市場異常、因子模型

與因子投資

張森林特聘教授
國立台灣大學財務金融學系
長庚大學數位金融科技學系系主任
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個人簡歷
 國立台灣大學電機系學士 (1985-1989)
 國立台灣大學商學研究所碩士 (1989-1991)
 英國 Lancaster University 會計財務系博士
(1995-1998)
 國科會傑出獎
 國科會吳大猷獎
 台大管理學院台新金控年輕學者獎
 Rutgers University 、 Fordham
University 、 University of Washington 訪問
學者
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對同學的期勉
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善盡台大人的創意與責任
• 台大校訓
• 傅斯年校長的期望
• 台灣的經濟社會問題
• 人口老化、少子化
• 貧富不均
• 政府赤字與三大退休金 ( 勞保、國民年金、退撫 ) 破產
• 全球暖化 (ESG)
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知福惜福
• 關懷父母、親友、他人
• 企業倫理
• 觀功念恩，謝天 !
• 基督教 1/10 奉獻
• 隨手佈施 ( 捐發票、 LINE 點數及 Pi 點數捐贈，發票愛心
碼 : 台東基督教醫院 299)
• 法 ( 言語 ) 布施
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正知正見

• 勿以善小而不為、勿以惡小而為之
• 戒為無上菩提本，五戒 : 殺、盜、淫、妄語、酒 ( 毒
品 ) ，十誡 ( 戒殺、盜、淫… )
• 舉頭三尺有神明 ( 不畏鬼神 !)
• 發願 ! I have a dream.
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上課主題
 四大主題
• Session 1 市場異常與因子模型
• Session 2 機器人理財
• Session 3 選擇權的價量資訊 : 選股，擇時與資產配置
• Session 4 選擇權交易策略與資產複製
 市場異常 (Market Anomalies)
• 市場異常是指學術界或實務界找到投資策略或投資組合的報酬率無法被傳
統的資產定價模型所解釋，亦即超額報酬 (alpha) 存在。
• 例如 : size effect ( 小型股報酬率較高 ) 、元月效應 ( 在美國 1
月份的股票報酬率較高 )
• 市場異常 versus 效率市場
• 市場異常被發現報導後，是否還能繼續存在 ?
動能策略 (momentum strategy, Jegadeesh and Titman
(1993) 買贏家股票賣輸家股票 ) 的績效在 2000 年後已經不顯著
 市場異常 (Market Anomalies)
• 市場異常是否真的存在 ? 取決於許多因素 : 資產定價模型是否正確 ?
風險因子的 loading (beta) 估計是否正確 ? 考慮交易成本、市場
流動性後是否還存在超額報酬 ? 市場異常策略的 capacity 有多大 ?
• 目前最完整的分析請見 : Novy-Marx and Velikov
(2016) ，他們發現在考慮交易成本後，大部分的市場異常策略報酬率
幾乎都不顯著。
• Novy-Marx, R., & Velikov, M. (2016). A taxonomy of
anomalies and their trading costs. The Review of Financial
Studies, 29(1), 104-147.
 資產定價模型
• CAPM (capital asset pricing model)

• Arbitrage pricing theory (APT)

第 i 個因子的風險溢酬 (risk premium) ，承擔風險應該獲得

的超額報酬
 資產定價模型
• Fama-French 5-factor (3-factor) model

: 小公司投組報酬率減去大公司投組報酬率
: 高 B/M 公司投組報酬率減去低 B/M 公司投組報酬率
: 高獲利率公司投組報酬率減去低獲利率公司投組報酬率
: 高資本投資公司投組報酬率減去低資本投資公司投組報酬率
 因子投資
• According to APT, asset returns are determined by
many risk factors.
• What and how many are these risk factors? It can be
an empirical and/or theoretic question.
• Obviously, market risk is one of major risk factors.
• The other risk factors include: size, B/M
(book/market) ratio, momentum, profitability,
etc..
• With the development of the ETF market, it is now
popular to have factor portfolios (ETFs) and
investment.
 因子投資的方式
• 因子投資並非今日才有， style investing( 價值型投資、成長型投
資 ) 或 traditional quantitative investing 也可能有因子投
資的精神。
• Index factor investing via ETFs 是最近的主流，基本上
這些都是 rule-based factor indices 。
 因子投資
• The market size of smart beta exchange
traded products increases substantially
since 2000.
• 2021 年因子投資市場規模已經超過 1.6 兆美元。
 因子投資組合
• 因子投資組合又被稱為 smart beta portfolio
• 只要和一般市值加權指數 (market cap weighted indices)
不同的投資組合指數，大多可以統稱為 smart beta indices 。
• 因子投資的流行跟他們績效有關，近年來許多實證資料發現 : 因子投資
組合績效優於市場指數投資組合。
• 這樣優越的績效是否因為承擔更多的風險 ?
• 績效的持續性 ?
• 越來越多的因子投資 ETF 是否會產生系統性風險 ?
00939 、 00940 高息 ETF 募集超過千億
 因子投資種類
• Equal-weight market index ( 小型股比重增加 )
• 基本面因子 (fundamental indexing) or Quality factor
• Value factor
• Momentum factor index
• Low volatility index
• Shiller’s Cyclically Adjusted Price Earnings (CAPE)
index
• CSR index, Socially Responsible Investing (SRI)
• Gender diversity index
• GDP weighted index ( 適用於 internationally
diversified portfolios)
 MSCI FaCS
• MSCI FaCS is a classification standard and
framework for analyzing and reporting style
factors in equity portfolios. The standard is
based on the factor structure in the latest global
Barra equity factor risk model, the Barra
Global Total Market Equity Model for Long-
Term Investors (GEMLT, Morozov, 2016). The
standard organizes the 16 style factors of
GEMLT into eight factor groups – Value, Size,
Momentum, Volatility, Quality, Yield, Growth
and Liquidity.
 Construction of MSCI FaCS
• Structure of MSCI FaCS

• The 16 factors of Barra GEMLT are combined

into eight factor groups.
 Alternative weighting index
以下投影片整理自 :Tzee-man Chow, Jason Hsu,
Vitali Kalesnik, and Bryce Little, 2011, A
Survey of Alternative Equity Index
Strategies, Financial Analyst Journal, 37-57.
• A number of alternative approaches to
passive equity investing have gained
popularity by claiming to offer risk-adjusted
performance superior to that of traditional
market-capitalization-weighted indices.
 Investment Strategies: heuristic-based weighting
methodologies
• Equal weighting
A notable feature of equal weighting is that the
resulting portfolio risk–return characteristics
are highly sensitive to the number of
included stocks.
Investment Strategies: heuristic-based weighting
methodologies
 Investment Strategies: heuristic-based weighting
methodologies
• Diversity weighting
It should be
noted that:
p=1  Cap-
weighted index
p=0  equal-
weighted index
0<p<1 
diversity
weighting
 Investment Strategies: heuristic-based weighting
methodologies
• Fundamental weighting: sales, cash flow,
dividend, and book value.
 Schwab Intelligent Portfolios
Charles Schwab 理財機器人偏好採用 fundamental
index ETF 。
 Optimization-Based Weighting Strategies
• Minimum-variance strategies. Because
forecasting returns is so difficult and the
potential for error so large, Chopra and
Ziemba (1993) suggested that portfolio
outcomes could be improved by assuming
that all stocks have the same expected
returns. Under this seemingly stark
assumption, the optimal portfolio is the
minimum-variance portfolio. ( 最小變異數投資組
合)
 “Collared” Approach
• Arya and Kaplan (2006, 2007) presented
another approach to combining market
value and fundamental variables. They
developed a weighting methodology
intended to combine the best practical
features of the market value and
fundamental approaches while avoiding
the disadvantages of each.
結合市場權重和基本面權重
 “Collared” Approach
• These boundaries are fixed multiples of the
fundamental weights, e.g. a lower bound of half
the fundamental weight and an upper bound of
twice the fundamental weight. 基本面權重的 1/2 倍和
2 倍作為投資權重的下限和上限。
• 市場權重介於上下限間不調整。
• 市場權重超過上下限時，採用上限或下限。
• 大部分的股票、大部分時間都是市場權重。
“Collared” Approach
“Collared” Approach
 “Collared” Approach
• 市值型 ETF 周轉率低，因為當成分股變動時才需要交易調整投資組合。
 “Collared” Approach
• The results suggest that this collared
approach has a performance between
the market and the fundamental index.
• Therefore, a (½ market + ½ fundamental)
portfolio performs as well as the collard
approach.
• Thus this approach did not create value to
the existing asset allocation approach.
Momentum factor
 What is a momentum strategy?
• Momentum is a phenomenon that links asset’s return
to its relative performance history. The basic
mechanics of momentum is to rank assets by past
returns relative to their peers, then take a long
position in the past winners (portfolio of stocks with
high past returns) and short the past losers (portfolio
of stocks with low past returns). It is important to
understand that the momentum is not the same as
trend following, which primarily considers absolute
performance, buying in the bull market and selling
during the downswings, and hence being explicitly
exposed to the market risk.
 What is a momentum strategy?
• In contrast to the trend following, momentum does
not assume an explicit view on the market trend
and defines ’winners’ and ’losers’ irrespective of
whether the market is falling or growing. For
example, during an extreme market-wide downturn
the momentum’s winners are the securities that
experience the lowest price decline relative to other
securities over the same time period.
• The existence of momentum profits is a violation of
efficient market hypothesis.
• Momentum crash: -73.42% in three months in 2009
http://www.factorstrategies.com/momentum
 Fidelity U.S. Momentum Factor Index
• Fidelity is chosen not because their factor
portfolio is superior, rather it is because their
factors seem arbitrarily formed by including
more components for each factor.
Low volatility factor
 S&P Low Volatility Index
• Constituent Weightings
• 波動度 ( 報酬率標準差 ) 越低的成分股，權重越高 。
 SPDR® S&P® 500 Low Volatility
UCITS ETF
資料期間 : 2012/10/3 到 2023/5/24
iShares Core S&P 500 UCITS ETF (CSPX.L)
總報酬 : 235% ，年化報酬率 11.35% ，標準差 15.94%
SPDR S&P 500 Low Volatility UCITS ETF
(LOWV.L)
總報酬 : 160% ，年化報酬率 8.98% ，標準差 13.46%
風險與報酬的取捨 : 高風險高報酬、低風險低報酬是常態。
 Fidelity U.S. Low Volatility Factor Index
• Low volatility screens for stocks with low
beta and low historical volatility of price
returns and earnings.
• 結合因子模型與 low volatility. Actually low
volatility is regarded as a factor index itself.
Other Factors
Fidelity Core Dividend Index
Fidelity Dividend Index for Rising Rates
Fidelity U.S. Value Factor Index
Fidelity U.S. Quality Factor Index
 SRI ETFs
• iShares MSCI KLD 400 Social ETF ( 公司治理指數
ETF) 和 iShares MSCI USA ESG Select ETF:
They seek to track the investment results of an
index composed of U.S. companies that have
positive environmental, social and governance
(ESG) characteristics as identified by the index
provider.
• 台灣 ESG ETF
 Global X S&P 500 Catholic Values ETF

• The index is based on the S&P 500. In addition to

this, constituents are screened to exclude
companies involved in the following activities
which are perceived to be inconsistent with
Catholic values as outlined in the Socially
Responsible Investment Guidelines of the
USCCB:
 Gender and Workplace Equality
• SPDR SSGA Gender Diversity Index ETF (SHE)
Seeks to provide exposure to US companies that
demonstrate greater gender diversity within senior
leadership than other firms in their sector
• Barclays Women in Leadership ETN (WIL)
• Etho Climate Leadership U.S. ETF (ETHO)
• Workplace Equality Portfolio (EQLT)
http://etfdb.com/type/investment-style/socially-respon
sible/
Empirical performance of
Factor investments
Long-term performance
 Performance persistency
• It is important to know that the performance
of smart beta portfolios are not persistent
over time.
• A remedy for this to use the blended multi-
factor portfolio or double (or triple) sorting
of stocks according to two (three) factor
criteria such as low-volatility value index.
Vanguard: Factor-based investing
Fidelity research
 One factor ETF versus
multi-factor ETF
Excess Return: factor portfolio return minus
market portfolio return, Tracking Error: standard
deviation of excess return.
 Multi-Factor ETF
• Diversification among factor ETFs may enjoy the
diversification benefits.
• It doesn’t mean that you can avoid the systematic
risk such as 2008 financial crisis.
 美國的 Factor ETFs
• iShares Edge Smart Beta ETFs (BlackRock)
e.g. iShares Edge MSCI USA Momentum Factor
ETF (MTUM), iShares Edge MSCI Min Vol USA
ETF (USMV)
• Fidelity Factor ETFs
• Schwab Factor ETFs
• Vanguard launched six new factor ETFs on
2/13/2018, specializing in minimum volatility,
value, momentum, liquidity and quality. A
sixth ETF will be a multifactor approach.
 Vanguard Factor ETFs
• Vanguard factor ETFs have low fees, which is
expected. Let’s wait and see how successful these
ETFs may be accepted by investors in the long
run.
 Multi-Factor ETF
Total market size in 2016 is 3.3 billions. It
seems not so popular for multi-factor ETFs.
亞太地區 SMART BETA 相關產品規模
 國內的因子投資組合
國內因子投資 ETF 成長空間大。
• 元大高股息 ETF 0056 ( 第一檔因子投資 ETF)
• 元大高股息低波動 ETF 基金 00713
• 國泰標普低波高息 ETF 00702
• 國泰臺灣低波動 30 ETF 00701
• 富邦投信公司治理 100 ETF 00692
• 復華富時高息低波 00731
• 國泰永續高股息 00878
• 富邦 ESG 綠色電力 00920
• 兆豐龍頭等權重 00921
• 群益台灣 ESG 低碳 00923
• 兆豐台灣 ESG 永續高股息等權重 ETF 00932
 Conclusion
• Factor ETFs could provide potential high
returns.
• Their risk characteristics needs further study.
• Be cautious about the performance
persistency. ( 因子投資績效的持續性待研究 )
• Don’t gamble on one single factor.
• Personally I will invest partly in SRI ETFs.
• The decision is yours.