指數股票型基金動能投資策略績效之研究

The Performance of Momentum Strategies for Exchange Traded Funds（ETFs）

曾俊翰(Chun-Han Tseng)

指導教授 ： 黃漢青 ； 陳若暉

中原大學/商學院/企業管理研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000456

摘要

本研究以美國上市的指數股票型基金（ETF）為研究標的，探討單一國家與產業型ETF採用各種動能投資策略之績效表現。首先，運用價格動能策略，以形成期報酬率為依據，探討各類型ETF採用價格動能策略的獲利情形；並以形成期週轉率為投資準則，檢驗各類型ETF是否存在週轉動能效果；再進一步結合報酬與週轉率建構動能生命週期，探討各類型ETF其早、晚期策略的績效表現，並與價格及週轉動能策略進行比較，檢驗二維動能之績效是否優於一維動能策略。本研究之實證結果歸納如下：
一、利用前期報酬率所形成的價格動能策略，金融類ETF於短期內，採取價格動能策略可以獲利。科技、醫藥生技與單一國家類ETF，則可在不同期間採取反向投資策略以獲取較佳報酬。
二、以週轉率作為動能策略之依據時，單一國家與能源類ETF，在中、長期存在週轉動能效果。至於科技與醫藥生技類ETF，則可在中、長期時採取反向週轉策略以獲得較佳的投資績效。
三、結合前期報酬與週轉率所建構的動能生命週期，在所有類型ETF中，早、晚期策略皆能獲利。其中，醫藥生技類ETF之早期策略報酬優於晚期策略，至於科技、金融、自然資源與單一國家類ETF，採用晚期策略有較佳的投資績效。
四、將動能生命週期之早、晚期策略，分別與價格及週轉動能策略進行比較。所有單一國家與產業型ETF，其早、晚期策略報酬皆優於價格與週轉動能策略。因此，採取二維動能策略之績效表現較一維動能策略佳。

關鍵字

動能生命週期 ； 週轉率 ； 反向策略 ； 指數股票型基金 ； 動能策略

並列摘要

This study examines the profitability of momentum strategies for industrial sector and country-specific Exchange Traded Funds (ETFs) listed in the U.S. exchanges. Based on the study of momentum strategy, we investigate the profitability of price momentum strategy with various formation and holding periods. Moreover, the turnover momentum strategy based on the past turnover rate is examined as well. We test the profit of the momentum life cycle (MLC) hypothesis under all kinds of ETFs. This study also compares dual factors strategy with simple strategy for investment performance.
The empirical findings are summarized as follow:
(1) By using price momentum strategy formed from previous returns, the evidence indicates that the profit of price momentum effect only exists in finance ETFs in short-term. Technology, health biotech and country-specific ETFs have significant reversal effect, when investors employing contrarian strategy could obtain better returns at different periods.
(2) By applying turnover momentum as a volume-based momentum strategy, the result shows that there is turnover momentum effect for energy and country-specific ETFs in intermediate to long-term. Besides, technology and health biotech ETFs have reversal effect in intermediate and long horizons.
(3) To combine past return and turnover rate to form momentum life cycle strategy, both of early-stage and late-stage strategies could create profits under different formation holding horizons for all kinds of ETFs. In addition, the return of early-stage strategy is greater than late-stage strategy for health biotech ETFs. But technology, finance, natural resources and country-specific ETFs have reverse effects.
(4) To compare dual factors strategy with simple strategy for profitability, the performance of momentum life cycle strategy outperforms the simple strategies based on past returns or turnover rate. Thus, momentum life cycle strategy is more preferable to simple strategies for investors.

並列關鍵字

Momentum Life Cycle ； Turnover Rate ； Contrarian Strategy ； Momentum Strategy ； Exchange Traded Funds

參考文獻

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