2017年高盛期權交易部門的研究報告指出，若於金融海嘯發生後的2009年3月起，開始放空VIX短期期貨指數，那麼一直到2017年3月底，此投資報酬率高達4364%，而另一方 面，也觀察到同期間的大盤漲幅高達249%。
因此，本研究欲以標普500波動率短期期貨單日反向一倍超額回報指數(S&P500 VIX Short-Term Futures Inverse Daily Excess Return；SPVXSPI)為研究對象，探討SPVXSPI與股票、債券的績效比較，而因SPVXSPI是以交易近月份合約編製而成，其報酬分配會有顯著的偏態與峰度，在實證報酬非常態分配的前提下，傳統衡量績效的方法將不適用，因此本篇將以幾乎隨機優勢法(Almost Stochastic Dominance ; ASD)作為研究工具，探討SPVXSPI與股票、債券比教的績效。

If the investors short S&P500 VIX Short-Term Futures Index Excess Return, from March 9, 2009 to the end of March, 2017, the return rate would be 4364% according to Goldman Sachs’ research.
Therefore, this paper would like to study the performance between S&P500 VIX Short-Term Futures Inverse Daily Excess Return (SPVXSPI), bonds and stocks via almost stochastic dominance (ASD) since the return distribution of these three assets are not normal distribution.

第一章 緒論 1
第二章 文獻回顧 3
第三章 研究方法 6
3.1 一階隨機優勢法則 7
3.2 二階隨機優勢法則 8
3.3 一階幾乎隨機優勢法則 10
3.4 二階幾乎隨機優勢法則 11
第四章 實證分析 12
4.1 樣本來源與研究期間 12
4.2 實證結果 13
4.2.1 反VIX與股票、債券之比較 13
4.2.2 未分散風險投資組合之比較 15
4.2.3 分散風險投資組合之比較 17
第五章 結論 21
參考文獻 22

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