Modern Portfolio Theory and Momentum Investment Strategy – Evidence of the TWSE Taiwan 50 Index

[[abstract]]本文擬利用現代投資組合理論及動能投資理論為篩選投資組合之方法，並以走勢幾乎與大盤一致的富時臺灣證券交易所臺灣50指數（FTSE TWSE Taiwan 50 Index，台指50）為標的，從中篩選投資績效較佳的組合。最後再以崔諾績效指標和詹森績效指標作為評估績效之工具，將篩選出來之投資組合互相評比，再分別與大盤、買進持有策略做績效評比，觀察不同投資策略下，哪一種篩選出來之投資組合績效較佳，希望透過此一投資策略配置找尋一個較佳績效的投資組合。本文研究結果整理如下:1.利用現代投資組合策略與動能投資策略各篩選一個投資組合，且動能投資策略組合之績效高於現代投資組合。2.分別比較現代投資組合策略與動能策略之投資組合與台股大盤、買進持有策略的投資績效，發現依績效高低排序為：動能投資組合>現代投資組合>台股大盤>買進持有組合，以提供投資人做操作時之參考。[[abstract]]This article intends to use Modern Portfolio Theory and Momentum Investment Strategy as methods of selecting investment portfolios, and then uses the TWSE Taiwan 50 Index (Taiwan Index 50) as the investment target, which is almost in line with the broader market. After choosing the portfolios that have better investment performance, Treynor Index and Jensen Index are used to compares the performance of selected investment portfolios, then evaluate the performance of the broader market and buy-and-hold strategies to find out the better portfolios in different investment strategies above.The research results of this paper are summarized as follows:1. Use Modern Portfolio Theory and Momentum Investment Strategy to selecting investment portfolios. Performance of Momentum Investment Strategy is better than Modern Portfolio Theory.2. Compare the performance between Modern Portfolio Theory, Momentum Investment Strategy, Taiwan broader market, and buy-and-hold strategies. Evaluate and sort the order of performance: Momentum Investment Strategy > Modern Portfolio Theory > Taiwan broader market > buy-and-hold strategies, and then provide a reference for stock investment