因子投資與經濟狀態

Factor Investment Strategies under Different Economic Situation

本研究旨在探討不同景氣階段下的因子投資策略，並評估其投資績效表現。根據美林時鐘理論，將2004年至2023年間的經濟狀況劃分為不同景氣階段，並運用Harding and Pagan、擴散指數以及混合法來判斷景氣轉折點。接著，依據因子投資組合的超額報酬率、索提諾比率和夏普比率，將2004年至2015年的樣本期內的因子投資組合分為三個績效組別：績效最佳表現組、績效次佳表現組和績效第三組。在樣本外期間2016年至2023年，根據景氣階段的判定結果，選擇相應階段最佳的因子進行投資。研究結果顯示，這項策略不僅能夠超越大盤表現，亦能在特定經濟環境下，超越同一時期表現最好的單因子投資組合。本研究可協助投資者建構優化的投資組合，提高投資績效並降低風險。

Identifying and predicting the stages of an economic cycle are crucial for investors, businesses, and government institutions. This is because this information can help in formulating more precise investment strategies and policy measures. This study explores optimal investment strategies in different economic cycle stages and evaluates their performance. First, on the basis of the Merrill Lynch Investment Clock, we divide the economic cycle from 2004 to 2023 into four stages: reflation, recovery, heat, and stagflation. We also determine the turning points of the economic cycle by using Harding and Pagan’s method, the diffusion index, and a hybrid method integrating Harding and Pagan’s method and the diffusion index. Subsequently, we classify investment strategies for the in-sample period from 2004 to 2015 into three groups according to excess returns, the Sortino ratio, and the Sharpe ratio: highest-performing, second-highest-performing, and third-highest-performing portfolios. In the out-of-sample period from 2016 to 2023, after identifying economic cycle turning points using Harding and Pagan’s method, we determine that the investment strategy that involves holding 10 stocks exhibits the highest performance, measured in terms of the Sortino ratio, in the second-highest-performing group. The factors associated with optimal investment performance in the four stages of reflation, recovery, heat, and stagflation are SAFETY, cash flow volatility (VCF), cash dividend yield, and VCF, respectively, with a cumulative return rate of 1524.49%. Moreover, the aforementioned investment strategy outperforms the Taiwan Weighted Index and single-factor portfolios in terms of downside risk, win rate, Sharpe ratio, and Sortino ratio, regardless of the economic cycle stage. Additionally, after identifying economic cycle turning points by using the hybrid method integrating Harding and Pagan’s method and the diffusion index, we observe that the investment strategy that involves holding 10 stocks exhibits the highest performance, as measured in terms of excess returns, in the second-highest-performing group. The factors in the four economic cycle stages are SAFETY, VCF, BETA_1year, and IVOL, with a cumulative return rate of 1273.76%. Through the identification of different economic cycle turning points and the classification of Merrill Lynch Investment Clock stages, this study demonstrates that employing the most suitable factors for investment in each economic stage can yield investment performance that is superior to market returns and exceeds the highest-performing single-factor portfolios during the same period, regardless of the economic cycle stage.