本研究之目的在於實際以防禦型資產配置DAA (Defensive Asset Allocation)之模型應用在新興市場中，將西元2009年6月1日開始到西元2025年1月1日這段時間內，所選出來的新興市場標的，以月報酬率為基準點分析，並與標的指數Vanguard FTSE新興市場ETF (VWO－Vanguard Emerging Markets Stock Index Fund ETF)來進行比較。實證之結果為防禦型資產配置策略，儘管在報酬率上輸給了大盤指數，但最大回撤與波動度也同樣小於大盤指數。顯示若從追求獲利的角度來看，此一策略或許並不適宜應用在新興市場，但在降低風險方面仍有一定的成效。
　　本文前段我們先簡單介紹了本次研究的主體市場－新興市場（Emerging Markets），其在比較廣泛的定義中，大概由哪些地區與哪些國家所構成。本研究並選出了六檔新興市場股市ETF作為獲取股市報酬的攻擊型資產池、兩檔獲取新興市場債市報酬的ETF作為防禦型資產池，與另外兩檔做為警示功用的保護型資產池ETF，共計有十檔ETF做為樣本，並詳述本研究選擇這些標的之依據及原因。
　　除了原始的DAA策略外，本研究也提供了使用均權投資以及DAA的變形版策略DAA-G4與DAA-T2的各項實證資料。在本研究選定的期間內，最原始的DAA策略相較DAA-G4或DAA-T2，雖然得到了更好的報酬率，但在考量交易成本以後，僅有DAA與DAA-T2策略的定期定額報酬率，勝過了均權投資與本研究選定的大盤指數VWO，單筆投資的報酬率則是三者皆輸給均權投資與VWO。

This study aims to apply the Defensive Asset Allocation (DAA) model to emerging markets. Using monthly returns as the basis for analysis, the study examines selected emerging market assets over the period from June 1, 2009, to January 1, 2025, and compares the results with the benchmark index, the Vanguard FTSE Emerging Markets ETF (VWO – Vanguard Emerging Markets Stock Index Fund ETF). The empirical results show that although the Defensive Asset Allocation strategy underperformed the benchmark index regarding returns, it also exhibited lower maximum drawdown and volatility than the benchmark. This indicates that while the strategy may not be suitable for emerging markets from a profit-seeking perspective, it still demonstrates effectiveness in risk reduction.
In addition to the original DAA strategy, this study provides empirical data for equal-weighted investment and two modified versions of the DAA strategy: DAA-G4 and DAA-T2. During the selected research period, although the original DAA strategy achieved better returns compared to DAA-G4 and DAA-T2, after accounting for transaction costs, only the dollar-cost averaging returns of the DAA and DAA-T2 strategies outperformed those of the equal-weighted investment and the benchmark index VWO selected in this study. In contrast, in terms of lump-sum investment returns, all three strategies underperformed compared to equal-weighted investment and VWO.

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