(一) 相對績效 1.大盤上漲時，所有投資組合均能順利擊敗大盤。 2.大盤下跌時，高獲利投資組合的表現較差。 (二)絕對績效 不論大盤上漲、下跌暨總報酬率，轉機型投資組合皆表現最佳。 In related literatures, we find EPS（earnings per share）is the predominant variable which significantly affects the rate of return. Because recently traditional industry (non-electronic industry) attracts investors to trade and invest again ,We try to use the quarterly financial report data to establish portfolios of higher profit、turnaround and growth stock. We utilize buy and hold strategy to reveal practical value of portfolios. The main empirical findings are as below：
1. Listing Companies：
（1） relative performance
a. When market is bull , the performance is higher profit portfolio. b. When market and non-electronic stock index is bear, and market surpass non-electronic stock index, the best performance is turnaround portfolio . c. When non-electronic stock index is bull, all portfolios can beat the market. d. When non-electronic stock index surpass market, the best choice is growth portfolio.
（2） absolute performance
a. When market is bull and non-electronic stock index is bear, the best performance is growth portfolio. b. When market is bear and non-electronic stock index is bull; if compared with aggregate rate-of-return, the best choice is turnaround portfolio. 2. OTC Companies：
（1） relative performance
a. When market is bull, all portfolios can beat the market. b. When market is bear, the worst performance is higher profit portfolio. （2） absolute performance No matter bull market is bull or bear and comparing with aggregate rate-of-return, the best is turnaround portfolio.
