The Analysis of Alpha Arbitrage Strategy Performance
| Autor: | Yang,Shih-I, 楊仕佾 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 Basically, Alpha strategy is a tool used for quantitative stock selection and used index futures. Applying the market-neutral strategy to avoid the risk of the market, in pursuit of a absolutely stable return. In this study, the Alpha strategy is adopted to evaluate the operating performance of Taiwan stock market. According to quarterly revenue monthly growth rate and quarter revenue annual increasing rate of the financial record on Taiwan Economic Journal Co., from January 2002 to September 2010, use the different investment portfolio to exercise Alpha Strategy, and then investigate the different portfolios performance. In addition, choose different selling short tools to exercise Alpha strategy, and evaluate if they could create different return. Empirical results indicate that, choosing strong stock criteria of the portfolio based on quarter revenue monthly growth rate and quarterly revenue annual increasing rate, Alpha strategy, is indeed to beat the market, and get positive profit. Besides, the portfolio selection by Alpha strategy within quarter revenue growth rate of monthly, whether it is the average quarter return, Sharp value, profit and loss ratio, are definitely superior to the portfolio selection by Alpha strategy within quarter revenue growth rate of monthly quarterly revenue annual increasing rate. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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