| Summary: | 碩士 === 國立虎尾科技大學 === 經營管理研究所 === 98 === Regarding to the research of investment strategy, it is always one of the researched focus in financial academia and practice field. Among every kind of investment tools, stock has been one of the main channels to make the profit. To investors, the efficient investment strategy means that it is able to get higher return. However among several investments strategies, what is the best strategy applied in stock to get highest profit is to become the purpose we would like to discuss in this research. Therefore, this researcher expects to compare different performances of the strategies by Empirical Evidence in order to look for the better investment strategy for the investors. The date is based on CMoney Juristic Person Investment Decision Support System in this research. The research period was from 1st January, 2000 to 31st December, 2008; the subjects were all listed companies in TSE and OTC. It structured the investment strategy by CMoney Back-testing System. It considered distinguished bull, bear and the correction market by different market conditions. The empirical results stood that if it is not to take into account the market conditions, the performance of holding period of three months is better based on the moving average indicator, it is better for six months based on Equity Approach, and it is better for twelve to twenty four months based on Valuation Approach, as table 1. In the bull, it made over 3.5% of return by Growth Investing and Equity Approach in three to twelve months and the return was the highest by Valuation Approach in the long term. In the bear, the return was significantly positive and the highest by the strategy of moving average for three to twelve months. The Valuation Approach transferred the negative to positive return and the profit was higher than other strategies in the long holing period. In the correction market, the profit was highest by Momentum Strategies in the short and middle term, and it was better by Growth Investing Approach in the long holding period.
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