Smart Beta ETF投資組合績效之研究—以iShare美國因子系列ETF為例

在2008年金融海嘯後被動投資興起，指數型基金(Exchange Traded Funds ,ETF)規模快速發展，ETF儼然成為投資人的心頭好，建築在被動投資根基下的主動管理理念，市場上開始出現Smart Beta策略的ETF，也就是因子投資類型的ETF，時至今日，美股市場的Smart Beta ETF 琳瑯滿目，本研究將以多數認同的投資因子，包含質量、價值、動能、規模和低波動5種因子，以iShare系列的因子ETF為本研究建構投資組合的資產標的，並利用馬可維茲模型、Black-Litterman模型、風險平價、等權重及最小變異數方法去做資產配置，且在因子ETF的資產標的上，根據市場上較熱門的多因子ETF組成去做投資組合的比較分析，研究結果最後顯示，以Black-Litterman模型建構的包含質量、價值與動能因子ETF的投資組合報酬表現最好；以最小變異數方法建構的包含質量、價值、動能、規模與低波動因子ETF的投資組合波動度最小；以最小變異數方法建構的包含質量、價值、動能與低波動因子ETF的投資組合夏普比率最高。

關鍵字

指數型基金； ETF ； Smart Beta ；投資組合

並列摘要

After financial crisis of 2008, passive investing attracted extensive attention worldwide. The scale of Exchange Traded Funds (ETF) has developed rapidly, and ETF has become the top choice for investors. Based on the active management philosophy under the passive investment foundation, the ETF of the Smart Beta strategy, which is the factor investment type ETF, has begun to appear on the market. Until today, the Smart Beta ETF in the US stock market is full of talents. This study will use the most common investment factors, including quality, value, kinetic energy, scale and low volatility, with the iShare series of factor ETFs as the assets of the research, And use the Markowitz model, Black-Litterman model, risk parity, equal weight and minimum variance method to do asset allocation, and on the asset standard of the factor ETF, according to the market's more popular multi-factor ETF composition to make the portfolio comparative analysis. The results show that the portfolio with the quality, value and kinetic energy factor ETF constructed by the Black-Litterman model performs best; the investment with quality, value, kinetic energy, scale and low volatility factor ETF constructed by the minimum variance method The combined volatility is the smallest; the portfolio with quality, value, kinetic energy and low volatility factor ETF constructed by the minimum variability method has the highest Sharpe ratio.