新冠肺炎下投資組合之策略-以我國資本市場為例

Abstract

中文摘要 在本研究中,我們試著運用財務管理課程所學到投資組合的概念，透過TEJ台灣經濟新報進行大數據的篩選，並使用EXCEL作為分析的工具，以股票市場做為投資選擇(不含反向ETF、借券賣出為前提下)，試著在股票市場中用各式指標做為參考，選取三檔股票，做成投資組合，嘗試不同權重在風險與報酬之間改變所造成的各式結果，在從中挑選出最適當的風險與報酬配置。 在三家公司的選擇上我們以日報酬率、殖利率、BETA值做為關鍵的指標進行篩選，再利用相關係數決定出三個在不同產業中，最值得做為投資組合的股票，此外由於未來也有發生疫情的可能性，我們特別選出低BETA值高報酬率的醫療類股進入投資組合，以求將來在面臨類似疫情造成股市動盪的時候能有相對平穩的標的；最後我們找到的標的分別是營建業的總太、醫療業的高端疫苗和金融業的台名。 然後使用選出來的三檔股票，我們以EXCEL進行資料分析，並利用規劃求解得到效率前緣。因為考量到資產配置，再利用規劃求解得出最大夏普率以繪製資本市場線，做成完整的投資組合分析。

Abstract We attempt to apply the concept of portfolio that we learned from our financial management course in this research, filtering data thought TEJ database and using Excel as the analysis tool. With various index as reference, we pick three stock from the stock market (excluding inverse ETF and security lending). Then develop them into portfolio, and try out various results of risk and reward under different weights. Eventually we can choose the best portfolio set between risk and return. As for the choices of companies, we use daily return, Yield to Maturity, and Beta Coefficient as crucial index; and then determine the best portfolio from three different industries with correlation coefficient. Besides, due to the possibility of an epidemic in the future, we specially selected medical stocks, which is low BETA value and high expected return rate into our portfolio, in order to have a stable objective when facing market turmoil caused by similar epidemics. The objectives we found are: Zongtai (construction industry), Medigen Vaccine Biologics (MVC, medical industry), and Taiming Assurance Broker Co.(TABC, financial industry). We conduct data analysis on Excel with these three objectives, and obtain the efficient frontier using the solver feature in Excel. Considering asset allocation, we have to apply solver once more in order to get the maximum Sharpe ratio to draw Capital Market Line for the final portfolio analysis.