| 摘要: | 當股市呈現多頭上漲趨勢時，熱錢會在類股間流動形成類股輪動，而類股輪動策略
是利用市場趨勢獲利的一種主動型交易策略，利用不同投資產業強勢時間的錯位對產業
進行更換以達到投資報酬最大化之目的。也就是根據不同類股的區間表現差異性進行輪
動配置，力求能夠抓住區間內表現較好的類股、剔除掉表現不佳的類股，在判斷市場不
佳的時候，權益類倉位降低，提升債券或貨幣的比例。
現今台股研究，大多以價格動能為主軸進行研究，然而在過去實驗中，資金流向雖
能對個股股價未來報酬有正向相關卻未被類股輪動策略納入討論。而普遍類股輪動研究
多半是針對產業指數進行投資，在實務上可能因類股成分過多而難以投資或是無法找到
提升產業指數的重要股票。
針對此一問題，本研究將產業分類後之特定代理變數建置類股投資組合的風險獲利
評估工具，讓投資人可以透過此工具將股票進行客製化分類，並設定因子排名方式與交
易回測等參數，在形成期排序類股與龍頭股之動能因子以組成投資強勢標的，在持續期
買入，並計算其績效和視覺化之呈現。
本研究設立四個驗證案例，欲透過本研究工具達成各驗證案例之目的，並推薦投資
人各驗證案例的投資組合參數以及形成期與持續期大小設定。而經由驗證結果可得知在
各股票分類之最佳化參數，其中資金流向搭配 RSI 概念在各案例下並作為類股和龍頭股
動能因子，都能體現資金流向現象並相較其他動能因子獲得超額報酬，此外交易成本將
侵蝕短期動能效應、長短的形成期與單形成期之因子比較、和日曆效應對實際交易產生
之影響。;When the stock market shows a bullish upward trend, hot money will flow between stocks
to form stock rotations. The stock rotation strategy is an active trading strategy that uses market
trends to profit, and uses the misalignment of the strong time of different investment industries
to carry out the industry. Replacement to maximize the return on investment. That is to say,
perform rotation allocation based on the difference in the performance of different stocks in the
interval, and strive to capture the better-performing stocks in the interval, remove the underperforming stocks, and reduce the equity position when judging the market is not good. , To
increase the ratio of bonds or currencies.
Currently, most research on Taiwan stocks focuses on Price Momentum Strategy. However,
in past experiments, although the direction of capital flow can be positively correlated with the
future return of individual stocks, it has not been included in the discussion of stock rotation
strategies. The general stock rotation research mostly focuses on investment in industry indexes.
In practice, it may be difficult to invest or find important stocks that can improve the industry
index due to too many stocks.
In response to this problem, this research combines the specific agency variables after
industry classification with the moving pane method to build a risk and profit assessment tool
for stock portfolios, so that investors can use this tool to customize stocks. , And set the factor
ranking method and transaction backtesting parameters. Through the moving pane method, the
momentum factors of the stocks and leading stocks are sorted in the sample pane to form a
strong investment target, and the investment is simulated in the out-of-sample pane and the
components are rebalanced. , And calculate its performance and visual presentation.
Four verification cases are set up in this study. The purpose of each verification case is to
be achieved through this research tool, and the investment portfolio parameters and pane size
settings of each verification case of investors are recommended. Through the verification results,
it can be known that the optimized parameters and transaction costs of each stock classification
will erode the short-term kinetic energy effect, the length of the formation period will be better
than the single formation period, and the performance of the transaction at the beginning of the
month will be better than the end of the month. |
