觀察投信連續買超個股，建立交易策略之績效評估;Evaluating the Performance of Trading Strategies Based on Continuous Net Buying by Securities Investment Trusts.

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題名:	觀察投信連續買超個股，建立交易策略之績效評估;Evaluating the Performance of Trading Strategies Based on Continuous Net Buying by Securities Investment Trusts.
作者:	林佳慧;Lin, Chia-Hui
貢獻者:	財務金融學系在職專班
關鍵詞:	投信;買超;夏普指數;時間加權報酬率;Institutional investors;Buying behavior;Sharpe Ratio;Time-Weighted Rate of Return
日期:	2023-07-10
上傳時間:	2024-09-19 16:04:44 (UTC+8)
出版者:	國立中央大學
摘要:	本研究所提出的交易策略，是透過分析2013年1月1日至2022年12月31日這段期間，機構投資者對其操作的標的股票，其持續布局之買超行為，並參考均價及均量之技術分析為輔助操作指標所擬定之買賣交易策略，以時間加權平均報酬率（TWRR）及夏普指標（Sharpe Ratio）衡量其交易策略績效。經由實證交易回測結果顯示，本研究之交易策略所得出之十年（2013~2022）期間，時間加權平均總報酬率為6.01%，以單一個年度來看，最好的年度落在2016年為11.25%，最差則落在2022年的-5.23%。將共120個月之每個月內之交易筆數以時間加權平均報酬率求算出每月平均交易報酬率，再與各月份之無風險利率求算出之Sharpe Ratio值為0.4522，對照0050之摸擬對照交易，總括來看本研究大部份年度之每月超額報酬平均數都較優於對照組，但Sharpe Ratio卻是對照組有較好的績效數字。由此可得知，雖然本研究之策略，跟隨著投信持續買超買入之標的個股，或許是有機會可獲得一定比例的正報酬，但相對的其風險卻是高的多。;The trading strategy proposed in this study is to use the net purchases of stocks by institutional investors in mutual funds as buy signals, and to use technical analysis based on moving averages and trading volumes as auxiliary indicators for trading. The performance of the trading strategy is measured by time-weighted rate of return (TWRR) and Sharpe ratio, based on the analysis of data from January 1, 2013 to December 31, 2022. Based on the empirical trading backtesting results, the trading strategy proposed in this study yielded an average total return of 6.01% over a ten-year period (2013-2022). Looking at individual years, the best performing year was 2016 with a return of 11.25%, while the worst performing year was 2022 with a return of -5.23%. By calculating the time-weighted average return for each month within the 120-month (10-year) period, the average monthly trading return was obtained. The strategy′s Sharpe Ratio, calculated by comparing the average monthly trading returns with risk-free interest rates, was determined to be 0.4522. Comparing the strategy′s performance with a simulated benchmark trading based on 0050, it was observed that, overall, the strategy had better average monthly excess returns compared to the benchmark. However, the benchmark trading based on 0050 had a higher Sharpe Ratio, indicating better performance in terms of risk-adjusted returns. Therefore, following the continuous net buying signals from mutual funds and investing in the corresponding individual stocks may potentially yield a certain proportion of positive returns. However, it is important to note that the strategy also comes with significantly higher risks..
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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