| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 99 === Due to the internet is convenient and become part of our life, the general investors get the investment market information almost at similar time with institutional investors , sometimes even at the same time. Various application software related to investment is also more popular, this makes the investors become more and more professional. Even though, how to create better investment portfolio under the same basis is the important issue for investors. The traditional investment method of buying and holding seems to meet a big challenge in recent years, especially various mutual funds return drop greatly after 2008 financial crisis, even until now, it still don’t reach the level before financial . This research is to create an efficient stock selection strategy through a simple technical analysis tool. As for the risk aversion strategy, this research is to use simplest natural risk aversion method by decreasing the stock holding minimum to zero and using index future tools to avoid risk when in the bear market. By doing this, the empirical result shows it can avoid the big losses in financial tsunami and make the long term investment return become stable. Due to the financial market volatility increases in recent years, how to select stock and decrease the performance dropping greatly by using various risk aversion tools become the important issue for investors to join the financial market.
After various risk and return analysis, this research has conclusion as followings.
(1).Various technology indexes have its usage limitation. But this research use RSI, DMI, MA index feature together to exercise in Taiwan stock market. The result shows that it has better investment return by holding the stock for one year, two years and three years than holding ETF 0050.
(2).During 2008 financial tsunami, the performance of stock selection strategy is much better than buying and holding ETF050. It only has negative investment return for 5 months. And it has positive return for two years and three years.
(3). By taking short positions in index future to make 70 % risk aversion as opposed to holding stock, it can decrease the volatility of stock selection strategy performance dramatically to 6.12%. It can decrease the maximum risk to -2.81% for one year and the yearly average return is 8.8%。
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