誰才是最佳投資搭檔？台化、味王與台達電之投資組合研究

Abstract

中文摘要 本研究主要探討不同產業股票之風險與報酬特性，並運用投資組合理論 與資本資產定價模型（CAPM），分析如何透過資產配置降低投資風險與提升 投資效益。研究對象選取塑膠業—台化、食品業之味王及電子零組件業之台達 電，透過比較三家公司之報酬率、風險與市場敏感度，建立兼具穩定性與成長 性的投資組合。 研究方法則使用 TEJ 資料庫蒐集 2025 年 9 月至 2026 年 4 月之每日收盤 價資料，並利用 Excel 計算平均報酬率、變異數、標準差、相關係數及 Beta 值 等指標，同時運用規劃求解建立最佳投資組合，並結合效率前緣與 CAPM 模型 進行分析。根據結果顯示，台達電具有最高報酬率與 Beta 值，代表其成長性與 風險皆較高；味王則波動較低，屬穩定型股票；台化則介於兩者之間。此外， 三家公司之相關性偏低，顯示跨產業投資能有效分散風險。整體而言，本研究 驗證投資組合理論與 CAPM 模型能有效反映風險與報酬關係，可作為投資人進 行在資產配置時參考。本研究發現，投資單一股票雖可以帶來較高收益，但同 時也承受較大的風險。若能將不同產業股票納入投資組合，則可利用產業的低 相關性降低整體風險，提升投資穩定性。此外，CAPM 模型所衡量的 Beta 值， 也能提升投資人對市場變動的敏感度。當市場景氣良好時，高 Beta 值的股票可 能帶來較高報酬，在市場景氣蕭條時，其漲跌幅度起伏較大。所以投資人應根 據總體經濟環境與市場趨勢，及時調整投資組合，以增加收益或降低風險。

Abstract This study investigates the risk-return profile of stocks from different industries using Portfolio Theory and CAPM to evaluate how portfolio allocation reduces risk and improves performance. The sample firms include Formosa Chemicals & Fibre Corporation, Ve Wong Corporation, and Delta Electronics, Inc. By comparing their returns, risk levels, and market exposure, this study develops a portfolio balancing risk and return. Uses the TEJ database to obtain daily stock price data from September 2025 to April 2026. Excel was applied to calculate mean return, variance, volatility, correlation, and Beta values, while Solver was used to derive the optimal portfolio. The Efficient Frontier and CAPM were also employed for analysis. Results show that Delta Electronics has the highest return and risk, Ve Wong is relatively stable, and Formosa Chemicals & Fibre falls between the two. The low correlation among the three firms indicates that cross-industry allocation effectively diversifies risk. Overall, Portfolio Theory and CAPM effectively explain the risk-return relationship and provide guidance for portfolio allocation decisions. Also finds that single-stock investment may yield higher returns but involves greater risk. Diversified portfolios can reduce overall risk and improve stability through low industry correlation. In addition, Beta values reflect sensitivity to market volatility. High-Beta stocks may achieve better returns during economic expansion but experience larger price swings during downturns. Therefore, investors should rebalance portfolios according to market trends to maximize returns and minimize risk.