The development of financial markets diversifies the investment products and instruments available to investors, allowing investors to hold multiple financial products and introduces the concept of investment portfolios. This study employs four dynamic asset allocation strategies, namely Buy-and-Hold (BH), Constant Mix (CM), Constant-Proportion Portfolio Insurance (CPPI) and Option-Based Portfolio Insurance (OBPI), and examines the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over the last 10 years to find the best performing strategy. This study applies the moving window method to construct portfolios in order to observe the return patterns of these strategies, and compares and analyzes the performance of each strategy using Sharpe ratio and maximum drawdown. The empirical results show that Constant Mix strategy yields best performance.