Smart Beta Investing Strategy and Passive Investing Strategy:Evidence from Taiwan Stock Market

• Main Authors: CHIA-FENG DAI, 戴家鳳
• Other Authors: 陳志鈞
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/ecp4qy

碩士 === 國立宜蘭大學 === 應用經濟與管理學系應用經濟學碩士班 === 105 === The individual investor is the majority of domestic stock market, so our country’s stock market is much smaller and narrower then Europe, America, and Japan so on. Therefore, we concern with whether individual investors could earn better return through investment strategy. Investment strategy was classified as active investment strategy and passive investment strategy, but recently there’s new investment strategy: smart beta investment strategy, not because of the rapid change in financial market, but the investment instruments keep bringing forth the new through the old. The focus of this paper is on the performance of smart beta versus passive investment, while smart beta investment strategy’s performance is measured by style investment and zero-cost investment to measure the annualized returns of its portfolio. And the passive investment strategy is based on the Taiwan weighted index (TWII). This study is based on the Taiwan Stock Exchange in the 1996 to 2015 listed companies, and the companies are classified by different characteristics. Then, we divide sample into three group to build portfolios each year. The results show that the performance of the style investment strategy after 2001 is better than that from 1996 to 2001. In general, the style investment is better than passive investment strategy. The results of zero-cost investment is different from the performance of the results of style investment strategy, the passive investment strategy performance is significantly better than zero-cost investment.