Smart Beta 投資策略對臺灣 50 指數報酬率績效提升之研究

Study on the Performance Improvement of Smart Beta Investment Strategy on Taiwan 50 Index Return

李翊維(Yi-Wei Lee)

指導教授 ： 陳鴻崑

淡江大學/商管學院/財務金融學系碩士班/碩士(2023年)

https://doi.org/10.6846/TKU.2023.00115

摘要

本研究探討Smart Beta投資策略是否能提升臺灣50指數報酬率。臺灣50指數在本質上已經具有規模因子篩選的基礎，本研究將透過品質、動能、成長、價值，以及合併上述四因子等五種選股方式來重新篩選臺灣50指數成份股，同時在考量不同投資組合加權方式之下，探討Smart Beta投資策略之績效是否能提升臺灣50指數報酬率。研究結果發現，除了動能因子搭配均等權重外，其餘Smart Beta選股策略皆能夠有效提升臺灣50指數報酬率。其中，四因子投資策略搭配市值加權的表現最好，平均年報酬率達11.81%。品質、動能、成長、價值等四種因子投資策略則是以搭配限制放空之最小變異數加權方式的表現最佳，平均年報酬率介於9.5%至13.6%之間，其中又以成長因子搭配限制放空之最小變異數加權的投資組合所能產生的報酬率最高。最後，本研究按照臺灣加權股價指數報酬率的漲跌將市場區分為牛、熊市，研究結果發現在牛市期間，四因子、品質與動能因子搭配市值加權投資組合，以及成長與價值因子搭配限制放空之最小變異數加權投資組合的表現最好，其中四因子投資策略搭配市值加權所能產生的報酬率最高，平均年報酬率達20.1%。在熊市期間，所有的因子投資策略搭配限制放空之最小變異數加權投資組合皆能有最佳表現，其中品質因子搭配限制放空之最小變異數加權的投資組合所能產生的報酬率最高，平均年報酬率達9.18%。

關鍵字

Smart Beta ； 投資組合 ； 臺灣50指數 ； ETF

並列摘要

This study examines whether the Smart Beta strategy can improve the Taiwan 50 Index return. I use five Smart Beta factors, such as quality, momentum, growth, value, and the combination of the four factors above, to construct new factor investing portfolios from the components of the Taiwan 50 Index. I also use equal-weighted (EW), value-weighted (VW), and minimum-variance-weighted (MVW) methods to construct factor investing portfolios. The empirical results show that all Smart Beta strategies can outperform the Taiwan 50 Index return, except for the momentum factor with the EW method. The four-factor investment strategy with the VW method performs best, with an average annual return of 11.81%. The other investment strategies, such as quality, momentum, growth, and value, with the MVW method, have the best performance, with an average annual return between 9.5% and 13.6%. The growth factor with the MVW method can generate the highest rate of return among these four Smart Beta strategies. I also examine which Smart Beta strategies can perform better in bullish and bearish markets. The bullish and bearish markets are based on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) return. The four-factor, quality, and momentum factors with the VW method and growth and value factor with the minimum-variance-weighted method can perform better than other weighted methods in the bullish market. Among these Smart Beta strategies, the four-factor investment strategy with the VW method has the highest performance in the bullish market, generating an average annual return of 20.1%. All Smart Beta strategies with the MVW method perform better than other weighted methods in the bearish market, whereas the quality factor performs the best, resulting in an average annual return of 9.18%.

並列關鍵字

Smart Beta ； portfolios ； Taiwan 50 Index ； ETF

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