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| Title: | 因子投資策略的應用-以美國科技業為例
The application of factor investing to American technology industry |
| Authors: | 黃凱偉 |
| Contributors: | 岳夢蘭
黃凱偉 |
| Keywords: | 因子投資
投資策略
美國科技業
factor investing
investment strategy
American technology industry |
| Date: | 2016 |
| Issue Date: | 2016-08-02 15:58:08 (UTC+8) |
| Abstract: | 近年來(2005-2014)，因子投資在市值、帳面市值比和動能在美國股市無法得到比大盤更好的表現，所以本研究以五因子亦即市值因子、帳面市值比因子、動能因子、低市場因子和品質因子，進行特定產業美國科技股研究，不同於大部分因子投資研究都以地區作為區分標準，期望可以得到不同的因子投資策略。研究結果發現無論是個別因子投資或是因子投資組合確實可以在美國科技股中提高夏普指標並擊敗那斯達克指數，此外檢視因子投資組合在不同時間的投資效益，發現因子投資組合在金融海嘯的壞時機期間，相對於投資那斯達克，更具有抗跌作用、投資的效益，在經濟穩定的好時機時，也能具備足夠的收益率並能夠提供投資者更好夏普指標，顯示因子投資在美國科技股中是一個可以成功的投資策略。
Recently, factor investing in market value, book/market ratio and momentum had no outperformance comparing to the market index in terms of return and sharpe ratio. The research focus on technology stocks in U.S to construct 5 factors which are market value, book/market ratio, momentum, betting against beta, quality. Unlike other regional-based researches, this paper is industrial-based and aims to create a new factor investing strategy. The result shows that some factors and factory portfolios do outperform NASDAQ index with higher sharpe ratio. Moreover, analyses in timing for factor portfolios show that factor portfolios provide better return and sharpe ratio during financial crisis in U.S. On the other hand, under stable economy circumstance, factor portfolios still beat NASDAQ in terms of higher sharpe ratio. |
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| Description: | 碩士
國立政治大學
財務管理研究所
103357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103357005 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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