本研究主要以產業輪動的觀點將兩種動能投資策略應用於美國股市中的產業ETF，檢驗最佳的觀察期、持有期間投資組合並加以分析，希望能相對市場獲取超額報酬。研究成果可提供個體投資人在選擇門檻較低的美國市場的ETF投資標的時，能夠依據過去歷史股價的強弱及該檔ETF的特性，決定是否運用動能因子做投資決策的參考，使個體投資人也能做靈活資產配置，容易實踐動能投資策略。
　　研究結果顯示，以產業ETF作為動能投資標的能有效捕捉產業輪動的動能效應，其中又以上漲的動能較下跌明顯。在某些觀察期與投資期組合的期間策略中，有效且顯著的優於市場，取得超額報酬。

The thesis mainly wants to apply two kinds of momentum investment strategies to industrial ETFs in the US stock market from the viewpoint of industrial rotation. Examine the best observation period and holding period investment portfolios, hoping to obtain excess returns relative to the market. The research results can provide individual investors with the ability to choose whether to use momentum factors to make investment decisions based on the historical strength of the stock price and the characteristics of the ETF when choosing an ETF investment target in the US market with a lower investment limit. It can also do flexible asset allocation, making it easy to practice momentum investment strategies.

The results show that using industrial ETF as momentum investment strategies target can effectively capture the momentum effect of industrial rotation. The rising momentum is more obvious than falling. Some strategies that combine the specific observation period and the investment period are effective and significantly better than the market and obtain excess returns.

學位論文審定書 i
摘要 ii
Abstract iii
圖次 v
表次 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 動能策略 4
第三章 研究方法 7
第一節 研究標的與期間 7
第二節 研究方法和策略 11
第三節 研究步驟 14
第四章 研究結果 16
第一節 相對強勢動能投資策略 16
第二節 時間序列動能投資策略(Time series momentum) 37
第五章 研究結論與建議 40
第一節 研究結論 40
第二節 研究建議 44
參考文獻 45

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