本研究旨在探討Black-Litterman模型應用於實務投資操作之績效表現，有別過去相關研究，我們更深入地分析Black-Litterman模型投資人觀點的環節，主要利用三大法人持股的增長動能將資產池分組，再以簡單線性迴歸來發現兩群組間報酬率的相關性，並且試圖以迴歸分析的p值來調整Black-Litterman模型中較難定義的投資人觀點信心值，期能提供大型資金部位之投資者，如共同基金，在實務操作時作為策略結合、參數調整之參考。研究期間為2004年2月18日至2017年4月30日之日資料，實證結果如下:
一、Black-Litterman模型運用於法人買賣超策略，其三年以上長期績效優於傳統Markowitz模型與等權重配置模型，以及大盤指數和被動式投資ETF。
二、隨著資產池內標的數量的增加，Black-Litterman模型展現了相對等權重配置模型與Markowitz模型更好的模型穩定度，其報酬率下滑，波動度上升的傾向不明顯，顯示Black-Litterman模型更適合用於標的數量較高的資產配置上。
三、Black-Litterman模型相對Markowitz平均數-變異數模型配置出更多角化分散風險的投資組合，同時也能夠積極投入績優標的，該投資特性反映在交易成本上，Black-Litterman模型改善了Markowitz模型的高交易成本，同時利用投資人觀點，來追逐比被動式投資更高的投資績效。
四、本研究針對投資人觀點信心的調整提出一新方法，以迴歸式p值調整，實證結果顯示其淨值績效明顯優於τ值設定為0.025和以樣本數調整τ值之投資組合，但並未能勝過τ值設定為1的投資組合。

The main purpose of this study is to test the effectiveness of utilizing Black-Litterman Model on practice investment. As distinguished from previous research, we go deep into the analysis on the part of investor views. The manner to establish our investor views is to do linear regression to analyze the relationship of return between the groups which are overbought and oversold. Furthermore, we try to adjust confidence of investor views by p-value of the regression. This study is aimed to provide all investors, particularly mutual funds, with a model usage guide. The sample period runs from January 1, 2004 to April 30, 2017. The empirical results are as follows:
1. The 3-year or longer effectiveness of strategy following the net long/short of institutional investors in Black-Litterman Model is better than Markowitz Mean-Variance Model and Equal Weighted Model, and also beat the Taiwan Stock Exchange Weighted Index and Yuanta Taiwan 50 ETF.
2. As number of assets in the asset pool increase, Black-Litterman Model shows better stability than Equal Weighted Model and Markowitz Mean-Variance Model. Different from the two models, its return(volatility) would not obviously decrease(increase) when the size of asset pool expanded. The result suggests that Black-Litterman Model is more suitable for the asset allocation in larger asset pool.
3. Black-Litterman Model is able to create a portfolio which is more diversified than what Markowitz Model created. Meanwhile, it is also able to actively invest in the merit assets. The features reflect on the transaction costs, Black-Litterman Model pursues higher effectiveness with investor views and lower costs.
4. The empirical result shows that performance of portfolio under p-value adjustment is obviously better than which theτset to 0.025 and adjusted by the number of samples, but still can not beat the portfolio which theτset to 1.

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