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題名 比較學術及業者的高品質因子定義對投資組合績效影響:美國ETF的實證分析
Portfolio performance and the definition of quality factors: Empirical Evidence on U.S. ETFs作者 鄭凱元
Cheng, Kai-Yuan貢獻者 周行一
鄭凱元
Cheng, Kai-Yuan關鍵詞 Smart Beta
ETF
因子投資
品質因子
獲利性
Smart Beta
ETF
Factor Investing
Quality Factor
Profitability日期 2020 上傳時間 3-Aug-2020 17:33:57 (UTC+8) 摘要 ETF在投資商品中的地位蒸蒸日上，資產規模屢創新高，推出的種類也越加繁多，而在近幾年推出的ETF中有相當高比例為Smart Beta ETF，受到不少投資人的喜愛以及學術理論支持，猶如淘金潮一般，在2016年時，學術及業界就挖掘出超過300種風險因子，當中最熱門並且有相關產品的有規模、價值、動能、低波動度、高股利、品質和多因子等。在美國上市的品質ETF，和提出品質投資的學者Novy-Marx(2013)所界定的品質因子定義並不相同。Novy-Marx的品質投資策略不僅簡單明瞭，且背後又有強力的研究結果支撐，為什麼這些基金公司不遵循其擇股方式，而採用更加複雜且不同的篩選因子來建構ETF呢?本研究比較了在美國上市的品質因子ETF，和Novy-Marx(2013)的品質投資策略間的績效表現差異，研究期間為2006年7月至2019年12月，實證結果為僅做多盈利能力最佳的投組在四因子迴歸模型檢驗下，超額報酬為3.71% (t值為2.69)，在近十年的累積報酬率勝過其他品質ETF和大盤指數。但是多空相減後投組的超額報酬並不顯著異於零，且圖3-4中品質溢酬的效果並不明顯，所以並無法推論品質投資策略的報酬是否來自其因子特性，這顯示了高品質因子在近年美國股市中出現失靈的情形，而設計這些ETF的業者不使用盈利因子來篩選股票，可能是希望藉由其他篩選因子來創造超額報酬。
The definition of quality factor as defined by Novy-Marx(2013), a scholar who proposed quality investing, is different from quality factor ETF listed in the US. The quality strategy of Novy-Marx is not only simple and clear, but also supported by strong research results. Why do these ETF adopt more complex and different screening factors, rather than following the way academics constructed them?This study compares the performance differences between the quality factor ETF listed in the US and the quality investment strategies of Novy-Marx(2013). The period was from July 2006 to December 2019. The empirical results show that the excess return of the portfolio with the best profitability performance is 3.71% (t-statistics is 2.69), and it has outperformed other quality factor ETFs and benchmark index over the past decade. However, the excess return of the long-short strategy isn’t significantly different from zero, and quality premium in Figure 3-4 is not obvious. Therefore, it is not possible to infer whether the return of quality investment strategies come from their profitability characteristics.The results show that quality factor has failed in recent years, and fund companies do not use profitability factor to select stocks, perhaps hoping to create excess returns by other screening factors.參考文獻 一、參考網站林忠義(2017)。元大投信-因子投資介紹與發展。Retrieved from https://reurl.cc/g7eZRpFTSE Russell. (2016). How smart beta meets different investor outcomes. Retrieved from https://www.ftserussell.com/research/how-smart-beta-indexes-can-meet-different-objectivesFTSE Russell. (2019). Smart beta:2019 Global Asset Owner Survey. Retrieved from https://www.ftserussell.com/embed/smart-beta-survey-infographic-2019Kenneth R. French. Kenneth R. French - Data Library. Retrieved from https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.htmlSteve Johnson. (2020). Should the smart money be on smart beta? Financial Times Retrieved from https://reurl.cc/arLbQGUBS Chief Investment Office. (2019).Year Ahead 2020- UBS House View. Retrieved from https://www.ubs.com/content/dam/assets/wma/us/shared/documents/year-ahead-2020.pdf二、中文參考文獻余羚華 (2018) 。多因子選股策略之建構——以臺灣股市為實證。國立政治大學財務管理研究所碩士論文。李雅惠（2018）。美國主題型ETF之發展與投資績效。國立台灣大學管理學院碩士在職專班財務金融組碩士論文。岳夢蘭（2016）。退撫基金之管理與運用- Smart Beta和因子投資策略的介紹。公務人員月刊，225期，2-5。林佳慧（2016）。Smart Beta投資組合之績效研究。國立彰化師範大學財務金融技術學系碩士論文。林冠宏（2017）。因子投資策略之回顧及重現—以台灣股市為例。國立中正大學財務金融系研究所碩士論文。徐子強（2018）。Smart Beta投資策略於臺灣50指數績效優化研究。淡江大學財務金融學系碩士在職專班碩士論文。陳奐文 ( 2016）。台灣50指數ETF投資報酬率優化之實證研究。國立臺灣大學會計與管理決策組碩士論文。許菁旂, 黃文聰, 黃振聰 (2015)。投資人情緒對低波動異常現象的預測力:市場狀態的影響。管理學報，32(4)，399-424。黃凱偉（2016）。因子投資策略的應用-以美國科技業為例。國立政治大學財務管理研究所碩士論文。賀蘭芝 ( 2016 )。Factor-based投資組合配置。行政院所屬各機關因公出國人員出國報告書。中央銀行。劉修銘（2018）。因子投資在資產配置上的應用。國立交通大學資訊管理與財務金融學系財務金融碩士論文。三、英文參考文獻Alquist, R., Israel, R., & Moskowitz, T. (2018). Fact, Fiction, and the Size Effect. Journal of Portfolio Management, 45(1), 34-61.Amenc, N., Goltz, F., Lodh, A., & Martellini, L. (2012). Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance. Journal of Portfolio Management, 38(3), 72-88.Arnott, R.D., Beck, N., Kalesnik, V., & West, J.M. (2016). How Can `Smart Beta` Go Horribly Wrong? Available at SSRN: https://ssrn.com/abstract=3040949Arnott, R.D., Hsu, J., & Moore, P. (2005). Fundamental indexation. Financial Analysts Journal, 61, 83-99.Blitz, D. (2012). Strategic Allocation to Premiums in the Equity Market. The Journal of Index Investing, 2(4), 42-49.Blitz, D. (2015). Factor Investing Revisited. The Journal of Index Investing, 6(2), 7–17.Blitz, D. (2016). Factor Investing with Smart Beta Indices. The Journal of Index Investing, 7(3), 43–48.Blitz, D. (2017). Are Exchange-Traded Funds Harvesting Factor Premiums? Available at SSRN: https://ssrn.com/abstract=2912287Blitz, D., & Vidojevic, M. (2019). The Characteristics of Factor Investing. Journal of Portfolio Management, 45(3), 69–86.Brightman, C., V. Kalesnik, F. Li, & J. Shim. (2017). A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing. Research Affiliates Publications, 1-20.Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57–82.Ciliberti, S., Sérié, E., Simon, G., Lempérière, Y., & Bouchaud, J. (2019). The size premium in equity markets: Where is the risk? Journal of Portfolio Management, 45(5), 58-68.Dirkx, P.A. (2019). European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis. The Journal of Index Investing , 10(1), 37-50.Fama, E.F., & French, K.R.. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465.Fama, E.F., & French, K.R.. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.Fama, E.F., & French, K.R.. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234–252.Frazzini, A., & Pedersen, L. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1–25.Gelderen, E. V., & Huij, J. (2014). Academic knowledge dissemination in the mutual fund industry: Can mutual funds successfully adopt factor investing strategies? Journal of Portfolio Management, 40(4), 157-167.Gupta, T. (2019). Factor Momentum Everywhere. Journal of Portfolio Management Quantitative Special Issue, 45(3), 13-36.Harvey, C., Liu, Y., & Zhu, H. (2016). … and the Cross-Section of Expected Returns. The Review of Financial Studies, 29(1), 5–68.Hou, K., Xue, C., & Zhang, L. (2018). Replicating Anomalies. The Review of Financial Studies, 1-115.Hsu, J. (2014). Value Investing: Smart Beta versus Style Indexes. The Journal of Index Investing, 5(1), 121–126.Huij, J., & Kyosev, G. (2019). Factor Investing from Concept to Implementation. Journal of Portfolio Management, 45(3), 125–140.Kahn, R. N., & Lemmon, M. (2015). Smart Beta: The Owner’s Manual. Journal of Portfolio Management , 41(2), 76-83.Kahn, R. N., & Lemmon, M. (2016). The asset manager`s dilemma: How smart beta is disrupting the investment management industry. Financial Analysts Journal, 72(1), 15-20.Li, F. (2019). Trade-Off in Multifactor Smart Beta Investing: Factor Premium and Implementation Cost. Journal of Portfolio Management, 45(3), 115–124.Liu, J., Stambaugh, R., & Yuan, Y. (2019). Size and value in China. Journal of Financial Economics, 134(1), 48–69.MacQueen, J. (2020). The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says on the Tin. The Journal of Portfolio Management, 46(2), 64-78.Malkiel, B. (2014). Is Smart Beta Really Smart? Journal of Portfolio Management, 40(5), 127–134.Novy-Marx, R. (2012). Quality investing. Working paper, Rochester.Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. The Journal of Political Economy, 111(3), 642-685.Ratcliffe, R., Miranda, P., & Ang, A. (2017). Capacity of Smart Beta Strategies from a Transaction Cost Perspective. The Journal of Index Investing, 8(3), 39–50.Reinganum, M. R. (1981). Abnormal Returns in Small Firm Portfolio. Financial Analyst Journal, 31(2), 313-321.Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341-360.Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditional of Risk. Journal of Finance, 19, 425-442. 描述 碩士
國立政治大學
財務管理學系
107357017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357017 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.author (Authors) 鄭凱元 zh_TW dc.contributor.author (Authors) Cheng, Kai-Yuan en_US dc.creator (作者) 鄭凱元 zh_TW dc.creator (作者) Cheng, Kai-Yuan en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:33:57 (UTC+8) - dc.date.available 3-Aug-2020 17:33:57 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:33:57 (UTC+8) - dc.identifier (Other Identifiers) G0107357017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130969 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357017 zh_TW dc.description.abstract (摘要) ETF在投資商品中的地位蒸蒸日上，資產規模屢創新高，推出的種類也越加繁多，而在近幾年推出的ETF中有相當高比例為Smart Beta ETF，受到不少投資人的喜愛以及學術理論支持，猶如淘金潮一般，在2016年時，學術及業界就挖掘出超過300種風險因子，當中最熱門並且有相關產品的有規模、價值、動能、低波動度、高股利、品質和多因子等。在美國上市的品質ETF，和提出品質投資的學者Novy-Marx(2013)所界定的品質因子定義並不相同。Novy-Marx的品質投資策略不僅簡單明瞭，且背後又有強力的研究結果支撐，為什麼這些基金公司不遵循其擇股方式，而採用更加複雜且不同的篩選因子來建構ETF呢?本研究比較了在美國上市的品質因子ETF，和Novy-Marx(2013)的品質投資策略間的績效表現差異，研究期間為2006年7月至2019年12月，實證結果為僅做多盈利能力最佳的投組在四因子迴歸模型檢驗下，超額報酬為3.71% (t值為2.69)，在近十年的累積報酬率勝過其他品質ETF和大盤指數。但是多空相減後投組的超額報酬並不顯著異於零，且圖3-4中品質溢酬的效果並不明顯，所以並無法推論品質投資策略的報酬是否來自其因子特性，這顯示了高品質因子在近年美國股市中出現失靈的情形，而設計這些ETF的業者不使用盈利因子來篩選股票，可能是希望藉由其他篩選因子來創造超額報酬。 zh_TW dc.description.abstract (摘要) The definition of quality factor as defined by Novy-Marx(2013), a scholar who proposed quality investing, is different from quality factor ETF listed in the US. The quality strategy of Novy-Marx is not only simple and clear, but also supported by strong research results. Why do these ETF adopt more complex and different screening factors, rather than following the way academics constructed them?This study compares the performance differences between the quality factor ETF listed in the US and the quality investment strategies of Novy-Marx(2013). The period was from July 2006 to December 2019. The empirical results show that the excess return of the portfolio with the best profitability performance is 3.71% (t-statistics is 2.69), and it has outperformed other quality factor ETFs and benchmark index over the past decade. However, the excess return of the long-short strategy isn’t significantly different from zero, and quality premium in Figure 3-4 is not obvious. Therefore, it is not possible to infer whether the return of quality investment strategies come from their profitability characteristics.The results show that quality factor has failed in recent years, and fund companies do not use profitability factor to select stocks, perhaps hoping to create excess returns by other screening factors. en_US dc.description.tableofcontents 中文摘要………………………………………ii英文摘要………………………………………iii表目錄………………………………………v圖目錄………………………………………vi第一章 緒論………………………………………1第一節 研究背景與動機………………………………………1第二節 ETF分類與發展………………………………………2第三節 研究流程與架構………………………………………8第二章 文獻回顧………………………………………9第一節 風險因子模型的演進………………………………………9第二節 國外因子投資策略相關的研究………………………………………13第三節 國內因子投資策略相關的研究………………………………………21第四節 其他關於因子投資的研究(非績效或風險層面)…………………………23第三章 研究方法………………………………………25第一節 研究資料來源………………………………………25第二節 研究方法………………………………………31第三節 實證結果與分析………………………………………33第四章 結論………………………………………46第五章 研究限制與未來研究方向………………………………………48參考文獻………………………………………49 zh_TW dc.format.extent 2558280 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357017 en_US dc.subject (關鍵詞) Smart Beta zh_TW dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) 因子投資 zh_TW dc.subject (關鍵詞) 品質因子 zh_TW dc.subject (關鍵詞) 獲利性 zh_TW dc.subject (關鍵詞) Smart Beta en_US dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) Factor Investing en_US dc.subject (關鍵詞) Quality Factor en_US dc.subject (關鍵詞) Profitability en_US dc.title (題名) 比較學術及業者的高品質因子定義對投資組合績效影響:美國ETF的實證分析 zh_TW dc.title (題名) Portfolio performance and the definition of quality factors: Empirical Evidence on U.S. ETFs en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、參考網站林忠義(2017)。元大投信-因子投資介紹與發展。Retrieved from https://reurl.cc/g7eZRpFTSE Russell. (2016). How smart beta meets different investor outcomes. Retrieved from https://www.ftserussell.com/research/how-smart-beta-indexes-can-meet-different-objectivesFTSE Russell. (2019). Smart beta:2019 Global Asset Owner Survey. Retrieved from https://www.ftserussell.com/embed/smart-beta-survey-infographic-2019Kenneth R. French. Kenneth R. French - Data Library. Retrieved from https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.htmlSteve Johnson. (2020). Should the smart money be on smart beta? Financial Times Retrieved from https://reurl.cc/arLbQGUBS Chief Investment Office. (2019).Year Ahead 2020- UBS House View. Retrieved from https://www.ubs.com/content/dam/assets/wma/us/shared/documents/year-ahead-2020.pdf二、中文參考文獻余羚華 (2018) 。多因子選股策略之建構——以臺灣股市為實證。國立政治大學財務管理研究所碩士論文。李雅惠（2018）。美國主題型ETF之發展與投資績效。國立台灣大學管理學院碩士在職專班財務金融組碩士論文。岳夢蘭（2016）。退撫基金之管理與運用- Smart Beta和因子投資策略的介紹。公務人員月刊，225期，2-5。林佳慧（2016）。Smart Beta投資組合之績效研究。國立彰化師範大學財務金融技術學系碩士論文。林冠宏（2017）。因子投資策略之回顧及重現—以台灣股市為例。國立中正大學財務金融系研究所碩士論文。徐子強（2018）。Smart Beta投資策略於臺灣50指數績效優化研究。淡江大學財務金融學系碩士在職專班碩士論文。陳奐文 ( 2016）。台灣50指數ETF投資報酬率優化之實證研究。國立臺灣大學會計與管理決策組碩士論文。許菁旂, 黃文聰, 黃振聰 (2015)。投資人情緒對低波動異常現象的預測力:市場狀態的影響。管理學報，32(4)，399-424。黃凱偉（2016）。因子投資策略的應用-以美國科技業為例。國立政治大學財務管理研究所碩士論文。賀蘭芝 ( 2016 )。Factor-based投資組合配置。行政院所屬各機關因公出國人員出國報告書。中央銀行。劉修銘（2018）。因子投資在資產配置上的應用。國立交通大學資訊管理與財務金融學系財務金融碩士論文。三、英文參考文獻Alquist, R., Israel, R., & Moskowitz, T. (2018). Fact, Fiction, and the Size Effect. Journal of Portfolio Management, 45(1), 34-61.Amenc, N., Goltz, F., Lodh, A., & Martellini, L. (2012). Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance. Journal of Portfolio Management, 38(3), 72-88.Arnott, R.D., Beck, N., Kalesnik, V., & West, J.M. (2016). How Can `Smart Beta` Go Horribly Wrong? Available at SSRN: https://ssrn.com/abstract=3040949Arnott, R.D., Hsu, J., & Moore, P. (2005). Fundamental indexation. Financial Analysts Journal, 61, 83-99.Blitz, D. (2012). Strategic Allocation to Premiums in the Equity Market. The Journal of Index Investing, 2(4), 42-49.Blitz, D. (2015). Factor Investing Revisited. The Journal of Index Investing, 6(2), 7–17.Blitz, D. (2016). Factor Investing with Smart Beta Indices. The Journal of Index Investing, 7(3), 43–48.Blitz, D. (2017). Are Exchange-Traded Funds Harvesting Factor Premiums? Available at SSRN: https://ssrn.com/abstract=2912287Blitz, D., & Vidojevic, M. (2019). The Characteristics of Factor Investing. Journal of Portfolio Management, 45(3), 69–86.Brightman, C., V. Kalesnik, F. Li, & J. Shim. (2017). A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing. Research Affiliates Publications, 1-20.Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57–82.Ciliberti, S., Sérié, E., Simon, G., Lempérière, Y., & Bouchaud, J. (2019). The size premium in equity markets: Where is the risk? Journal of Portfolio Management, 45(5), 58-68.Dirkx, P.A. (2019). European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis. The Journal of Index Investing , 10(1), 37-50.Fama, E.F., & French, K.R.. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465.Fama, E.F., & French, K.R.. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.Fama, E.F., & French, K.R.. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234–252.Frazzini, A., & Pedersen, L. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1–25.Gelderen, E. V., & Huij, J. (2014). Academic knowledge dissemination in the mutual fund industry: Can mutual funds successfully adopt factor investing strategies? Journal of Portfolio Management, 40(4), 157-167.Gupta, T. (2019). Factor Momentum Everywhere. Journal of Portfolio Management Quantitative Special Issue, 45(3), 13-36.Harvey, C., Liu, Y., & Zhu, H. (2016). … and the Cross-Section of Expected Returns. The Review of Financial Studies, 29(1), 5–68.Hou, K., Xue, C., & Zhang, L. (2018). Replicating Anomalies. The Review of Financial Studies, 1-115.Hsu, J. (2014). Value Investing: Smart Beta versus Style Indexes. The Journal of Index Investing, 5(1), 121–126.Huij, J., & Kyosev, G. (2019). Factor Investing from Concept to Implementation. Journal of Portfolio Management, 45(3), 125–140.Kahn, R. N., & Lemmon, M. (2015). 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