轉機型投資組合擊敗市場可行性評估

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Thesis > Item 987654321/105137

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Title:	轉機型投資組合擊敗市場可行性評估
Other Titles:	Availability of turnaround portfolios beat the market
Authors:	程月鶯;Cheng, Yueh-Ying
Contributors:	淡江大學國際企業學系碩士在職專班李又剛
Keywords:	轉機型投資組合;相對績效;絕對績效;擊敗市場;turnaround portfolio;relative performance;absolute performance;beat the market
Date:	2015
Issue Date:	2016-01-22 14:48:42 (UTC+8)
Abstract:	於閱覽彙總相關文獻後，發現每股盈餘是左右台股股價的重要關鍵變數，因此本研究以台灣上市、櫃股票為取樣對象，利用各季財報公告後的數據資料，以每股盈餘作為擇股準則，並且隨著每股盈餘的改善情形，建構出具轉機性的虧轉盈型及大虧轉小虧型兩式投資組合，以系統化、紀律性的投資策略，藉由與整體市場及國內開放型基金績效比較，評估出此一投資策略擊敗整體市場及開放型基金的可行性，希望提供一般投資大眾輕鬆上手並易於持續運用的務實投資策略；本文所得到之實證結論如下：一、一般化投資組合 (一) 相對績效在與整體市場及開放型基金上漲或下跌進行綜合評比結果，虧轉盈型投資組合表現十分優異。 (二) 絕對績效在與整體市場及開放型基金上漲或下跌進行績效評比結果，兩式轉機型投資組合均能勝出。二、基金化後投資組合 (一) 相對績效將研究期間內各期國內開放型基金績效表現優異的前20%的檔次，與兩式轉機型投資組合基金化後績效相比，得知虧轉盈型基金化後投資組合表現較佳。 (二) 絕對績效將國內開放型基金績效排名於前20%達4次的基金，與本研究所建構的兩式基金化投資組合的績效一併比較結果，仍屬虧轉盈型表現最優。綜上所述，無論是從一般化投資組合抑或是基金化投資組合，以任何一個構面驗證，虧轉盈型投資組合皆屬上上之選，且能輕易地撃敗市場。 After surveying and gathering relative literatures, we find that earning per stock (EPS) is an essential key variable of affecting the stock price. Therefore, we take sample from all stocks in TSE and OTC and utilize the quarterly financial reports to construct appropriate portfolios. According to EPS improve on each quarter, we set up two types of turnaround portfolios：deficit transform to surplus portfolio and huge losses transform to small losses portfolio. Furthermore, we adopt a systematic strategy to invest in order to evaluating the performance of two types of turnaround portfolios and comparing with Taiwan’s stock market and domestic open-ended mutual funds. Finally, we expect to provide a reliable and easy investment strategy to investor. The main empirical findings as below: 1. Generalized investment portfolio (1) Relative Performance No matter the market and open-ended mutual funds are in the situation of bear or bull, the performance of deficit transform to surplus portfolio is excellent. (2) Absolute Performance After comparing with the market and open-ended mutual funds, the results indicate that our two types of turnaround portfolios are better. 2. Fundization Investment Portfolio (1) Relative Performance By summarize the number of fundization portfolio’s performance with top 20% of the domestic open-ended mutual funds, we know the deficit transform to surplus portfolio is the best between two types of turnaround portfolios. (2) Absolute Performance Through calculating the rate-of-return of two fundization portfolios, and the domestic open-ended mutual funds, we get the deficit transform to surplus portfolio is the best. Overall, either Generalized investment portfolios or Fundization investment portfolios, we found deficit transform to surplus portfolio is a valuable investment strategy. Besides, deficit transform to surplus portfolio can easily beat the market.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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