本研究探討低波動因子策略在台灣高股息 ETF 市場的實證應用，尤其聚焦於該策略對投資組合績效和風險管理的影響。通過對元大高股息 ETF 和元大高息低波兩種 ETF 進行深入分析，本文評估了採用高股息因子與低波動最小變異數模型兩種不同權重分配方法的績效差異。研究發現，相比於傳統的高股息策略，低波動因子策略能有效降低投資組合的總體風險，同時提升風險調整後的收益。特別是在市場波動較大的時期，低波動投資組合表現出顯著的穩定性，能夠保護投資組合免受市場下跌的嚴重影響。此外，透過對元大高股息 ETF 進行的成份股進行季度權重調整實證測試，證實了最小變異數模型在提升投資績效方面的有效性。本文的研究結果對於追求長期穩定收益的投資者提供了實用的策略參考，尤其在當前多變的市場環境下，低波動因子策略顯示出其在風險控制和績效提升上的雙重價值。

This study examines the empirical application of low volatility factor strategies in Taiwan's high dividend ETF market, focusing particularly on the impact of such strategies on portfolio performance and risk management. Through in-depth analysis of the Yuanta High Dividend ETF and Yuanta High Dividend Low Volatility ETF, this paper assesses the performance differences between using a high dividend factor and a low volatility minimum variance model for weight distribution. The research finds that compared to traditional high dividend strategies, the low volatility factor strategy effectively reduces overall portfolio risk while enhancing risk-adjusted returns. Notably, during periods of significant market volatility, low volatility portfolios exhibit remarkable stability, safeguarding the portfolio from severe market downturns. Additionally, empirical tests on the quarterly weight adjustments of the constituents in the Yuanta High Dividend ETF confirm the effectiveness of the minimum variance model in improving investment performance. The findings of this study offer practical strategic insights for investors seeking long-term stable returns, especially in the current volatile market environment, as the low volatility factor strategy demonstrates its dual value in risk control and performance enhancement.

目錄
1.前言 1
2.文獻回顧 5
3.研究方法 14
4.實證結果 20
5.結論 25
附錄 27
參考文獻 29

中文文獻
1. 邱萬益 (2020)，「臺灣股市局部最小變異數投資組合之績效」， 《應用經濟論叢》，108，165-206。
2. 陳韻清 (2023)，「建構低波動量化交易模型的金融資產配置優化策略」，碩士論文，台北：國立政治大學資訊學院資訊科學研究所。
3. 徐婉瑄 (2023)，「整合財務與 ESG 目標之投資組合策略」，碩士論文，新竹：國立清華大學財務金融碩士在職專班。
4. 楊蓁 (2016) 「低波動度投資組合交易策略分析」，碩士論文，桃園：國立中央大學財務金融學研究所。


英文文獻
1. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006), “The cross‐section of volatility and expected returns,” The Journal of Finance, 61 (1), 259-299.
2. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009), “High idiosyncratic volatility and low returns: International and further US evidence,” Journal of Financial Economics, 91 (1), 1-23.
3. Asness, C. S., Frazzini, A., & Pedersen, L. H. (2014), “Low-risk investing without industry bets,” Financial Analysts Journal,70 (4), 24-41.
4. Baker, N. L., & Haugen, R. A. (2012), “ Low risk stocks outperform within all observable markets of the world,” Available at SSRN 2055431.
5. Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011), “Maxing out: Stocks as lotteries and the cross-section of expected returns,” Journal of Financial Economics, 99 (2), 427-446.
6. Barberis, N., & Huang, M. (2008), “ Stocks as lotteries: The implications of probability weighting for security prices,” American Economic Review, 98 (5), 2066-2100.
7. Blitz, D., & Van Vliet, P. (2007), “ The volatility effect: Lower risk without lower return,” Journal of Portfolio Management, 102-113.
8. Blitz, D., Pang, J., & Van Vliet, P. (2013), “ The volatility effect in emerging markets,” Emerging Markets Review, 16, 31-45.
9. Black, F., Jensen, M. C., & Scholes, M. (1972), “The capital asset pricing model: Some empirical tests,” Available at SSRN:https://ssrn.com/abstract=908569
10. Carhart, Mark M. (1995), “On the Existence of Factors in Returns,” The Journal of Finance 50 (5), 1543-1573.
11. Fama, E. F. (1970), “Efficient capital markets: A review of theory and empirical work,” Journal of Finance, 25 (2), 383-417.
12. Frazzini, A., & Pedersen, L. H. (2014), “Betting against beta,” Journal of Financial Economics, 111 (1), 1-25.
13. Garcia-Feijóo, L., Kochard, L., Sullivan, R. N., & Wang, P. (2015), “Low-volatility cycles: The influence of valuation and momentum on low-volatility portfolios,” Financial Analysts Journal, 71 (3), 47-60.
14. Haugen, R. A. (1995), “The New Finance: The Case Against Efficient Markets,” Prentice Hall.
15. Kumar, A. (2009), “Who gambles in the stock market?,” The Journal of Finance, 64 (4), 1889-1933.
16. Markowitz, H. (1952), “Portfolio Selection,” The Journal of Finance 7 (1), pp. 77-91.
17. Sharpe, W. F. (1964), “Capital asset prices: A theory of market equilibrium under conditions of risk,” The Journal of Finance, 19 (3), 425-442.