論文介紹ETF的核心概念和特點，全球ETF規模的成長說明了ETF在投資者資產配置中的重要。ETF透過跨資產類別、地區或產業的投資策略，實現了投資組合多元化和風險的有效分散。優化因子策略與資產配置在ETF投資產生極佳投資效果，幫助投資者在不同市場環境下降低風險並提高報酬率。 本文研究不同因子的5個台灣ETF標的之特色與績效表現，這些因子包括市值加權、產業別、殖利率、市場、區域及ESG標準，而每個ETF可能同時具有2個或以上的因子。本文評估標的物之間不同因子的有效性，顯示出在不同時機上每個ETF的績效表現。論文提供投資人一個明確的訊息是利用主動積極選擇因子的策略，能夠獲取比市值加權更佳的超額報酬。;The paper introduces the core concepts and characteristics of ETFs, and the growth of the global ETF market demonstrates its importance in investors’ asset allocation. ETFs achieve portfolio diversification and effective risk dispersion through investment strategies across asset classes, regions, or industries. Optimized factor strategies and asset allocation in ETF investments produce excellent investment results, helping investors reduce risk and increase returns in different market environments. This study examines five Taiwanese ETF targets with different factors, including market capitalization weighting, industry, dividend yield, market, region, and ESG standards, with each ETF possibly having two or more factors. The paper assesses the effectiveness of different factors between the targets, showing the performance of each ETF at different times. The paper provides investors with a clear message: by actively and aggressively selecting factor strategies, it is possible to obtain better excess returns than market capitalization weighting.
