| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 98 === The research is focused on Taiwan’s stock market and developed a new technical indicator-W indicator. The W indicator should be a better indicator than M indicator because it puts more weights on short term data, and it can be used to enhance the traditional CPPI performance. In order to seek a strategy which can enhance performances, the research uses 624 weeks of stock index data on both W and M indicators from 1997/1/4 to 2008/12/31 to exam the enhanced CPPI performance, and does a comparison analysis by using Sharpe Ratio, Treynor Index, Jensen Index,Momentom Index,Predictive Index (including first and second stages performance evaluation) and transaction cost.
From the examination, the research validates the M indicator is better than W indicator. After going through a deep analysis, the research concludes that when using M indicator, the best performance comes from using M indicator and second stage performance evaluation; When using W indicator, the best performance comes from using W indicator and first stage performance evaluation. This indicates that when using M indicator, the momentum and buy low/sell high strategy performs better than W indicator.
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