近年台股市場上有許多主動型、被動型ETF的產品設計，各有不同的選股邏輯以及投資策略，然而因為發行時間不同，較難以一致的衡量其策略績效的差異。而現行期刊中，有多篇研究檢驗如DOTD股利策略、低波動效應等策略績效，解釋橫斷面股票報酬，以及使用不同國家市場檢驗因子模型解釋股票異常超額報酬現象的研究。因此本研究以台灣市場為例，比較各種投資策略，如外資持股比率、獲利能力、股利投資、低波動等策略，觀察在台灣市場的績效比較，並以較為廣泛使用的Fama and French (1993) 三因子模型以及Fama and French (2015)五因子模型觀察模型對超額報酬解釋的能力。

There are lots of active and passive ETFs on the market, each with different stock selecting method and different investment strategies. However, they are not issued at the same time, which makes it hard to compare the performance on the same benchmark. Some current studies for example examines the Dog of the Dow strategy, low-volatility strategy, etc., to explain the cross-sectional stock return. And others apply Fama and French (1993) three factor model and Fama and French (2015) five factor model to explain the excess return in international markets. This study investigates the foreign ownership effect, profitability effect, dividend yield effect and low-volatility effect in Taiwan stock market, and examines the ability of the three factor model and five factor model to explain the excess return of the portfolios.

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