 9. Performance comparison among 4 strategies

2008

(sub-prime mortgage loan) 2009

KOSPI200 2009 2010

KOSPI200 .

(2009 DV-2AC )

.

6. 결 론

KRX VKOSPI

. KRX KOSPI200

VKOSPI ,

VKOSPI KOSPI200

.

2 ( ) 2

2-Area VKOSPI

4 (V-TC, V-2AC, DV-TC, DV-2AC)

. KOSPI200

2009 1 2011 12

3 KOSPI200

,

. 

(sensitivity analysis) 

.

변동성지수와 관리도를 이용한 KOSPI200 지수선물 투자전략 243

참고문헌

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