Smart Beta with Timing Strategy:Evidence from TAIEX Corporations

• Main Authors: Yong-Zheng He, 何泳政
• Other Authors: Sheng-Yung Yang
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/2d85jf

碩士 === 國立中興大學 === 財務金融學系所 === 106 === Smart Beta Exchange Traded Funds are very popular investment products in recent years. It uses quantitative analysis to select stocks in the market to build Exchange Traded Fund with specific characteristics. In this paper, we follow the research method of Hodges et al. (2016). They use the characteristics of Smart Beta Exchange Traded Funds which have the property of complementary and cyclicality. With the characteristics, they add several timing indicators to select the most suitable Exchange Traded Fund in different situations. This study uses data from Taiwanese listed companies to establish six kinds of ETFs with Value, Quality, Size, Minimum Volatility, Dividend Yield, and Momentum characteristics. According to the characteristics of political and economic environment in Taiwan, we construct three types of timing indicators, such as the business cycle, foreign investor’s activity, and cross-strait relations. Finally, we use these three timing indicators to make investment decisions. 　　The main objective of this study is to check whether the performance of active strategy after adding the timing indicator is better than the passive strategy of investing in a single ETF. The empirical results show that the annualized rate of return, Sharpe ratio, and Jensen’s Alpha of most active strategies after adding timing indicators are all superior to passive strategies. Only cross-strait relations indicators perform less than expected.