多空市場下主動式與被動式高股息股票投資組合之績效

The Performance of Active and Passive Management High Yield Portfolio Under Bull and Bear Market

林子焙(Tzu-Pei Lin)

指導教授 ： 李沃牆

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00923

摘要

本研究之主要是探討高股息投資策略是否可讓一般投資人以簡單的選股條件及輕鬆的操作方式而獲優異的投資報酬？以長期被動式投資組合與短期主動式投資組合作為績效之依據，並希望提供投資人投資策略參考。
　　透過Markowitz(1952)投資組合模型及由財報績效所選出的投資組合相較，當投資者擁有較多的資訊且採取總額投資策略，主動式投資績效優於被動式投資組合，而且風險極小；被動式管理是以追隨大盤指數為其目標，擁有低成本、低風險、不易受人為操作或經理人變更之影響，且可以規避金融市場非系統風險（因追蹤大盤指數）及分散單一投資風險等特性，但其報酬率績效表現卻不一定比主動式投資組合表現來的好，這也顯示出主動投資組合所採取的兩條移動平均線之技術分析有其參考價值;高殖利率股票所形成的投資組合績效能夠很輕鬆地擊敗大盤。本文實證結果更可供投資人做為投資組合的參考。

關鍵字

移動平均 ； 技術分析 ； 主動式投資組合 ； 被動式投資組合

並列摘要

The study aims to investigate whether high-dividend investment strategy allows investors get high return on investment by simply picking share and easy operation? We would like to provide investors an investment strategies reference based on the performance of “Long-term Active Management Portfolio” and “Short-term Passive Management Portfolio”.
According to the mean-variance model of Markowitz (1952), the investors are allowed to find a portfolio that fits their characteristics. When investors have more information and to take the total investment strategies, “Active Management Portfolio” performance is better than passive and the risk can be minimize. Passive management Portfolio is to follow the benchmark index as goal, it with low cost, low risk, the impact of a human operator or manager is not easy to change the subject, and can avoid the non-systematic risk in financial markets (due to track the benchmark index) and the dispersion characteristics of a single investment risk, but the performance is not better than active portfolio performance, however, it also shows the reference value for the two moving average lines technology initiative taken by the portfolio analysis and that high-dividend portfolio performance can be easily to beat the benchmark index, and the results also can be one of reference for investor to develop their own portfolio.

並列關鍵字

Moving Average ； Technical Analysis ； Passive Management Portfolio ； Active Management Portfolio

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