| Summary: | 碩士 === 國立高雄大學 === 統計學研究所 === 106 === This study explores the best asset selection criterion for US stocks by observing market momentum trends and inverse momentum trends. Examine the market as a momentum or inverse momentum trend based on the cumulative rate of return and the Sharpe ratio, and consider the abnormal distribution characteristics of stock returns by stable tailed adjusted returns ratio and Rachev ratio, reviewing the market momentum trend again. And calculate its match with the trend of market momentum and the rise and fall of stocks. According to the indicator winner or loser combination and the time series model AR (1) coefficient to select the investment asset, and then according to the ratio of each stock's ups and downs transfer matrix matching index and each stock's ups and downs trend to determine the portfolio kinetic or reactionary energy strategy operation. The empirical results provide an important reference for the effectiveness of the steps and the establishment of investment strategies in the US stock market. We find that the portfolio returns based on the cumulative rate of return are bright but the risks are high, and the Sharpe ratio is a poorer indicator but the risk is The cumulative rate of return is relatively stable, while the stable tailed adjusted returns ratio is slightly better than other indicators, and the risk is more stable.
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