運用雙動能策略於國內基金投資分析

台灣國內金融市場的投資工具相當多元化，相對的也有許多人提出各式各樣的投資策略研究，自Jagadeesh and Titman(1993)提出動能策略之後，此投資策略為投資人帶來豐厚的獲利，也使其成為研究者感興趣的研究主題。另外Gary Antonacci(2012)提出了雙動能投資策略，並更由實證發現，該策略能有效降低風險損失並提供更高的期望報酬。本研究主要探討採用雙動能投資策略於台灣市場股票型基金之適用性，以提供投資人作為投資決策的參考。本研究以單筆投資方式及動能投資方式進行模擬投資，並計算相對應之報酬率。經實證分析後發現，雙動能投資策略在投資期間均有不錯的報酬率，尤其在金融風暴發生期間，以過去三個月平均報酬率結合60日移動平均線的雙動能投資方式較其他投資方式具有較高的投資報酬率，顯示雙動能投資策略，能有效降低風險損失並提供更高的期望報酬。因此，運用雙動能策略於台灣基金的投資操作是可行的投資策略。

關鍵字

雙動能投資策略；報酬率；股票型基金

並列摘要

As a result of the considerable diversification of investment instruments in Taiwan’s domestic financial markets, there are many people who have come up with a wide variety of investment strategies. Since Jagadeesh and Titman(1993), the huge profits from the momentum strategy have become the focus of attention research topics. In addition, Gary Antonacci(2012) proposed a dual momentum investment strategy, but also by empirical evidence that the strategy can effectively reduce the risk of loss and provide higer expectations of compensation. This study mainly discusses the applicability of the dual momentum investment strategy- the high-paying and low-risk trading strategy in the Taiwan market for stock funds and the deposit and the performance of the investors to provide investors as a reference for investment decision-making. The empirical results of this study are summarized as follows：to a single investment and energy investment way to simulate investment, and calculate the corresponding rate of return. After empirical analysis, it is found that the dual momentum investment strategy with the average return rate of past three months combined with the price of 60-day moving average has a higher return on investment than the single investment method. In the event of a financial turmoil, it shows that the dual momentum investment strategy can effectively reduce risk losses and provide higher expected returns.