ETF四象限風格輪動策略

Four-Quadrant Style Rotation Strategies of ETF

有別於其它風格輪動的研究，本文直接將不同型態的ETF視為各個不同的風格資產，消弭了風格分類指標難以取捨的問題。此外，本研究結合Cooper et al. (2004)與Wang and Xu (2015)的論點，首創四象限風格輪動法則做為啟動風格擇時的依據。本文建構二個投資策略S1與S2，S1為買入一個預期報酬最高的ETF風格投資組合，S2為買入一個預期報酬最高的ETF風格投資組合同時賣出一個預期報酬最低的ETF風格投資組合。實證結果顯示，S1的績效表現不如槓桿型ETF但優於其它類型的ETF投資組合，S2的表現則傲視所有的ETF投資組合，績效表現極為優異。

"Different from other researches on style rotation, this article directly treats different types of ETFs as different style assets, which eliminates the difficulty of choosing between style classification indicators. In addition, this study combines the arguments of Cooper et al. (2004) and Wang and Xu (2015), and pioneered the four-quadrant style rotation rule as the basis for the timing of the start-up style selection. This article constructs two investment strategies S1 and S2. S1 is to buy an ETF-style portfolio with the highest expected return, and S2 is to buy an ETF-style portfolio with the highest expected return while selling an ETF-style portfolio with the lowest expected return. The empirical results show that the performance of S1 is inferior to leveraged ETFs but better than other types of ETF portfolios, while S2's performance is superior to all ETF portfolios and has extremely excellent performance."