臺灣博碩士論文加值系統

判斷以及預測景氣循環階段對於投資者、企業以及政府機構而言都是至關重要的，因為這些信息有助於制定更為精確的投資策略和政策措施。本研究旨在探討不同景氣階段下的最佳投資策略，並評估其績效表現。首先，依據美林時鐘理論將2004年至2023年間的經濟分為不同階段，並使用Harding and Pagan、擴散指數以及結合上述兩種方式之混合法等方法判斷景氣的轉折點，接著，根據超額報酬、索提諾比率和夏普比率，將投資策略在樣本內2004年至2015年資料分為三組：最佳表現組、次佳表現組和第三組。在樣本外2016年至2023年資料中，使用Harding and Pagan認定轉折點方法之索提諾比率投資策略持有10檔標的之第二組為最佳績效之投組，通貨再膨脹、復甦、過熱、停滯性通膨四個階段的因子分別為Safety、VCF、DY、VCF，累計報酬率高達1524.49%，且其無論是下檔風險、勝率、夏普比率、索提諾比率等皆優於台灣加權指數以及不分景氣階段之單因子表現。另外，以Harding and Pagan混和擴散指數之判定法則以超額報酬投資策略績持有10檔標的之第二組為最佳績效之投組，四個景氣階段的因子依序為Safety、VCF、BETA_1year、IVOL，累計報酬率為1273.76%。
本研究通過不同的景氣轉折點認定法劃分美林時鐘的各景氣階段，研究結果顯示，透過在不同景氣階段使用該階段最適合之的因子進行投資，其績效不僅能打敗大盤甚至能超越同段時間績效最佳之單因子不分景氣階段投組。

Identifying and predicting business cycle phases is crucial for investors, businesses, and government institutions, as this information aids in formulating more precise investment strategies and policy measures. This study aims to explore the optimal investment strategies under different economic phases and evaluate their performance. First, based on the Merrill Lynch Clock theory, the economy from 2004 to 2023 is divided into different phases. The turning points of the economic cycles are determined using methods such as Harding and Pagan, the diffusion index, and a hybrid method combining the two. Then, according to excess returns, Sortino ratio, and Sharpe ratio, investment strategies from the in-sample period of 2004 to 2015 are classified into three groups: best-performing, second-best, and third-best.In the out-of-sample period from 2016 to 2023, the Sortino ratio investment strategy using the Harding and Pagan turning point method, holding 10 stocks in the second-best group, showed the best performance. The factors in the four phases of reflation, recovery, heat, and stagflation were Safety, VCF, DY, and VCF, respectively, with a cumulative return rate of 1524.49%. Moreover, it outperformed the Taiwan Weighted Index and single-factor performance regardless of the business cycle phase in terms of downside risk, win rate, Sharpe ratio, and Sortino ratio.Additionally, using the hybrid method of Harding and Pagan and the diffusion index to determine the turning points, the excess return investment strategy holding 10 stocks in the second-best group was identified as the best-performing portfolio. The factors in the four economic phases were Safety, VCF, BETA_1year, and IVOL, with a cumulative return rate of 1273.76%.

This study, through the identification of different business cycle turning points and classification of the Merrill Lynch Clock phases, shows that by employing the most suitable factors for investment during each economic phase, the performance not only surpasses the market but also exceeds the best-performing single-factor portfolios during the same period regardless of the economic phase.

第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 1
第三節 研究架構 2
第二章 文獻回顧 3
第一節 景氣循環文獻回顧 3
第二節 因子文獻回顧 4
第三章 資料來源及研究方法 6
第一節 資料來源與研究期間 6
第二節 資料處理 8
第三節 美林時鐘景氣階段判定 9
第四節 消費者物價指數年增率及產出缺口 10
第五節 總經變數篩選 11
第六節 轉折點之判定 13
第七節 因子篩選及投組建構 15
第八節 績效衡量 17
第四章 資料分析與實證結果 18
第一節 景氣轉折點判定 18
第二節 有效因子篩選 23
第三節 因子投資組合 24
第四節 景氣階段之因子投資 26
第五節 樣本外績效表現 28
第五章 結論與建議 31
第一節 結論 31
第二節 研究限制與建議 31
參考文獻 32
附錄 73
第一節 因子定義 73
第二節 總經變數文獻來源 76

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