市值加權股票投資組合的成分股在股價漲跌時，各股權重會有相當大的起伏變化，因此當任何價格偏離真實價值時，以價格或市值加權編制的指數結構往往會加碼高估或減碼低估，但基本面加權或均等權重指數因為非價格導向，故較為貼近真正的價值。而近年來投資實務界中，以投資績效優於市場報酬率著稱的基金經理人在選股的方式中，通常以價值型投資作為其投資策略。價值投資法重視公司在營運基本面的績效表現，而非短期股價的起伏或是市場行情的波動走勢，透過對公司營運績效的分析，包括獲利能力、成長性及財務風險的價值的分析，可以找出公司的真實價值。因此本研究將使用巴菲特價值型選股方式做投資組合，再結合基本面加權之理論建構出另一種基本面投資組合，並應用在台灣的股票市場上，藉此探討此種選股與建立投資組合的方式是否能打敗大盤或市值加權組合。本研究結果顯示巴菲特價值型選股方式之報酬表現明顯優於大盤；而巴菲特基本面投資組合相較於市值加權平均超額報酬約有17.75%，代表此種投資組合的建構方式明顯打敗市值加權組合。

The weights of the market capitalization-weighted portfolio will be ups and downs with the changing of the stock price. Therefore, when the prices deviate from the true value, the indexes which compile with market prices or market capitalization would be overvalued or undervalued. Due to the non-price-oriented characteristic of the fundamental weighted indexation as well as the equal-weighted indexation, they are closer to the real value. In recent years, the fund managers usually use the value investment as their investment strategies. The value investment strategy emphasizes the performance of the companies in operating fundamental aspect, instead of the short-term fluctuations in stock prices or the trend of the market condition. With the analysis of the company's operating performance, including the profitability, growth, and the value of financial risk, we can find out the true value of the company. Therefore, this paper first uses the Warren Buffet’s value investment method to construct a portfolio, and then combines it with the fundamental weighted method to construct another portfolio, to see whether these two portfolios would beat the market index or the market capitalization-weighted portfolio in Taiwan market. The empirical result shows that the performance of Warren Buffet’s value investment portfolio is significantly better than the market index. And the Warren Buffet’s fundamental portfolio, compared to the market capitalization-weighted portfolio, has average excess return about 17.75%, which represents that the Warren Buffet’s fundamental portfolio obviously beats the capitalization-weighted portfolio.

國內文獻

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