Smart Beta投資策略於臺灣50指數績效優化研究

近年指數股票型基金（Exchange Traded Funds，簡稱ETF）規模不斷成長，其中與Smart Beta 投資策略的創新息息相關。傳統的被動式投資策略僅以市值加權（Cap-weighting）指數做為追蹤的標的，但當市場失靈或不具效率時，傳統市值加權指數會傾向過度持有那些市值高於公司真實價值的股票，而對市值低於公司真實價值的股票則持有不足。本研究使用目前Smart Beta中基本面指數投資策略，研究期間為2007年5月至2018年3月，以2013年3月劃分前後兩段時期。整體而言，本研究所提出之基本面指數投資策略皆能創造出優於標竿指數之總報酬，其中稅後淨利加權策略的總報酬最高，現金股息加權策略次之，股東權益加權策略較差，但都優於標竿指數。本研究實證結果顯示，基本面指數策略在前半時期(2007年5月至2013年3月)績效優化效果較好，惟在後半時期(2013年4月至2018年3月)效果不如預期，推測可能原因為在基本面指數策略策略偏向價值型選股，當時序進入2013年以後，市場氛圍轉向升息環境後，績效並不突出。但以風險來看，基本面指數在兩段時期都具有降低風險的效果。

關鍵字

Smart Beta ； ETF ；投資組合；台灣50指數；基本面指數

並列摘要

In recent years, the size of the Exchange Traded Funds (ETF) has grown continuously, which is closely related to the innovation of the Smart Beta investment strategy. The traditional passive investment uses the Cap-weighting index as the target of tracking, but when market failure or inefficiency, the traditional market cap-weighted index tends to over-weight those stocks whose market value is higher than the company's real value,and under-weight those stocks whose market value is lower than the company's real value This study uses one of the Smart Beta strategy - Fundamental Index investment. The period was from May 2007 to March 2018 and was divided into two periods by March 2013. Overall, the fundamental index strategy proposed by this study can create a total return that is better than the benchmark index, in which the weighted strategy of after-tax net profit has the highest total reward, followed by the cash dividend weighted strategy, and the weighted strategy of book value is poor. However, they are better than the benchmark index.The empirical results of this study show that the performance of fundamental index strategy in the first half of the period (from May 2007 to March 2013) is better, but in the second half of the period (April 2013 to March 2018), the effect is not as expected. The probable reason is that the fundamental index strategy is biased towards value investing. When the time entered into 2013, the market atmosphere turned to a rate hike environment, and the performance was not outstanding. However, in terms of risks, fundamental index strategies have the effect of reducing risks in both periods.