本研究以2004年至2024年之模擬資料為基礎，評估多重資產投資組合納入私募資產後，不同再平衡策略在報酬、風險與流動性三個層面的表現差異。投資組合資產組成仿照台灣勞退基金的實務配置，涵蓋六項資產類別：國內股票、國際股票、抗通膨債券、美國公債、私募股權與私募不動產。研究設計三種再平衡策略，分別為固定權重的傳統再平衡、根據預測報酬進行調整的 Beta 再平衡，以及以因子曝險為基礎的因子再平衡策略，進一步探討在估值更新頻率不一致與私募資產流動性受限的條件下，各策略的適用性與資產組合穩健性。

實證結果顯示，因子再平衡策略在維持投資組合風險結構穩定方面具備相對優勢，能夠有效因應私募資產估值滯後所導致的風險偏移問題，並在風險控制能力與流動性覆蓋率等指標上展現最佳表現。相較之下，傳統再平衡策略雖具有操作簡便與執行成本較低等特性，但對於市場變動與估值資訊的反應較為遲緩，可能限制其於動態市場環境中的應變能力。

綜合各項評估結果，建議機構投資者在具備足夠資源與技術條件的情況下，採用因子再平衡策略以強化投資組合配置的穩定性與抵禦市場壓力的能力；若面臨操作資源或調整頻率上的限制，亦可考慮採行每半年進行一次調整的低頻傳統再平衡方式，作為兼顧實務可行性與穩定配置效果的替代方案。

This study evaluates the performance of various rebalancing strategies in multi-asset portfolios that incorporate private assets, using simulated data from 2004 to 2024. The portfolio composition is based on the asset allocation structure of Taiwan's Labor Pension Fund, including six asset classes: domestic equity, international equity, Treasury Inflation-Protected Securities (TIPS), U.S. government bonds, private equity, and private real estate. Three rebalancing strategies are developed and compared: fixed-weight rebalancing (traditional), beta-based rebalancing (return-forecast-driven), and factor-based rebalancing (factor exposure-driven). The analysis investigates the applicability and robustness of these strategies under conditions of infrequent valuation updates and illiquidity in private assets.

The empirical results show that the factor-based rebalancing strategy demonstrates superior performance in maintaining the stability of portfolio risk exposures. It effectively addresses risk drift caused by delayed private asset valuation and outperforms in terms of risk control and liquidity coverage. In contrast, while the traditional rebalancing strategy is operationally simple and cost-efficient, it responds more slowly to updated market information. Overall, this study recommends institutional investors adopt factor-based rebalancing to enhance portfolio resilience when resources allow; alternatively, semiannual fixed-weight rebalancing may serve as a practical and implementable option under resource constraints.

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李瑞瑾（2024）。掌握全球、多元、分散三關鍵更快放大資產績效創新高！勞退基金穩健跟漲策略公開。理財，1418，2024年2月21日，上網日期：2024年3月15日，檢自：https://www.businesstoday.com.tw/article/category/183012/post/202402210043/
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