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研究生： 高偉恩
Kao, Wei-En
論文名稱： 最小變異數選股策略於台股之應用
Application of the Minimum Variance Approach to Taiwan Stock Market
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2019
畢業學年度： 107
語文別： 英文
論文頁數： 43
中文關鍵詞： 最小變異投資組合 、因子傾斜 、交易策略
外文關鍵詞： minimum variance portfolio, factor tilt approach, trading strategy
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    • 由於近期受到中美貿易戰、英國脫歐等國際事件影響，造成全球股票市場波動劇烈，台灣加權股價指數也有明顯回落的現象，相較於傳統被動指數投資策略ETF，最小變異投資策略重新取得關注，其優勢為降低投資組合波動度，並取得異常報酬。

    因此，本研究以元大台灣50 ETF成分股為資產池，計算每季最小變異數下的投資組合配置權重和報酬，並參考Chen, Pong and Wang (2018) 的積極因子傾斜法和FTSE (2017) 因子傾斜機制，將價值和品質因子加入最小變異投資組合中，建立兩組最小變異投資策略。研究顯示，最小變異投資法報酬明顯優於元大台灣50 ETF，且波動度降低達15.39%，考量因子傾斜機制下的最小變異投資策略，取得更優異的報酬率及波動度減少。此外，夏普指數及索丁諾指數亦表現最佳，表示無論面臨市場風險或下檔風險，因子傾斜機制下投資策略都能在台股市場中取得超額報酬，本研究提供台股投資人在面臨市場劇烈波動的情況下，兩種取代傳統市值加權投資組合的交易策略。

    Due to the recent international trade events such as “Trade war” and “Brexit”, the global stock market fluctuated sharply, and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) also dropped significantly. Compared with the traditional passive index investment strategy, ETF, the minimum variation (MV) portfolio investing strategy regained attention of financial market. The advantage is to reduce the volatility of the portfolio and require abnormal returns. Thus, this study applies the component stocks of Taiwan 50 ETF as the asset pool to measure the portfolio allocation weights and returns under the MV methods quarterly, and refer to positive factor tilt method (Chen, Pong and Wang, 2018) and factor tilt mechanism (FTSE Russell, 2017). We add Value and Quality factors to the minimum variance portfolio and establishes two MV investing strategies.

    The research shows that the returns of the base-case MV portfolio is better than the Taiwan 50 ETF, and the volatility is reduced by 15.39%. Furthermore, the MV approaches under the factor tilt mechanism has achieved better returns and volatility reduction. In addition, the market risk premium of Sharpe ratio and the Sortino ratio are the best of other strategies regardless of market risk or downside risk in the Taiwan Stock Market. This study provides investors for two trading strategies with MV portfolio that traditional market-cap weighted method can be replaced owing to highly market volatility,

    CHAPTER 1 INTRODUCTION 1 1.1 Research Motivation and Background 1 1.2 Research Objectives and Findings 2 CHAPTER 2 LITERATURE REVIEW 4 2.1 Minimum-Variance in Investing 4 2.2 Comparison of Different Factor Models 5 2.2.1 Three Factor Model 5 2.2.2 Five Factor Model 8 2.2.3 Dissecting Anomalies with Five-Factor model 8 2.3 Factor Exposure Overlay Minimum Variance Approach 10 2.3.1 Value Factor 10 2.3.2 Quality Factor 12 2.3.3 Research for Factor Exposure on Minimum Variance Portfolio 14 CHAPTER 3 DATA AND METHODOLOGY 16 3.1 Data and Sample Selection 16 3.2 Base-case Minimum Variance Portfolio 17 3.3 Multi-factor exposure 18 3.3.1 Three Factor Model 18 3.3.2 Profitability Factor (RMW, robust minis weak) 19 3.3.3 Investment Factor (CMA, conservative minus aggressive) 19 3.4 The Factor Index Construction Process 20 3.4.1 Creation of Value Factor 20 3.4.2 Creation of Quality Factor 21 3.4.3 Calculation of Factor Z-Scores 23 3.4.4 Factor Constraints Approach on Minimum Variance 24 3.4.5 Factor-Tilt Approach on Minimum Variance 25 CHAPTER 4 EMPIRICAL RESULTS 26 4.1 Sample Data and Description 26 4.2 Descriptive Statistics 28 4.3 Evaluation of Performance on Minimum Variance Approach 30 4.3.1 Characteristics of Base-Case Minimum Variance Portfolio 30 4.3.2 Characteristics of the Constrained and Factor-Tilt MV Portfolio 32 CHAPTER 5 CONCLUSION 36 5.1 Conclusion 36 5.2 Suggestion and Limitation 37 APPENDIX 1 Weights of MV investing approach (2018Q3) 39 REFERENCES 40

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