Smart選股策略應用於投資組合與大盤績效比較

The Comparison of the Return of Portfolio Using Smart Stock Picking with Market Performance.

謝旻潔(Min-Chieh Hsieh)

指導教授 ： 李沃牆

共同指導教授 ： 林惠娜

淡江大學/商管學院/財務金融學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00827

摘要

此研究將Piotroski(2000)提出的F-Score做為基礎，提出H-Score，盼能透過各公司財務報表揭露的資訊，篩選出優良的公司使投資人將來能夠依據這個方向進行投資。由於H-Score有數間公司評分相同的問題，故進一步提出Improved H-Score，以H-Score與標的在該年度之股價表現做權重加總得到Improved H-Score，並以該評分排名出前十名做為一投資組合。
除了從基本面，設定出篩選股票之條件外，更利用Markowitz(1952)在Portfolio Selection一文中提出投資組合理論(Portfolio Theory)，得到最適權重後計算出報酬率，檢視是否能更進一步提高投資效率，達成穩定獲利的目標。
實證結果顯示，投資組合的投資策略分為等權重與最適權重兩種方法，計算出該投資組合(等權重及最適權重)、加權指數及元大台灣50之年報酬率與幾何平均報酬率，將四者投資績效做比較，其中最適權重投資組合之投資績效為最佳。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能獲得之風險溢酬，實證結果說明最適權重投資組合之夏普比率及崔納指標皆較高，能創造較佳的投資績效。

關鍵字

F-Score ； 元大台灣50 ； 投資組合 ； 夏普比率 ； 崔納指標

並列摘要

The purpose of this study is to proposes H-Score, which is based on F-Score proposed by Piotroski (2000), and hopes to use the information disclosed in the company's financial statements to screen out good companies so that investors can invest in this direction in the future. Since H-Score has several problems with the same company rating, it further proposes Improved H-Score, which is weighted by H-Score and the target's stock price performance in the year, and is awarded the highest H-Score, and ranked the top ten by the score as a portfolio
In addition to setting the conditions for screening stocks from the fundamentals, Markowitz (1952) used Portfolio Theory in the Portfolio Selection article to obtain the optimal weight and calculate the rate of return to see if it can further improve investment efficiency and achieve the goal of stable profit.
The empirical results show that the investment strategy of the portfolio is divided into two methods: equal weight and optimal weight, and the investment portfolio (equal weight and optimal weight), TAIEX and Taiwan Top 50 ETF annual return rate and geometric mean return rate are calculated. The investment performance of the four is compared, and the investment performance of the optimal weighted portfolio is the best.
In addition, the Sharpe ratio and the Treynor Ratio are compared with the weighted portfolio and the optimal weighted portfolio. The risk premiums that can be obtained for each unit of total risk and system risk, the empirical results show the Sharpe ratio and Treynor Ratio of the optimal weight portfolio. Both indicators are higher, which can create better investment performance.

並列關鍵字

F-Score ； Taiwan Top 50 ETF ； Portfolio ； Sharpe Ratio ； Treynor Ratio

參考文獻

參考文獻

一、中文文獻

1.宋紅雨(2006)，夏普比率在投資管理中的應用探索，統計與決策，頁107-109。

2.周暐耘(2017)，結合基本面與類神經網路的最適投資組合-以台股為例，私立淡江大學財務金融學系研究所碩士論文，頁15-21。

3.陳冠宏(2003)，我國上市及上櫃電子公司股票評價之研究-以盈餘及財務比率分析，國立東華大學公共行政研究所碩士論文，頁61-63。