本研究從散戶投資人的角度出發，透過台灣50 ETF成分股建構散戶投資人也能操作的動能投資策略，以1～12個月的形成期、持有期及贏家和輸家數量各1～5檔股票建立動能投資組合，檢視2003年6月至2022年12月動能投資組合的報酬率，並分析量化寬鬆期間與否對報酬率的變化，進而運用迴歸分析動能投資異常報酬來源因素。經實證發現以形成期為2個月且無遞延期的動能組合有較高的平均報酬，同時較少的贏家與輸家數量組合有較高的報酬率，並發現從2003年6月以來動能投資績效主要來自量化寬鬆期間，傳統的因子模型並無法完全解釋利用台灣50 ETF成分股構成的動能投資組合異常報酬，但與景氣對策分數有顯著性的關係。 ;This study begins from the perspective of small investors and constructs a momentum investment strategy using the constituents of the Taiwan 50 index that small investors can also operate. The study establishes momentum investment portfolios based on 1 to 12-month formation periods, holding periods, and the number of winners and losers, ranging from 1 to 5 stocks. It examines the returns of the momentum investment portfolios from June 2003 to the end of 2022 and analyzes the impact of periods of quantitative easing policy on the returns. Furthermore, the study applies regression analysis to identify the factors contributing to abnormal returns in momentum investment. Empirical findings indicate that momentum portfolios with a non-deferred and formation period of 2 months exhibit higher average returns. Additionally, portfolios with fewer winners and losers demonstrate higher returns. The study also reveals that since June 2003, the performance of momentum investment mainly stems from periods of quantitative easing. Traditional factor models fail to fully explain the abnormal returns of momentum investment portfolios composed of the Taiwan 50 index constituents. However, there is a significant relationship between these portfolios and business cycle indicator scores.
