本研究旨在探討 Keller & Keuning（2016）所提出之保護性資產配置（Protective Asset Allocation, PAA）策略，於全球、美國及台灣ETF市場應用時的投資績效與風險控制效果。傳統資產配置理論雖強調透過分散投資以平衡風險與報酬，但在市場劇烈波動與結構快速變化下，靜態配置策略已無法滿足投資者需求。 PAA 策略結合相對動能與絕對動能指標，並導入保護性資產池與市場廣度機制，透過動態調整風險資產與避險資產之比重，有效降低投資組合波動度與最大回撤。
本研究以 13 檔具代表性的 ETF 為樣本，涵蓋股票、債券、黃金與不動產等資產類別，樣本期間自 2008 年 11 月至 2025 年 9 月，採用月資料並以自然對數報酬率計算。研究結果顯示， PAA 策略應用於多元化投資組合以全球、美國或台灣ETF市場為例，皆量顯著降低波動度與最大回撤，明顯優於傳統均權組合。其中，高防禦版本PAA2雖報酬略低，但具最佳風險控制能力； PAA0 則兼顧報酬與穩健性，呈現報酬與風險間之良好平衡。
本研究之貢獻在於補足現有文獻中對台灣市場資產配置策略的不足，並驗證 PAA 策略於不同市場結構下的普適性與穩健性。研究成果對於追求長期穩定報酬之投資者，具有重要參考價值。

This study aims to examine the investment performance and risk control effectiveness of the Protective Asset Allocation (PAA) strategy proposed by Keller & Keuning (2016) when applied to global, U.S., and Taiwan ETF markets. While traditional asset allocation theories emphasize diversification to balance risk and return, static allocation strategies have become inadequate in the face of increasing market volatility and rapid structural changes. The PAA strategy integrates both relative and absolute momentum indicators, introduces a protective asset pool, and employs a market breadth mechanism to dynamically adjust the proportion between risk and safe assets, thereby reducing portfolio volatility and maximum drawdowns.
This study selects 13 representative ETFs across various asset classes, including equities, bonds, gold, and real estate. The sample period spans from November 2008 to September 2025, using monthly data and log returns. The empirical results show that when the PAA strategy is applied to diversified portfolios in global, U.S., or Taiwan ETF markets, it significantly reduces volatility and maximum drawdowns, clearly outperforming traditional equal-weighted portfolios. Among the strategy variants, the high-defense version (PAA2) achieves the best risk control, albeit with slightly lower returns, while PAA0 offers a favorable balance between performance and stability.
The contribution of this study lies in filling the gap in existing literature regarding asset allocation strategies in the Taiwan market and validating the universality and robustness of the PAA strategy across different market structures. The findings offer valuable implications for long-term investors seeking stable returns.

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