本研究運用主投資組合分析方法，探討以市場資訊建構之異常投資組合的交互預測能力及其對投資績效的影響。實證結果顯示，融入交互預測的投資組合在 Sharpe Ratio 上顯著超越基準投資組合。其中，主非對稱投資組合的 Sharpe Ratio 高達 0.63，且因子迴歸估計中具有顯著的 Fama-French 五因子模型 alpha 值 1.20%，表明其具備提升風險調整後報酬的能力。此外，分析顯示預期報酬率的排序未必完全反映實際表現，操作策略應綜合考量不同的主投資組合，以提升穩健性與潛在報酬。本研究為異常投資組合交互預測的應用提供了實證支持，並為投資策略優化提供參考。

This study utilizes Principal Portfolio Analysis to investigate the cross-predictability of anomaly portfolios constructed from market information and its implications for investment performance. Empirical results reveal that portfolios integrating cross-predictability significantly outperform the benchmark portfolio in terms of Sharpe Ratio. Notably, the principal alpha portfolio achieves a Sharpe Ratio of 0.63, with a statistically significant Fama-French 5 factor alpha of 1.20%, highlighting its superior capability in enhancing risk-adjusted returns. Furthermore, the findings indicate that the ranking of expected returns may not always align with actual performance, suggesting that investment strategies should integrate multiple principal portfolios to improve robustness and potential profitability. This study provides empirical evidence for the utility of cross-predictability in anomaly portfolios and offers practical insights for optimizing investment strategies.

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