大家好, 又到了萬聖節, 常在新聞上看到股市有所謂的"萬聖節效應", 到底這個效應是否
真實存在呢? 讓我們來研究看看吧!
研究樣本:
台灣50與中100成分股自1993~2015共22年之還原除權息股價資料, 刪去資料未滿10年或缺
漏, 大幅增減資以至於明顯影響資料參考性者.
研究方式:
策略定義:
自每年11月初開盤進場持有至隔年10月底收盤出場 => 持續持有策略
自每年11月初開盤進場持有至隔年4月底收盤出場 => 萬聖節策略
計算兩種策略之報酬, 比較兩種策略之優劣.
以報酬算術平均數, 報酬中位數, 報酬標準差, 夏普值, 最大報酬, 最小報酬,
平均報酬/平均虧損(盈虧比), 獲利年數/總年數(勝率)共8項指標作為評分項目.
萬聖節策略每贏一項可得1分, 達6分以上視為萬聖節策略較佳, 小於等於2分視為持續持有
策略較佳.
研究結果:
有效樣本數: 121家
6分以上者: 39家
介於3~5分者:74家
2分以下者: 8家
平均得分: 4.8
得分眾數: 5
得分中位數: 5
分布情形:近似鐘形分佈
各指標前3名:
持續持有策略:
報酬算術平均 1476 2542 3474
報酬中位數 1476 1477 1536
報酬標準差 2880 4904 3045
夏普值 4904 3045 1476
最大報酬 2542 2448 3474
最小報酬 4904 2912 6505
盈虧比 2303 2356 1476
勝率 4904 2412 3045
萬聖節策略:
報酬算術平均 3474 2474 2448 2449
報酬中位數 2474 2393 3034
報酬標準差 9917 4904 2884
夏普值 2395 2059 2330
最大報酬 2449 2474 2356
最小報酬 1476 9917 2542
盈虧比 2393 2542 2356
勝率 2059 2330 2395
得分最高(8) 1314 1440 2325 2393 6005
得分最低(2) 1301 2204 2317 2881 4904 6505 9921
前3名入圍者次數統計:
代碼 持續持有策略 萬聖節策略 合計
1476 4 1 5
4904 4 1 5
2542 2 2 4
2356 1 2 3
2474 0 3 3
3045 3 0 3
3474 2 1 3
2059 0 2 2
2330 0 2 2
2393 0 2 2
2395 0 2 2
2448 1 1 2
2449 0 2 2
9917 0 2 2
1477 1 0 1
1536 1 0 1
2303 1 0 1
2412 1 0 1
2880 1 0 1
2884 0 1 1
2912 1 0 1
3034 0 1 1
6505 1 0 1
結論:
1.得分大於等於7分者共22家, 非金電9家, 電子9家, 金融4家, 以此來看萬聖節效應似乎
普遍存在於各類權值股, 並非僅適用於特定產業.
2.萬聖節策略的目的在於趨吉避凶, 期望藉由避開對投資人不利的月份來提升投資績效,
平均而言, 採用萬聖節策略後, 獲利平均數, 獲利中位數, 最大獲利下降, 但波動性與最
大虧損亦隨之下降, 而夏普值, 盈虧比, 勝率則獲得提升.
以投入時間僅為持續持有1整年的一半來看, 此策略對於想投資股市但較保守的投資人或
許是較單純買進更為優異的選擇, 若再搭配5~10月將資金配置到其他資產, 績效可望近一
步提升!
3.對於像儒鴻這類持續成長的超級績優股, 或是像電信三雄這類穩健定存股, 因他們皆有
無視淡旺季的特性, 採用持續持有策略會是較佳的選擇!
備註:
1.本資料僅針對市值高之台灣50, 中100成分股進行分析, 分析結果未必適用於市值低之
小型股.
2.本資料未對增減資, 庫藏股註銷, 可轉換公司債等影響股價之事件進行修正, 投資人參
考時務必要多加留意!
3.萬聖節效應僅是影響股價的一項因素, 有可能與個別公司多空事件互相抵消, 進而失效
4.過去績效不代表未來績效, 但透過觀察各家公司過去的股價表現, 或許會有意想不到的
收穫也說不定喔!
免責聲明:
本研究報告係作者自行計算製作, 僅供學術使用, 若因使用本研究進行投資發生虧損,
作者概不負責!
資料來源:
券商軟體還原除權息股價資料
附錄:
統計結果揭露如下:
持續持有策略:
代碼 起始年 平均數 中位數 標準差 夏普值 最大 最小 盈虧比 勝率
1101 1993 20% 13% 54% 37% 129% -68% 1.36 68%
1102 1993 16% 7% 42% 39% 116% -59% 1.55 64%
1216 1993 20% 14% 41% 49% 135% -48% 1.61 73%
1227 1994 24% 21% 50% 47% 169% -54% 1.55 71%
1301 1993 25% 11% 42% 59% 116% -39% 3.06 68%
1303 1993 25% 16% 45% 56% 116% -47% 2.76 64%
1314 1993 14% 4% 57% 26% 122% -65% 1.90 50%
1319 1995 24% -1% 78% 31% 265% -58% 2.70 50%
1326 1993 25% 11% 46% 54% 151% -31% 2.95 64%
1402 1993 21% 13% 49% 43% 114% -60% 2.49 59%
1440 1993 14% -7% 54% 26% 97% -59% 2.74 41%
1476 2001 69% 41% 78% 88% 283% -38% 3.87 86%
1477 2003 37% 35% 61% 61% 150% -70% 2.95 67%
1504 1993 12% 5% 38% 33% 91% -52% 2.00 55%
1507 1993 15% 13% 45% 33% 106% -58% 1.88 55%
1536 2001 44% 37% 67% 66% 189% -56% 1.79 79%
1605 1993 6% -2% 39% 15% 81% -52% 1.47 50%
1702 1993 28% 6% 87% 32% 335% -62% 2.17 59%
1710 1993 24% -5% 71% 34% 193% -66% 3.68 45%
1717 1994 22% 10% 57% 38% 204% -48% 2.56 57%
1722 1998 12% 6% 50% 24% 153% -50% 1.75 53%
1723 1999 23% 22% 34% 66% 94% -38% 3.25 65%
1802 1993 11% 8% 40% 27% 98% -61% 1.14 64%
2002 1993 14% 10% 30% 48% 78% -42% 1.69 68%
2006 1993 11% -2% 44% 26% 135% -52% 2.60 45%
2015 1993 18% 6% 58% 32% 202% -50% 2.13 55%
2059 2004 35% 30% 49% 70% 140% -34% 3.34 73%
2103 1993 21% -4% 58% 37% 156% -67% 3.26 45%
2105 1993 22% 14% 46% 47% 137% -32% 3.19 59%
2106 1993 30% 6% 95% 31% 368% -53% 2.76 55%
2201 1993 19% 0% 63% 31% 184% -64% 3.49 45%
2204 1993 13% 5% 47% 28% 144% -61% 1.99 55%
2206 1996 15% 5% 60% 24% 181% -69% 1.45 58%
2207 1997 31% 31% 46% 67% 139% -41% 2.70 67%
2227 2005 37% 2% 85% 44% 194% -58% 3.41 50%
2301 1996 21% 12% 54% 39% 175% -61% 2.63 55%
2303 1993 26% -1% 87% 30% 345% -51% 4.41 45%
2308 1993 25% 29% 41% 61% 103% -54% 1.58 73%
2311 1993 28% 11% 65% 44% 213% -61% 2.20 64%
2313 1993 20% 16% 53% 38% 151% -65% 1.33 68%
2317 1993 35% 26% 57% 61% 206% -62% 3.73 68%
2325 1993 20% 14% 40% 51% 100% -52% 1.53 73%
2330 1994 24% 14% 51% 47% 171% -25% 2.96 67%
2344 1996 8% -10% 54% 15% 124% -69% 1.77 45%
2347 1996 20% -4% 77% 26% 287% -58% 3.61 42%
2352 1996 21% 4% 67% 31% 177% -81% 2.11 55%
2353 1996 10% 9% 43% 23% 76% -62% 1.03 63%
2354 1996 27% 17% 63% 43% 184% -76% 1.35 74%
2356 1997 23% -2% 70% 32% 204% -51% 3.98 42%
2360 1997 20% 21% 52% 38% 136% -57% 1.82 61%
2362 1996 19% -5% 66% 29% 195% -61% 2.53 47%
2376 1998 9% 12% 45% 21% 149% -54% 1.05 65%
2377 1998 17% 6% 53% 33% 108% -57% 2.11 53%
2379 1998 24% 22% 58% 42% 198% -58% 1.43 71%
2382 1999 4% 10% 31% 14% 82% -42% 1.12 56%
2383 1998 26% 17% 66% 40% 218% -58% 2.56 59%
2385 1999 30% 18% 59% 51% 177% -33% 2.85 63%
2393 1999 8% 3% 68% 41% 180% -63% 2.97 50%
2395 2000 21% 21% 33% 63% 93% -42% 1.25 80%
2409 2000 7% 5% 47% 15% 110% -64% 1.28 53%
2412 2000 13% 13% 20% 65% 48% -43% 0.79 87%
2448 2001 46% 6% 131% 35% 452% -72% 3.31 57%
2449 2001 24% 17% 47% 52% 124% -56% 2.86 64%
2451 2001 32% 11% 72% 45% 248% -48% 3.11 64%
2454 2001 18% 18% 44% 42% 109% -50% 1.62 64%
2474 2001 48% 34% 62% 77% 168% -57% 1.58 86%
2498 2002 31% 2% 85% 37% 208% -64% 2.91 54%
2501 1993 12% 3% 46% 25% 99% -58% 1.61 55%
2542 1999 55% 28% 125% 41% 469% -61% 2.08 75%
2603 1993 8% -1% 40% 20% 114% -49% 1.74 50%
2606 1993 30% 3% 86% 34% 334% -60% 3.35 55%
2609 1993 14% -2% 73% 19% 290% -60% 1.96 50%
2610 1993 6% 1% 38% 15% 136% -47% 1.57 50%
2615 1996 15% 3% 43% 35% 127% -41% 1.94 58%
2801 1993 6% 10% 37% 17% 92% -45% 1.04 59%
2809 1993 7% 1% 46% 15% 129% -62% 1.48 50%
2812 1993 6% 1% 44% 15% 114% -75% 1.27 55%
2823 1995 18% 20% 50% 35% 109% -54% 1.25 65%
2834 1998 0% 0% 30% 2% 65% -46% 1.17 47%
2845 1999 17% 4% 59% 29% 180% -64% 2.82 50%
2880 2002 7% 13% 17% 43% 33% -25% 1.18 69%
2881 2002 13% 9% 28% 45% 81% -33% 2.59 62%
2882 2002 15% 19% 34% 42% 67% -50% 2.58 54%
2883 2002 5% 15% 27% 20% 38% -49% 0.72 69%
2884 2002 17% 12% 34% 49% 71% -56% 1.17 77%
2885 2002 13% 2% 34% 39% 73% -43% 2.48 54%
2886 2002 7% 14% 34% 42% 99% -54% 1.22 77%
2887 2002 17% 4% 53% 32% 148% -69% 2.48 54%
2888 2002 16% -3% 58% 28% 175% -69% 2.98 46%
2889 2002 16% 17% 36% 45% 90% -49% 1.75 69%
2890 1996 3% -1% 31% 10% 76% -53% 1.46 47%
2891 2002 19% 16% 42% 46% 120% -53% 2.56 62%
2892 1993 8% 10% 31% 27% 83% -45% 1.41 59%
2892 1999 8% -1% 32% 26% 78% -47% 2.88 44%
2903 1993 15% 10% 55% 27% 147% -60% 1.81 55%
2912 1997 17% 10% 26% 68% 70% -20% 2.72 72%
2915 1993 21% 4% 64% 33% 257% -48% 2.31 59%
3034 2001 31% 25% 54% 54% 115% -72% 1.88 71%
3037 1999 13% 9% 49% 26% 112% -70% 1.52 56%
3044 2001 21% 20% 49% 54% 114% -66% 1.44 69%
3045 2000 18% 26% 19% 91% 40% -29% 1.22 87%
3189 2003 20% 21% 52% 38% 135% -70% 0.95 75%
3231 2003 8% 6% 57% 30% 121% -56% 1.38 57%
3474 2005 49% -2% 149% 33% 412% -74% 3.18 50%
3481 2005 21% 1% 83% 26% 201% -82% 2.16 50%
3702 2005 37% 7% 100% 45% 302% -64% 2.28 67%
4904 2002 18% 14% 18% 96% 63% -10% 2.02 92%
5522 2000 27% 18% 74% 36% 218% -73% 1.86 60%
6005 1996 10% 3% 45% 22% 131% -67% 1.46 58%
6176 2002 18% 12% 39% 45% 105% -40% 1.08 77%
6285 2003 22% 23% 52% 42% 88% -64% 0.92 75%
6505 2003 13% 12% 25% 54% 71% -23% 2.35 67%
9904 1993 24% 20% 49% 50% 185% -45% 2.04 68%
9907 1993 11% 0% 47% 25% 117% -44% 1.90 50%
9910 1993 28% 19% 52% 55% 153% -35% 2.42 68%
9914 1993 29% 7% 62% 46% 171% -53% 2.94 59%
9917 1993 15% 19% 25% 59% 73% -38% 1.43 76%
9921 1995 24% 19% 32% 75% 93% -35% 2.29 80%
9933 1993 19% 20% 43% 44% 103% -43% 2.14 59%
9938 2001 44% 29% 77% 58% 182% -71% 2.69 64%
9945 1993 22% 3% 84% 27% 331% -58% 2.09 59%
平均 1997 20% 11% 53% 40% 154% -54% 2.15 61%
0050 2003 8% 8% 23% 34% 44% -45% 0.89 75%
萬聖節策略:
代碼 起始年 報酬 中位數 標準差 夏普值 最大 最小 盈虧比 勝率 得分
1101 1993 11% 6% 27% 43% 86% -24% 2.51 59% 4
1102 1993 9% 1% 21% 42% 72% -21% 3.28 55% 4
1216 1993 9% 6% 23% 38% 86% -21% 2.27 59% 3
1227 1994 18% 13% 29% 61% 90 -24% 2.40 71% 4
1301 1993 10% 9% 19% 50% 58% -20% 2.72 59% 2
1303 1993 15% 13% 26% 60% 95% -27% 3.22 68% 5
1314 1993 22% 19% 43% 51% 173% -34% 2.53 68% 8
1319 1995 19% 10% 35% 53% 118% -32% 4.07 60% 6
1326 1993 15% 11% 23% 64% 69% -15% 3.71 68% 5
1402 1993 18% 6% 31% 58% 31% -24% 3.58 68% 5
1440 1993 16% 3% 35% 46% 117% -19% 3.24 68% 8
1476 2001 27% 16% 31% 85% 103% -8% 4.61 86% 3
1477 2003 19% 23% 29% 66% 68% -27% 2.16 67% 3
1504 1993 15% 11% 23% 69% 62% -14% 2.35 73% 7
1507 1993 7% 5% 18% 36% 38% -27% 1.44 64% 4
1536 2001 29% 15% 51% 57% 181% -33% 2.70 79% 3
1605 1993 13% 7% 27% 47% 72% -26% 2.52 59% 7
1702 1993 26% 15% 36% 73% 121% -14% 5.07 73% 6
1710 1993 22% 8% 52% 43% 197% -25% 4.92 55% 7
1717 1994 20% 14% 39% 52% 128% -23% 2.54 71% 5
1722 1998 18% 3% 35% 51% 83% -15% 2.80 65% 6
1723 1999 16% 7% 26% 59% 94% -11% 4.74 71% 4
1802 1993 9% 10% 18% 51% 48% -21% 1.63 68% 6
2002 1993 10% 7% 13% 76% 39% -10% 5.06 68% 4
2006 1993 18% 13% 25% 74% 83% -16% 4.08 68% 7
2015 1993 19% 6% 42% 46% 164% -25% 3.40 64% 6
2059 2004 18% 12% 19% 96% 51% -15% 1.46 91% 4
2103 1993 15% 5% 27% 57% 77% -20% 3.82 55% 6
2105 1993 7% 5% 16% 41% 42% -15% 1.52 68% 3
2106 1993 11% -3% 36% 30% 106% -31% 3.13 45% 3
2201 1993 10% -1% 34% 28% 135% -27% 3.66 45% 3
2204 1993 5% 1% 20% 25% 67% -18% 1.77 55% 2
2206 1996 7% 0% 33% 22% 104% -46% 2.21 47% 3
2207 1997 13% 16% 21% 60% 57% -20% 1.89 72% 3
2227 2005 14% 5% 29% 50% 57% -18% 3.97 50% 5
2301 1996 26% 2% 64% 41% 233% -41% 3.35 55% 5
2303 1993 18% 5% 33% 55% 100% -21% 2.67 77% 5
2308 1993 16% 11% 33% 48% 117% -31% 3.46 59% 4
2311 1993 34% 20% 52% 65% 203% -30% 3.88 73% 7
2313 1993 14% 3% 45% 32% 137% -58% 2.11 52% 3
2317 1993 13% 11% 29% 46% 103% -29% 1.80 68% 2
2325 1993 22% 15% 33% 68% 126% -22% 2.12 82% 8
2330 1994 20% 15% 21% 94% 74% -10% 2.36 90% 5
2344 1996 26% 22% 41% 62% 117% -38% 1.93 75% 7
2347 1996 13% 2% 32% 41% 109% -28% 2.27 63% 5
2352 1996 15% 7% 45% 32% 171% -40% 2.42 55% 5
2353 1996 12% 3% 36% 32% 92% -41% 2.81 53% 6
2354 1996 20% 19% 36% 56% 81% -50% 2.02 68% 5
2356 1997 23% 2% 61% 38% 251% -14% 6.78 58% 7
2360 1997 18% 12% 25% 75% 73% -23% 2.85 78% 5
2362 1996 30% 16% 49% 61% 153% -30% 4.79 58% 7
2376 1998 13% 5% 29% 45% 97% -19% 3.28 59% 5
2377 1998 16% 4% 31% 50% 70% -24% 2.98 59% 5
2379 1998 16% 12% 38% 41% 107% -32% 2.11 59% 3
2382 1999 5% -2% 21% 24% 56% -19% 2.57 44% 5
2383 1998 36% 12% 58% 62% 150% -35% 2.24 76% 5
2385 1999 31% 14% 58% 54% 216% -17% 3.08 81% 7
2393 1999 36% 24% 53% 69% 189% -18% 7.97 75% 8
2395 2000 15% 13% 15% 97% 40% -11% 2.06 87% 5
2409 2000 31% 22% 63% 50% 239% -25% 2.05 80% 7
2412 2000 6% 7% 13% 46% 27% -29% 0.85 80% 3
2448 2001 37% 16% 74% 49% 246% -43% 2.41 71% 5
2449 2001 37% 14% 88% 42% 331% -21% 3.40 79% 5
2451 2001 30% 13% 59% 50% 221% -27% 3.72 79% 6
2454 2001 9% 8% 35% 26% 112% -38% 1.67 57% 4
2474 2001 46% 28% 78% 59% 278% -47% 3.32 79% 3
2498 2002 27% 17% 56% 48% 179% -40% 2.15 69% 5
2501 1993 13% 3% 28% 45% 90% -19% 2.33 55% 5
2542 1999 29% 18% 48% 61% 183% -10% 7.09 69% 4
2603 1993 10% 5% 21% 48% 60% -20% 2.50 64% 7
2606 1993 14% 6% 22% 69% 58% -10% 3.61 71% 6
2609 1993 10% 4% 21% 48% 65% -20% 2.37 62% 6
2610 1993 3% 0% 18% 17% 36% -28% 1.57 50% 3
2615 1996 8% 3% 21% 40% 62% -16% 2.05 63% 5
2801 1993 9% 0% 28% 32% 62% -41% 2.46 50% 5
2809 1993 12% 5% 34% 34% 114% -27% 2.43 55% 7
2812 1993 12% 6% 34% 35% 111% -48% 2.31 59% 7
2823 1995 16% 10% 32% 49% 102% -33% 2.08 65% 4
2834 1998 7% 5% 19% 38% 53% -17% 2.01 59% 7
2845 1999 10% 1% 27% 37% 86% -15% 2.94 50% 4
2880 2002 6% 7% 13% 48% 28% -17% 1.48 69% 4
2881 2002 6% 7% 18% 34% 42% -21% 1.45 62% 2
2882 2002 4% 3% 14% 29% 36% -13 1.02 69% 3
2883 2002 10% 8% 19% 51% 32% -23% 1.48 69% 5
2884 2002 10% 12% 12% 88% 29% -11% 2.41 77% 4
2885 2002 8% 3% 19% 44% 52% -19% 2.27 62% 5
2886 2002 7% 6% 15% 46% 42% -12% 1.68 69% 4
2887 2002 9% -1% 17% 51% 43% -11% 5.51 46% 4
2888 2002 8% 6% 17% 49% 40% -10% 3.31 54% 6
2889 2002 11% 4% 18% 62% 51% -10% 2.61 77% 5
2890 1996 8% 0% 22% 39% 68% -26% 2.28 53% 7
2891 2002 10% 4% 20% 49% 54% -11% 2.91 62% 4
2892 1993 12% 7% 28% 43% 67% -28% 1.99 64% 6
2892 1999 6% -2% 32% 19% 93% -37% 2.89 38% 3
2903 1993 8% 10% 21% 39% 45% -32% 1.99 55% 4
2912 1997 9% 12% 14% 69% 29% -19% 2.90 67% 5
2915 1993 12% 3% 25% 49% 83% -24% 2.62 64% 5
3034 2001 33% 23% 52% 81% 179% -23% 3.23 79% 7
3037 1999 16% 9% 44% 35% 106% -43% 1.65 63% 6
3044 2001 18% 17% 27% 81% 71% -22% 1.39 81% 4
3045 2000 5% 6% 15% 32% 34% -26% 0.83 73% 2
3189 2003 20% 14% 36% 56% 78% -31% 2.35 67% 4
3231 2003 4% 8% 22% 24% 50% -22% 1.13 57% 3
3474 2005 47% 22% 72% 66% 214% -25% 4.99 70% 6
3481 2005 23% 10% 46% 50% 87% -42% 1.70 70% 6
3702 2005 9% 4% 24% 47% 48% -22% 1.39 67% 3
4904 2002 7% 7% 12% 62% 28% -14% 2.70 69% 2
5522 2000 19% 7% 31% 63% 91% -15% 3.74 73% 5
6005 1996 22% 14% 38% 57% 159% -14% 3.35 84% 8
6176 2002 21% 15% 37% 59% 86% -44% 2.33 69% 5
6285 2003 23% 11% 50% 46% 145% -30% 3.16 58% 6
6505 2003 5% 3% 12% 39% 26% -15% 1.99 58% 2
9904 1993 18% 10% 33% 55% 148% -16% 3.64 77% 5
9907 1993 15% 9% 26% 57% 112% -12% 3.15 77% 7
9910 1993 22% 8% 42% 53% 141% -20% 4.68 64% 3
9914 1993 28% 8% 53% 53% 151% -35% 3.24 67% 6
9917 1993 10% 11% 11% 85% 33% -9% 2.60 81% 5
9921 1995 9% 6% 18% 52% 42% -25% 1.68 70% 2
9933 1993 12% 8% 23% 52% 67% -27% 1.99 68% 4
9938 2001 21% 9% 44% 48% 128% -28% 2.87 64% 3
9945 1993 18% 14% 30% 59% 84% -32% 1.78 73% 5
平均 1997 16% 9% 32% 51% 100% -24% 2.8 66% 4.8
0050 2003 7% 7% 9% 84% 25% -9% 1.96 83% 5