台灣市場動能型ＥＴＦ之績效分析

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题名:	台灣市場動能型ＥＴＦ之績效分析
作者:	陳智勳;Hsun, Chen Chih
贡献者:	財務金融學系在職專班
关键词:	被動式管理 ETF;超額報酬;動能因子
日期:	2025-07-08
上传时间:	2025-10-17 12:04:05 (UTC+8)
出版者:	國立中央大學
摘要:	本研究針對保德信台灣市值動能 50 ETF(009803)進行風險與報酬特性之分析，並比較其與市值型 ETF(0050)及高股息型 ETF(0056)之差異。敘述統計與相關係數分析結果顯示，009803 與市場及大型成分股報酬具有高度連動性，且累積報酬成長幅度自 2020 年起明顯超越其他 ETF，同時在風險調整後績效(Sharpe ratio)上亦優於 0050 與 0056，展現出強勁的長期成長動能與風險報酬特性。進一步透過普通最小平方法(OLS)進行迴歸分析後發現，009803 即便控制市場風險溢酬、規模溢酬、帳面市值比溢酬及動能因子後，仍持續展現穩健且顯著的正向超額報酬(α)，且於不同市場代理設定(TWSE、0050、0056)下結果一致。迴歸結果亦顯示，009803 報酬與動能因子(MOM)呈顯著正向關係，支持其以動能型選股策略為核心之設計理念;而與規模因子(SMB)及價值因子(HML)則呈負向關係，顯示其配置偏好大型、成長型且趨勢延續性強之標的。;This study analyzes the risk and return characteristics of the PGIM Taiwan MSCI Momentum 50 ETF (009803) and compares its performance with a traditional market-cap-weighted ETF (0050) and a high-dividend ETF (0056). Descriptive statistics and correlation analysis reveal that 009803 exhibits a high degree of co-movement with the overall market and large-cap stocks. Its cumulative returns have significantly outpaced those of the other ETFs since 2020, and it also achieves a superior risk-adjusted performance (Sharpe ratio) compared to 0050 and 0056, demonstrating strong long-term growth momentum and favorable risk-return characteristics. Further Ordinary Least Squares (OLS) regression analysis shows that 009803 consistently delivers robust and significant positive abnormal returns (α) even after controlling for market risk premium, size premium, book-to-market premium, and momentum factor, with consistent results across different market benchmarks (TWSE, 0050, and 0056). Regression results also indicate a significant positive relationship between 009803 returns and the momentum factor (MOM), supporting its core investment strategy based on momentum stock selection. Conversely, its returns are negatively correlated with the size factor (SMB) and value factor (HML), suggesting a portfolio preference for large-cap, growth-oriented, and trend-continuation stocks.
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