臺灣股市類股輪動策略：投資時鐘之建構與驗證

Sector Rotation Strategies in Taiwan: Development and Validation of Investment Clock

投資時鐘是將景氣循環跟類股輪動策略或資產配置結合的方法。本文參考美林證券的方法，使用產出缺口百分比和CPI通貨膨脹率兩項經濟指標，劃分出四種投資時鐘景氣循環階段：通貨再膨脹、復甦、過熱、停滯性通貨膨脹率，並以修正夏普比率挑選出績效較佳的類股，藉此在樣本內建構臺灣的投資時鐘。最後，在樣本外期間進行類股輪動策略，驗證投資時鐘下的類股輪動策略能否幫助投資人擊敗大盤。本文研究期間從1997年1月到2011年的8月。實證結果發現，除了通貨再膨脹階段下進行類股輪動策略無法比大盤相對抗跌。其餘景氣階段，例如復甦、過熱、停滯性通貨膨脹階段下，進行類股輪動策略都能達到擊敗大盤之目的。由此可證，投資時鐘下的類股輪動策略是有效的。

The investment clock method combines business cycle with the stock sector rotation strategy or the asset allocation strategy. By referring to the approach proposed by Merrill Lynch， this study uses two economic indicators including the output gap and CPI inflation rate to develop four investment clock business cycle stages: currency re-expansion， recovery， overheating and stagflation. It also uses the modified Sharpe ratio to select stock sectors of better performance to establish investment clock in the samples of Taiwan. Finally， in the off-sample period， the stock sector rotation strategy is applied to confirm whether the stock sector rotation strategy of the investment clock can help investors beat the market. The research period is from January 1997 to August 2011. The empirical results suggest that the stock sector rotation strategy is not as resilient as the market at the currency re-expansion stage. However， the stock sector rotation strategy can beat the market in other stages of business cycle including recovery， overheating and stagflation. It thus can be verified that the stock sector rotation strategy in the investment clock is effective.