- 學位論文
S-score運用於5G概念股建構投資組合績效
The Performance of Portfolio Using S-score in 5G Concept Stocks
摘要
此研究將以Piotroski(2000)提出的F-score為基礎下，另行提出S-score，並以時下最熱門的5G市場作為選股標的，藉由分析這些公司財務報表所揭露的資訊，盼能選出真正的優良公司。由於S-score會遇到評分相同的問題，故在本研究中，將價值型選股的概念納入篩選標準中，進一步提出Advanced S-score，並將篩選出來最高分的前五檔標的建構等權重投資組合。接著更利用Markowitz(1952)提出的最適權重投資組合策略計算報酬率，檢視是否能進一步提高報酬，並與加權指數與0052作績效比較。另以夏普比率及崔納指標比較等權重投資組合與最適權重投資組合，兩者每承擔一單位總風險與系統風險所獲得之風險溢酬。 實證結果顯示，透過Advanced S-score篩選出來之標的所建構的等權重投資組合及最適權重投資組合，其年報酬率及幾何平均報酬率皆超越加權指數，也幾乎每一年超越0052，除了2016年。並且利用最適權重法在五年中有三年報酬超越等權重法。同時以夏普指標與崔納指標比較兩方法每承擔一單位總風險及系統風險所能獲得之超額溢酬，實證結果也吻合前述報酬率結果，在同樣三年最適權重法兩指標皆較高，能創造較佳的投資績效。
並列摘要
The purpose of this study is to propose S-score,which is based on the F-score proposed by Piotroski(2000).With the most popular 5G market as the stock selection target,by analyzing the information disclosed in the financial statements of these companies,I hope to screen out truly good company.Since S-score will encounter the same scoring problem,it further proposes Advanced S-score,which is included the concept of value stock.Finally,it screen out the top five stocks with highest scores to construct an equal-weight portfolio.Then use the optimal weighted portfolio strategy proposed by Markowitz(1952) to caculate the rate of return,check whether it can further improve the return and compare the performance with TAIEX and Fubon Taiwan Technology Tracker Fund(0052).In addition,it use Sharpe ratio and Treynor ratio obtaing the risk premium for each unit of total risk and system risk to compare the equal weighted portfolio and the optimal weighted portfolio. The empirical results show that both portfolios have higher annual return rate and geometric mean return rate than TAIEX,and also surpass 0052 almost every year except 2016.And using the optimal weighted method,there are three years of return exceeding equal weighted method in five years.At the same time,the Sharpe ratio and the Treynor ratio are used to compare the excess premium that can be obtained for each unit of total risk and system risk taken by two methods.The empirical results are also consistent with the aforementioned return results which can create better investment performace.