In this study, we use the financial factors of the Taiwan 50 Index as the variables, trying to build a portfolio to beat the market. The data selection period is from January 2009 to December 2017. In the first 54 months, regression analysis was used to identify the significant financial factors as variables, and the financial factors with this significant effect were used to predict in the next 54 months to find out the top 20% of 10 stocks for the portfolio. We’ll compare the performance of this portfolio with that of Taiwan 50. From 2014 to 2017, we used regular sampling observations and paired T tests methods. The empirical results are as follows:
1. The performance of defeating Taiwan 50 (0050) was concentrated in holding one month, six months, and nine months; when holding time more than one year, the times of beating Taiwan 50 was obviously declined.
2. From 2014 to 2017, the number of times that performance beat Taiwan 50 was more in 2014 and 2017, 17 times in 2014 and 8 times in 2017 individually.
3. When Taiwan 50 (0050) is in Bull market, T10 (the top 20% of the portfolio) can obtain excess returns easily; when Taiwan 50 (0050) is in Bear market, T10 (the top 20% of the portfolio) cannot defense price fall compare with Taiwan 50.
4. When Taiwan 50 (0050) is approaching the end of collapse, it will be a better chance to get excess return within one year. There is a clear timing effect.||en_US|