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| Title: | 景氣循環下多因子投資組合的調整與表現
Adjustment and Performance of Multi-Factor Investment Portfolios over the Business Cycles |
| Authors: | 林子瑜
Lin, Tzu-Yu |
| Contributors: | 鍾令德
林子瑜
Lin, Tzu-Yu |
| Keywords: | 景氣循環
多因子投資
指數投資
Smart Beta
Business Cycles
Multi-factor Investing
Index Investing
Smart Beta |
| Date: | 2024 |
| Issue Date: | 2025-04-01 12:21:49 (UTC+8) |
| Abstract: | Polk, Haghbin, and de Longis (2020) 研究指出，在不同景氣循環階段調整投資因子能夠顯著提高美國市場的投資表現。為探討此投資方法在臺灣市場的適用性及其效果，本研究採用臺灣上市公司的歷史數據，組建包括動能(Momentum)、低波動率(Low Volatility)、規模(Size)、價值(Value)、獲利能力(Profitability)以及高殖利率(High Dividend)等多個因子指數，並根據臺灣總體經濟景氣循環的不同階段動態調整各因子的權重，以構建多因子投資組合。本研究首先基於領先指標(LEI)以及VIX指數對景氣循環階段進行劃分，並檢驗在此劃分方式下各因子是否能具有顯著創造超額報酬的效果。接著，依據不同階段調整投資因子的權重，並透過回測對構建的投資組合進行績效評估。回測分析結果顯示，隨景氣循環階段調整之多因子投資組合，相較於未調整之多因子投資組合，每月可額外創造約0.23%之超額報酬。
According to Polk, Haghbin, and de Longis (2020), adjusting investment factors conditional on different business cycle phases can significantly enhance investment performance. This study aims to explore the applicability and effectiveness of this investment approach in the Taiwanese market. Specifically, using historical data of listed companies in Taiwan, this research constructs multiple factor indices including Momentum, Low Volatility, Size, Value, Profitability, and High Dividend Strategies. Firstly, this research divides the business cycle stages based on leading indicators (LEI) and the VIX index, and examines the effectiveness of each factor under this division. Subsequently, the weights of investment factors are adjusted according to different stages, and the performance of the constructed investment portfolios is evaluated through backtesting. Backtesting analysis indicates that a multi-factor investment portfolio constructed from factors conditional on different phases of the business cycle exhibits superior performance in terms of both absolute returns and risk-adjusted returns yielding an additional monthly excess return of 0.23% over an unadjusted multi-factor portfolio. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351027 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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