本研究以 Kelly, Malamud, and Pedersen (2023) 所提出的主要投資組合的概念為 基礎，應用在台灣股票市場進行股票交叉動能之實證研究。本文使用台灣經濟新報 (TEJ)之日還原股價，利用純粹動能指標與風險調整動能(RAMOM)進行股票交叉動 能投組的建構，並進一步嘗試對動能訊號進行資料平滑、對主要投資組合的框架進 行改良，嘗試建立一套適用於台灣股票市場之策略。
經回測之實證結果顯示，在固定股票池為市值前 50 大股票的情況下，在過去 十年的台股市場中 PP 投組皆無法擊敗直接將市值前 50 大的股票進行等權重的 Benchmark，且不論將動能訊號進行滾動平均或是將主要投資組合之框架進行調整， 其結果皆相同。
另外本研究發現，此股票交叉動能之策略在近四年的台股市場中之表現較為優異，不論是使用純粹動能指標或是風險調整動能指標，應用在 Kelly et al. (2023)的主 要投資組合投組中之表現與 Benchmark 皆旗鼓相當，顯示此股票交叉動能之策略在 台灣股票市場可能仍具有一定的發展潛力。

This study is based on the concept of principal portfolios proposed by Kelly, Malamud, and Pedersen (2023), and applies it in an empirical study on cross-momentum stock trading in the Taiwan stock market. This paper utilizes the daily adjusted stock prices from the Taiwan Economic Journal (TEJ) and employs pure momentum indicators and risk-adjusted momentum (RAMOM) for constructing cross-momentum stock portfolios. Furthermore, attempts were made to smooth the data for momentum signals and to improve the framework of the principal portfolios, aiming to establish a strategy suitable for the Taiwan stock market.
Backtesting results indicate that under the condition of fixing the stock pool to the top 50 stocks by market capitalization, the principal portfolios (PP) failed to outperform a simple equal-weight benchmark of the top 50 stocks in the Taiwan stock market over the past decade. This outcome remained unchanged regardless of whether the momentum signals were smoothed using moving averages or the framework of the principal portfolios was adjusted.
Additionally, this study finds that the cross-momentum stock strategy performed relatively better in the Taiwan stock market over the past four years. Whether using pure momentum indicators or risk-adjusted momentum indicators, the performance within the principal portfolios set up by Kelly et al. (2023) was comparable to the benchmark, suggesting that this cross-momentum stock strategy may still hold potential for development in the Taiwan stock market.

Arnott, R. D., Clements, M., Kalesnik, V., & Linnainmaa, J. T. (2023). Factor momentum. The Review of Financial Studies, 36(8), 3034–3070.
Antonacci, G. (2014). Dual momentum investing: an innovative strategy for higher returns with lower risk. New York, NY: McGraw-Hill Education.
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.
Barroso, P., & Santa-Clara, P. (2015). Momentum has its moments. Journal of Financial Economics, 116(1), 111-120.
Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506-521.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Chordia, T., Subrahmanyam, A., & Anshuman, V. R. (2001). Trading activity and expected stock returns. Journal of Financial Economics, 59(1), 3-32.
Chui, A. C. W., Titman, S., & Wei, K. C. J. (2010). Individualism and momentum around the world. Journal of Finance, 65(1), 361-392.
Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.
De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.
Dudler, M., Gmuer, B., & Malamud, S. (2014). Risk-Adjusted Time Series Momentum. Swiss Finance Institute Research Paper Series, (14-71).
Ehsani, S., & Linnainmaa, J. T. (2022). Factor momentum and the momentum factor. Journal of Finance, 77(3), 1877-1919.
Fama, E. F., & French, K. R. (2008). Dissecting anomalies. Journal of Finance, 63(4), 1653-1678.
Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457-472.
Fan, M., Kearney, F., Li, Y., & Liu, J. (2022). Momentum and the cross-section of stock volatility. Journal of Economic Dynamics and Control, 144, 104524.
Grundy, B. D., & Martin, J. S. (2001). Understanding the nature of the risks and the source of the rewards to momentum investing. The Review of Financial Studies, 14(1), 29- 78.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2), 699-720.
Jiang, Y. (2023). Application of momentum strategy to S&P 500: a five-year retrospective analysis. Advances in Economics Management and Political Sciences, 50(1), 36-42.
Jin, Z., & Li, F. W. (2021). Geographic links and predictable returns. Unpublished manuscript,https://www.researchgate.net/publication/342578121_Geographic_Links_and_Predictable_Returns.
Kelly, B., Malamud, S., & Pedersen, L. H. (2023). Principal portfolios. Journal of Finance, 78(1), 347-387.
Lee, C. M. C., Sun, S. T., Wang, R., & Zhang, R. (2019). Technological links and predictable returns. Journal of Financial Economics, 132(3), 76-96.
Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12(5), 1113-1141.
Liu, W., & Strong, N. (2008). Biases in decomposing holding period portfolio returns. Review of Financial Studies, 21(6), 2243-2274.
Pole, A. (2009). Statistical Arbitrage: algorithmic trading insights and techniques. Hoboken, NJ: John Wiley & Sons.
Reinganum, M. R. (1999). The significance of market capitalization in portfolio management over time. The Journal of Portfolio Management, 25(4), 39-50.
Savor, P., & Wilson, M. (2013). How much do investors care about macroeconomic risk? evidence from scheduled economic announcements. Journal of Financial and Quantitative Analysis, 48(2), 343-375.
Shi, Y., Mitra, L., Arbex-Valle, M., & Yu, Z. (2017). Using social media and news sentiment data to construct a momentum strategy. Unpublished manuscript, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3406075
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139-1168.
Tetlock, P. C., Saar-Tsechansky, M., & Macskassy, S. (2008). More than words: Quantifying language to measure firms' fundamentals. Journal of Finance, 63(3), 1437-1467.
Yan, J., & Yu, J. (2023). Cross-stock momentum and factor momentum. Journal of Financial Economics, 150(2), 103716.