本研究旨在以量化方法探討波克夏海瑟威和其股票投資組合之超額報酬來源，並重新檢視「巴菲特阿爾法」是否可由現代因子模型所解釋。過去文獻多認為巴菲特的優異績效來自價值投資與企業品質選擇，但單因子CAPM 或傳統 Fama-French 模型不足以完全捕捉其報酬結構。本研究參照〈Buffett’s Alpha〉之方法框架，採用 Fama-French 四因子模型、五因子模型與AQR多因子模型迴歸分析。
接著計算波克夏投資組合各成分股之年化平均報酬與共變異矩陣，依現代投資組合理論建立均值–變異優化模型，建構最適化投資組合，並比較該最適投資組合與波克夏實際投資策略於報酬與風險上的差異。
主要實證結果包括（1）自相關問題於日頻較常見，尤其為科技與能源類股，異質變異性則普遍存在於高波動產業。(2)引入AQR模型後，包含品質與低β策略等風險因子後，巴菲特的阿爾法隱含值顯著下降，印證文獻所述巴菲特績效主要來自「安全的高品質價值股」以及低成本槓桿來源，而非傳統意義的選股阿爾法。（3）依現代投資組合理論推導的最適投資組合呈現更高的夏普比率，但其持股分散特性明顯高於波克夏實際風險，反映巴菲特的「集中式價值投資」與現代投資組合理論之「量化分散投資策略」差異。
本研究整合因子模型、投資組合資料與最適化分析，提供學術界與實務界對巴菲特阿爾法來源更全面的理解，亦對於因子模型在個股層級的跨產業適用性、資料頻率效果與殘差特性提出經驗性的證據。研究結果顯示，巴菲特阿爾法可由多因子模型大幅解釋，但無法完全消失，意味著其投資方法兼具可量化的風險暴露與難以形式化的企業分析能力。

This study aims to quantitatively explore the sources of excess returns for Berkshire and its stock portfolios, and to re-examine whether "Buffett Alpha" can be explained by modern factor models. In the past, most literature believed that Buffett's excellent performance came from value investing and corporate quality choices, but the single-factor CAPM or traditional Fama-French model was not enough to fully capture his return structure. This study refers to the methodological framework of "Buffett's Alpha" and uses Fama-French four-factor model, five-factor model, and AQR multifactor model regression analysis.
Then, the annualized average return and covariance matrix of each constituent stock of Berkshire's portfolio are calculated, and a mean-variance optimization model is established according to modern portfolio theory to construct an optimized portfolio, and the differences in return and risk between the optimal portfolio and Berkshire's actual investment strategy are compared.
The main empirical results include (1) autocorrelation problems are more common in daily frequency, especially in technology and energy stocks, while heterogeneous variability is prevalent in high-volatility industries. (2) After the introduction of the AQR model, Buffett's alpha implied value decreased significantly after including style factors such as quality and low-β strategy, confirming that Buffett's performance in the literature mainly comes from "safe high-quality value stocks" and low-cost leverage sources, rather than the traditional stock selection alpha. (3) The optimal portfolio derived from modern portfolio theory shows a higher Sharpe ratio, but its shareholding diversification characteristics are significantly higher than Berkshire's actual style, reflecting the difference between Buffett's "concentrated value investment" and the "quantitative diversification strategy" of modern portfolio theory.
This study integrates factor models, portfolio data, and optimization analysis to provide academic and practical communities with a more comprehensive understanding of Buffett's alpha sources, and also provides empirical evidence for the cross-industry applicability of factor models, data frequency effects, and residual characteristics at the individual stock level. The research results show that Buffett's alpha can be largely explained by multi-factor models, but it cannot completely disappear, meaning that its investment method combines quantifiable style exposure with hard-to-formalize corporate analysis capabilities.

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