系統性操作策略下國內生技類股之投資價值剖析

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Title:	系統性操作策略下國內生技類股之投資價值剖析
Other Titles:	Evaluation of systematic investment strategy in domestic biotechnology stock
Authors:	宋皓偉;Sung, Hao-Wei
Contributors:	淡江大學國際企業學系碩士班李又剛
Keywords:	積極型投資策略;消極型投資策略;相對績效;絕對績效;aggressive portfolio;passive portfolio
Date:	2014
Issue Date:	2015-05-04 09:45:11 (UTC+8)
Abstract:	目前一般的散戶投資人在股票市場進行投資時，大多缺乏一套有系統且規律的操作策略。本文希望建構出一套在操作上淺顯易懂又不失嚴謹的操作策略，同時能夠讓一般的投資人自行建構出有系統且實用的投資組合，並且寄予厚望該投資組合的績效能夠有效地擊敗市場，甚至是能夠超越由基金經理人所管理的開放式股票型基金績效之表現。我們將此理念運用在進出較無阻礙的大型生技類股，作為選樣標的進而建構出投資組合，最後試著透過相對績效與絕對績效之評估，來驗證這些投資策略在實務方面是否具備存在的價值。而本文所得到之實證結論如下：一、積極型與消極型投資組合 V.S. 整體大盤與整體生技股之績效評估（一）相對績效積極型投資組合除了在2009年及2013年的表現不如整體大盤之外，其它年度皆勝過整體大盤；然而，積極型投資組合卻僅在2011年小勝整體生技股，其餘四個年度所展現的績效皆劣於整體生技股。反觀，消極型投資組合在面對整體大盤時，所展現的整體績效優於整體大盤，僅於2009年略遜整體大盤的表現；但相較於整體生技股，則顯得稍微遜色，消極型投資組合僅在2010年及2012年小勝整體生技股表現，其餘年度卻無法超越整體生技股績效。（二）絕對績效絕對績效方面，積極型投資組合無法擊敗整體大盤及整體生技股，甚至是以極大幅度的差距敗下陣來；然而，消極型投資組合則能同時擊敗整體大盤及整體生技股。二、基金化後積極型與消極型投資組合 V.S. 開放式股票型基金之績效評估（一）相對績效基金化後的積極型投資組合，在五年的研究期間之中，祇有一個年度能位居基金績效排名的前20%。但是，基金化後的消極型投資組合，在五年的研究期間中，有三個年度能位於基金績效排名的前20%，其中在2012年時更名列當年度第一名。（二）絕對績效基金化後的積極型及消極型投資組合，報酬率分別達35.77%及178.08%，在所有開放式股票型基金中排名分別位列第一百四十名及第三名。由此看來，基金化後的消極型投資組合不只在相對績效傑出的開放式股票型基金中表現亮眼，同時也在全部國內開放式股票型基金中名列前茅。 These days, most of retail investors don’t have a systematic and regular strategy on their stock investment. Therefore, we want to establish an easy-operated and cautious investment strategy for retail investors. They can utilize that to construct an useful investment portfolio which can beat the market and the performance of open-ended mutual funds. We will try to practice this idea by using the largest size biotechnology stocks to establish investment portfolio. Eventually, we analyze the relative and absolute performance of practical investment value of our portfolio. The main empirical findings as below： 1. Investment portfolio of biotechnology stocks v.s. the weighted average of market and biotechnology index （1） Relative Performance After comparing with the weighted average market, we find our aggressive portfolio lost just in 2009 and 2013. However, it only won small advantage over the weighted average of biotechnology index in 2011 during research period. But our passive portfolio beat the weighted average of market in all research period except 2009. Besides, its performance is only better than biotechnology index in 2010 and 2012. Generally, it merely lost to biotechnology index. （2） Absolute Performance By comparing with the weighted average of market and biotechnology index, we find aggressive portfolio can’t beat them. However, our passive portfolio’s absolute performance is better than both of them. 2. Biotechnology stocks fundization investment portfolio v.s. Open-end stock mutual funds （1） Relative Performance After summarizing the number of biotechnology stocks fundization investment portfolio’s performance which is ranking on the top 20% of open-ended mutual funds, we can find aggressive portfolio ranking on the top 20% just once in 2011. But there are three years that passive portfolio ranked on the top 20%, it even got the champion in 2012. （2） Absolute Performance By comparing absolute performance with open-ended mutual funds, the aggressive biotechnology stocks fundization investment portfolio ranks one hundred and fortieth with 35.77% rate-of return. On the other side, the passive obtains the third place with 178.08% rate-of return. As we see, the passive biotechnology stocks fundization investment portfolio not only ranks the top in well-performed relative performance open-ended stock mutual funds, but also performs very well in all virtual domestic open-ended mutual funds.
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