動能投資策略與風險管理

Abstract

傳統的JT價格動能策略，已證明在2000年後失效，而其他改良的動能策略效果也於2000年後大幅下降，甚至也變不顯著，然而本研究提出的FIP+MAX的動能策略，不但維持高額的報酬率，從1980年至2015年的回溯表現至今仍維持顯著性。 根據本研究提出的FIP+MAX策略搭配預警機制後所形成的投資策略，平均一個月的報酬率高達5.28%，Sharpe ratio為0.53，操作勝率上也有七成會賺錢，有六成四的勝率擊敗大盤。 最後，在考量實務上企業都有面臨財報公布的壓力，而本研究提出的FIP+MAX改良版投資策略，不論是連續操作一季、半年、一年，平均勝率和操作績效都優於被動式投資大盤許多，因此，此策略不但具有高額的獲利性、穩定性，連操作上的可行性也兼顧。

Traditional JT price momentum strategy has proved to be ineffective after 2000. Other improved momentum strategy’s effect are also declined. However, the present study proposed FIP + MAX improved momentum strategy, not only to maintain the high return, it has maintained significant till now. With early warning mechanism in accordance with FIP + MAX strategy proposed in this study, the month average return as high as 5.28%, Sharpe ratio of 0.53. The strategy will make money with hit ratio of 70% and 64% odds will beat the market. In consideration of the company has regularly published financial statements pressure, the present study proposed FIP + MAX improved momentum strategy has stable performance. Whether continuous operation quarter, six months, one year, the average probability of positive returns and operating performance is better than invest the market.