本研究旨在探討防禦型資產配置策略（Defensive Asset Allocation, DAA）於多元市場情境下之實務可行性與穩健性表現。藉由動能因子與風險濾網結合，設計三種策略版本（Base、T2、G4），並與傳統均權重配置（Equal Weight, EW）及全球市場代表性「Vanguard全世界股票ETF（VT）」進行績效比較，透過歷史回測方式評估策略在不同操作條件下之報酬性與風險控制能力。
實證內容涵蓋三大情境：不考慮交易成本、納入平均交易成本後，以及定期定額投資模式。研究期間橫跨2010年至2025年，涵蓋疫情、升息循環等多次重大金融事件，以提高樣本期間之代表性與策略穩健性檢驗力度。回測指標涵蓋年化報酬率、年化波動率、夏普值、最大回撤與卡瑪比率等五項核心指標，並進行多維度交叉比較。
實證結果顯示，DAA策略於大多數情境下在報酬表現方面不如VT與EW，特別是在納入交易成本後，T2與G4版本因再平衡頻率高、成本敏感性強，導致績效明顯下滑；且在極端市場下，其最大回撤亦未優於傳統策略，顯示防禦性表現仍有提升空間。然而，Base版本於波動控制方面表現穩健，整體風險輪廓平衡，為三版本中表現最穩定者。
在定期定額情境中，DAA三版本累積市值普遍低於VT與EW，但報酬波動幅度較小（G4除外），能提供長期投資者另一種風險控制導向的選擇。整體而言，DAA策略雖未於所有面向優於傳統配置模式，但其策略架構於風險抑制與資產配置彈性上具備潛力。未來可進一步優化參數設計、擴充資產池，並導入動態再平衡機制，以提升策略之應用價值與調適能力。

This study evaluates the feasibility and robustness of the Defensive Asset Allocation (DAA) strategy under diverse market conditions. By incorporating momentum signals and risk filters, three versions of the DAA model—Base, T2, and G4—are constructed and benchmarked against traditional strategies, including Equal Weight (EW) and the global ETF proxy (VT). Historical backtesting is conducted to evaluate the performance and risk management of the strategy under various implementation frameworks.
The empirical design covers three scenarios: excluding transaction costs, incorporating average transaction costs, and applying a dollar-cost averaging (DCA) investment approach. The sample period spans from 2011 to 2025, encompassing major market events such as the COVID-19 pandemic and the global interest rate hike cycle. Performance is evaluated using annualized return, annualized volatility, Sharpe ratio, maximum drawdown, and return-to-drawdown ratio.
Results show that DAA strategies generally underperform EW and VT in terms of overall return, especially after accounting for transaction costs. The T2 and G4 versions are particularly affected due to their higher rebalancing frequency. Additionally, the maximum drawdowns of DAA strategies are not consistently better than those of traditional approaches, suggesting room for improvement in managing downside risk. Nonetheless, the Base version exhibits relatively stable volatility and balanced risk characteristics across scenarios, indicating potential suitability for risk-averse investors.
Under the DCA framework, all DAA models show lower portfolio volatility but accumulate less wealth than EW and VT over the long term. Overall, while DAA strategies do not outperform traditional methods across all dimensions, they offer structural flexibility and moderate control over volatility. Future research may focus on dynamic parameter optimization, expanding the asset universe, and implementing condition-based rebalancing mechanisms to enhance the DAA model’s practical adaptability in evolving market environments.

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