比較學術及業者的高品質因子定義對投資組合績效影響:美國ETF的實證分析

Portfolio performance and the definition of quality factors: Empirical Evidence on U.S. ETFs

鄭凱元(Cheng Kai-Yuan)

指導教授 ： 周行一

國立政治大學/商學院/財務管理學系/碩士(2020年)

https://doi.org/10.6814/NCCU202000949

摘要

ETF在投資商品中的地位蒸蒸日上，資產規模屢創新高，推出的種類也越加繁多，而在近幾年推出的ETF中有相當高比例為Smart Beta ETF，受到不少投資人的喜愛以及學術理論支持，猶如淘金潮一般，在2016年時，學術及業界就挖掘出超過300種風險因子，當中最熱門並且有相關產品的有規模、價值、動能、低波動度、高股利、品質和多因子等。
在美國上市的品質ETF，和提出品質投資的學者Novy-Marx(2013)所界定的品質因子定義並不相同。Novy-Marx的品質投資策略不僅簡單明瞭，且背後又有強力的研究結果支撐，為什麼這些基金公司不遵循其擇股方式，而採用更加複雜且不同的篩選因子來建構ETF呢?
本研究比較了在美國上市的品質因子ETF，和Novy-Marx(2013)的品質投資策略間的績效表現差異，研究期間為2006年7月至2019年12月，實證結果為僅做多盈利能力最佳的投組在四因子迴歸模型檢驗下，超額報酬為3.71% (t值為2.69)，在近十年的累積報酬率勝過其他品質ETF和大盤指數。但是多空相減後投組的超額報酬並不顯著異於零，且圖3-4中品質溢酬的效果並不明顯，所以並無法推論品質投資策略的報酬是否來自其因子特性，這顯示了高品質因子在近年美國股市中出現失靈的情形，而設計這些ETF的業者不使用盈利因子來篩選股票，可能是希望藉由其他篩選因子來創造超額報酬。

關鍵字

Smart Beta ； ETF ； 因子投資 ； 品質因子 ； 獲利性

並列摘要

The definition of quality factor as defined by Novy-Marx(2013), a scholar who proposed quality investing, is different from quality factor ETF listed in the US. The quality strategy of Novy-Marx is not only simple and clear, but also supported by strong research results. Why do these ETF adopt more complex and different screening factors, rather than following the way academics constructed them?
This study compares the performance differences between the quality factor ETF listed in the US and the quality investment strategies of Novy-Marx(2013). The period was from July 2006 to December 2019. The empirical results show that the excess return of the portfolio with the best profitability performance is 3.71% (t-statistics is 2.69), and it has outperformed other quality factor ETFs and benchmark index over the past decade. However, the excess return of the long-short strategy isn’t significantly different from zero, and quality premium in Figure 3-4 is not obvious. Therefore, it is not possible to infer whether the return of quality investment strategies come from their profitability characteristics.
The results show that quality factor has failed in recent years, and fund companies do not use profitability factor to select stocks, perhaps hoping to create excess returns by other screening factors.

並列關鍵字

Smart Beta ； ETF ； Factor Investing ； Quality Factor ； Profitability

參考文獻

一、參考網站

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FTSE Russell. (2019). Smart beta:2019 Global Asset Owner Survey. Retrieved from https://www.ftserussell.com/embed/smart-beta-survey-infographic-2019

Kenneth R. French. Kenneth R. French - Data Library. Retrieved from https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html