大家好, 又到了万圣节, 常在新闻上看到股市有所谓的"万圣节效应", 到底这个效应是否 真实存在呢? 让我们来研究看看吧! 研究样本: 台湾50与中100成分股自1993~2015共22年之还原除权息股价资料, 删去资料未满10年或缺 漏, 大幅增减资以至於明显影响资料参考性者. 研究方式: 策略定义: 自每年11月初开盘进场持有至隔年10月底收盘出场 => 持续持有策略 自每年11月初开盘进场持有至隔年4月底收盘出场 => 万圣节策略 计算两种策略之报酬, 比较两种策略之优劣. 以报酬算术平均数, 报酬中位数, 报酬标准差, 夏普值, 最大报酬, 最小报酬, 平均报酬/平均亏损(盈亏比), 获利年数/总年数(胜率)共8项指标作为评分项目. 万圣节策略每赢一项可得1分, 达6分以上视为万圣节策略较佳, 小於等於2分视为持续持有 策略较佳. 研究结果: 有效样本数: 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 得分众数: 5 得分中位数: 5 分布情形:近似钟形分布 各指标前3名: 持续持有策略: 报酬算术平均 1476 2542 3474 报酬中位数 1476 1477 1536 报酬标准差 2880 4904 3045 夏普值 4904 3045 1476 最大报酬 2542 2448 3474 最小报酬 4904 2912 6505 盈亏比 2303 2356 1476 胜率 4904 2412 3045 万圣节策略: 报酬算术平均 3474 2474 2448 2449 报酬中位数 2474 2393 3034 报酬标准差 9917 4904 2884 夏普值 2395 2059 2330 最大报酬 2449 2474 2356 最小报酬 1476 9917 2542 盈亏比 2393 2542 2356 胜率 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名入围者次数统计: 代码 持续持有策略 万圣节策略 合计 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 结论: 1.得分大於等於7分者共22家, 非金电9家, 电子9家, 金融4家, 以此来看万圣节效应似乎 普遍存在於各类权值股, 并非仅适用於特定产业. 2.万圣节策略的目的在於趋吉避凶, 期望藉由避开对投资人不利的月份来提升投资绩效, 平均而言, 采用万圣节策略後, 获利平均数, 获利中位数, 最大获利下降, 但波动性与最 大亏损亦随之下降, 而夏普值, 盈亏比, 胜率则获得提升. 以投入时间仅为持续持有1整年的一半来看, 此策略对於想投资股市但较保守的投资人或 许是较单纯买进更为优异的选择, 若再搭配5~10月将资金配置到其他资产, 绩效可望近一 步提升! 3.对於像儒鸿这类持续成长的超级绩优股, 或是像电信三雄这类稳健定存股, 因他们皆有 无视淡旺季的特性, 采用持续持有策略会是较佳的选择! 备注: 1.本资料仅针对市值高之台湾50, 中100成分股进行分析, 分析结果未必适用於市值低之 小型股. 2.本资料未对增减资, 库藏股注销, 可转换公司债等影响股价之事件进行修正, 投资人参 考时务必要多加留意! 3.万圣节效应仅是影响股价的一项因素, 有可能与个别公司多空事件互相抵消, 进而失效 4.过去绩效不代表未来绩效, 但透过观察各家公司过去的股价表现, 或许会有意想不到的 收获也说不定喔! 免责声明: 本研究报告系作者自行计算制作, 仅供学术使用, 若因使用本研究进行投资发生亏损, 作者概不负责! 资料来源: 券商软体还原除权息股价资料 附录: 统计结果揭露如下: 持续持有策略: 代码 起始年 平均数 中位数 标准差 夏普值 最大 最小 盈亏比 胜率 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% 万圣节策略: 代码 起始年 报酬 中位数 标准差 夏普值 最大 最小 盈亏比 胜率 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 -- 「我们之所以能够成功，并不是因为我们有能力清除所有的障碍， 　而是在於我们专注寻找可以跨越的障碍」 - 华伦．巴菲特 --

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