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    題名: 不同操作策略下, 超大型個股投資價值之剖析法人版投資組合v.s.散戶版投資組合
    其他題名: Evaluation of investment performance in the superlarge-cap stocks with different operational strategy
    作者: 賀照惇;He, Chao-Tun
    貢獻者: 淡江大學國際企業學系碩士班
    李又剛;Lee, You-Kong
    關鍵詞: 法人版投資組合;散戶版投資組合;相對績效;絕對績效;買跌殺漲;買漲殺跌;relative performance;absolute performance;Institutional investmen portfolio;Retail investment portfolio
    日期: 2012
    上傳時間: 2013-04-13 10:57:37 (UTC+8)
    摘要: 本文嘗試建構一套簡單、容易操作且適合投資大眾採用的投資策略,讓一般的投資人可以依此策略進行操作,且評估是否能擊敗大盤,甚至是由專業經理人及其團隊所操盤之開放式股票型基金。文中我們挑選了股性比較抗跌,且進出較容易的市值排名前二十名的超大型個股,來建構投資組合,並分別以相對績效與絕對績效進行評估,來驗證該投資策略於實務上的存在價值。

    據此本文所得到之研究結論如下,即:

    一、各式投資組合V.S.整體大盤之績效評估

    (一)相對績效
    1. 法人版與兩式散戶版投資組合皆輸給大盤,而兩式散戶版投資組合又無法擊敗法人版。
    2. 兩式散戶版與法人版之投資組合,買跌殺漲的相對績效比買漲殺跌表現得較好。

    (二) 絕對績效
    1. 五年下來所有的各式投資組合皆輸給大盤。
    2. 只有當大盤下跌時的時候,所有的投資組合才會贏大盤。

    二、 基金化後之法人版投資組合V.S.開放式股票型基金之績效評估

    (一)相對績效
    基金化後的法人版投資組合績效表現,在五年中有兩年度皆能夠位列基金績效排名前20%,且都在前五名之內。

    (二) 絕對績效
    基金化後的法人版投資組合與國內績效相對優異的開放式股票型基金作比較,其績效表現祇能位列中段班。
    In this research we try to establish a easy and effective strategy. It is not only easier to operate but also can beat the market and the performance of open-end stock mutual funds , which operated by profession managers and research team . We will utilige the easy trading strategy and previous year and top 20 superlarge-cap stocks to establish relevant investment portfolios. Forthmore, we analyze the relative and absolute performances of practical investment value of our portfolios. The main empirical findings as below:

    1.Investment portfolios of superlarge-cap stocks v.s. the weighted average of market index.

    (1)Relative Performance
    a. Market index surpass the Institutional investment portfolio and two types retail investment portfolio, which can’t win institutional investment portfolio.
    b. The buy low sell high operational strategy surpass the buy high sell low operation in any types investment portfolio.

    (2)Absolute Performance
    a. Market index surpass any type investment portfolio in the consecutive five years. b. When market index fall down which will be surpassed by any type investment portfolio.

    2. Superlarge-cap stocks fundization investment portfolio v.s. Open-end mutual funds

    (1)Relative Performance
    After making the super large-cap stocks fundization, two types operational strategy performance which can namle in the top 20% of open –end mutual funds in the two of consecutive five years.

    (2)Absolute Performance
    By comparing absolute performance with open-end mutual fundssuperlarge-cap stocks fundization investment portfolio is of mediocre relative to excellent open-end mutual funds.
    顯示於類別:[國際企業學系暨研究所] 學位論文

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