擇時指標對被動式投資管理策略之應用 以台灣上市公司為例

自全球金融海嘯以來，因全球央行的寬鬆政策導致金融資產風險溢酬被壓縮，投資人逐漸意識到傳統主動式基金績效很難贏過大盤，遂轉而投資低成本的被動式基金尋求市場報酬，如Smart Beta ETF即是近年來相當熱門的投資商品，這些基金往往標榜其跟隨特定因子以獲取市場溢酬，而這些因子是否受到景氣循環影響，或是受到資本市場對於因子績效的追逐導致其過於昂貴，仍受到討論。本研究以台灣上市公司建構投資組合，並利用擇時指標篩選因子，對不同因子之投組分配權重。實證結果顯示加入擇時指標後的擇時策略，不論是年化報酬或夏普比率大多都優於單純等重投資的被動策略，投資人可利用景氣循環與相對評價，適時的調整自身的投資組合，因應不同經濟背景提升整體的報酬率。

關鍵字

被動式投資策略；擇時指標；相對評價法

並列摘要

Smart Beta ETF is a very popular investment product in recent years. These funds often advertise that they follow specific factors to obtain market premiums. Are these factors affected by the economic cycle? Did these factors become more expensive after the performance chasing by the capital market? It’s still under discussion. This study uses Taiwanese listed companies to strengthen the factor investment portfolio and explore factors that have noticeable changes in performance in the past. The empirical results show that the timing strategy after adding the timing indicator, whether it is annual return or Sharpe ratio, is mostly better than the passive strategy of equal weight investment. Investors can use the prosperity cycle and relative evaluation to adjust their portfolios in a timely manner and improve the overall rate of return in response to different economic backgrounds.