| Summary: | 碩士 === 國立政治大學 === 財務管理研究所 === 104 === Recently, factor investing in market value, book/market ratio and momentum had no outperformance comparing to the market index in terms of return and sharpe ratio. The research focus on technology stocks in U.S to construct 5 factors which are market value, book/market ratio, momentum, betting against beta, quality. Unlike other regional-based researches, this paper is industrial-based and aims to create a new factor investing strategy. The result shows that some factors and factory portfolios do outperform NASDAQ index with higher sharpe ratio. Moreover, analyses in timing for factor portfolios show that factor portfolios provide better return and sharpe ratio during financial crisis in U.S. On the other hand, under stable economy circumstance, factor portfolios still beat NASDAQ in terms of higher sharpe ratio.
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