臺灣博碩士論文加值系統

自從2008年金融海嘯以來，投資人尋找較以往更低風險與更多超額報酬的商品。Smart Beta是一個介於主動投資與被動投資之間的投資工具，融合了兩者的優點，藉由對於特定風格的因子曝險以及不同的投資組合調整，以達到更多的彈性。過去相關文獻(Chow, Hsu, Kalesnik, and Little, 2011; Fama and French, 2015) 發現Smart Beta投資組合的表現能夠超越大盤。再者，其表現可能會受到景氣循環的影響，然而很少文獻提到該關聯性和影響。因此，本文研究目的嘗試探討因子投資的報酬是否受到景氣循環的影響。
本文採用台灣上市上櫃公司的月與季資料，樣本期間從1992年1月至2017年12月共26年，以景氣燈號做為景氣循環的變數之代理變數。本文使用廣泛之五種因子、九個代理變數，資產配置則是採用等權重模型，並且進一步建立投資組合，比較其報酬是否受到景氣循環的影響。實證結果顯示，在多頭時加碼品質因子可以增加報酬，空頭時減碼價值因子可以減少損失和風險。再者，實證結果證實，考量景氣循環下的投資組合之報酬，同時勝過未考量景氣循環的投資組合與大盤報酬。

After Asian financial storm (2008), investors try to find out financial instruments which are less risk and more excess return. Smart Beta is between active and passive methods of investing and flexible through specific factors combination and asset allocation. Previous studies (e.g., Chow, Hsu, Kalesnik, and Little, 2011; Fama and French, 2015) also find that the performances of smart beta portfolio are higher than their benchmarks.
The performances of smart beta portfolio may be affected by business cycle; however, rare literatures focus on the smart beta factors considering business cycle. Hence, the purpose of this paper is to investigate that how the returns of factor investing are caused by business cycle.
In this study, we use monthly and quarterly data of financial statements and fundamentals of stocks from the all listed companies of Taiwan Stock Exchange and Over-The-Counter from 1st of January 1992 to 31th of December 2017, totally 26 years. The business cycle is measured by monitoring indicators. Considering the business cycle, we use well-known factors (size factor, momentum factor, value factor, quality factor, liquidity factor) for the stock selection. Based on the equity weights model, we further compute the performances of allocation portfolios. We intend to analyze whether the performances of allocation portfolios with considering business cycle beat without considering business cycle and their benchmarks. The empirical results show that the returns of smart beta portfolio increase when we add the capital to quality factor in bull market, and reduce the capital to value factor in bear market that can reduce the risk and loss. Furthermore, the performances of allocation portfolios with considering business cycle are higher than without considering business cycle and also beat benchmark.

1. INTRODUCTION 1
1.1 BACKGROUND AND PURPOSE 1
1.2 LITERATURE REVIEW 2
2. METHOD 5
2.1 RESEARCH DESIGN 5
2.2 SUBJECTS / MATERIALS AND ASSUMPTION OF DATA 8
2.2.1 MONITORING INDICATOR 8
2.2.2 UNION AND INTERSECTION 11
2.2.3 ASSET ALLOCATION 12
2.2.4 SHARPE RATIO 12
3. DEFINITION OF FACTORS 13
4. EMPIRICAL RESULT 17
4.1 MONITORING INDICATORS AND RETURNS OF SINGLE FACTOR (WITHIN SAMPLE) 19
4.2 PERFORMANCE OF UNION AND INTERSECTION PORTFOLIOS 27
5. CONCLUSIONS AND SUGGESTIONS 31
6.Reference 39

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