本篇研究的目的為建立一個完整的量化投資流程。此量化投資流程，整合和了多因子模型的概念，與資訊分析的方法。透過這樣的分析流程與架構，建立一個有效的選股模型，我們再依據這一個選股模型對股票的評分，建構一個以台灣五十指數為標竿指數的增值指數基金。

我們知道，造成股價變動的原因有很多，本研究以多因子模型為分析架構，就是試圖掌握多維度的股價影響因素，再以資訊分析的概念，去評斷不同的因子在不同時間點，對股價的解釋能力以及預測能力的高低。本研究的建立的數量選股模型就是建立在尋找因子與報酬之間顯著的關係，再根據不同因子的對報酬的關聯強弱，組合因子形成股票評分。此股票評分即是後續選股模型的依據。

本篇研究的目的是利用多因子α選股模型建立一個增值指數的投資組合，因此在投資組合的建構過程中，我們必須要能夠控制投資組合的追蹤誤差。在本篇研究，我們直覺式投資組合建構方式，搭配原始權重保留率的設定，控制追蹤誤差，在後續的實證發現，我們可以利用此以簡單的參數設定來控制追蹤誤差。除此之外，在投資組合的實際操作上，因周轉率而造成的交易成本，會對整體報酬產生很大的影響。在本研究中，我們對alpha score 作平滑化的處理，使我們的選股模型在每一期在平衡的結果不會差異太大，減少投資組合的周轉率。

The objective of this study is to build a complete process of quantitative stockselection model construction that combines a Multi-Factor Model and informationanalysis. Based on the quantitative stock selection model, we construct anenhanced index fund that uses the Taiwan 50 index as its benchmark.

Stock prices change for a multitude of reasons, and these reasons may changeover time. In this study, we use a Multi-Factor Model and information analysis to
find the relationship between stock price behavior and a factor‟s condition. Wecan use this relationship as a basis for stock selection.

Moreover, the purpose of this study is to construct an enhanced index fund,hence we need to control the tracking error. We use an intuitive portfolio
construction method, the original weight retention rate of the benchmark, to control tracking error. In addition, the turnover rate of a portfolio is also a significant problem as it may cause the profit of a portfolio to decreasesignificantly. In this study, we use the smoothing alpha score method to control
the turnover rate of our portfolio.

I. INTRODUCTION ................................................................................................................... 1
1-1. QUANTITATIVE INVESTMENT ................................................................................................ 1
1-2. ENHANCED INDEX FUND ....................................................................................................... 2
II. LITERATURE REVIEW ........................................................................................................ 5
2-1. MODERN PORTFOLIO THEORY AND FACTOR MODELS ......................................................... 5
2-2. INFORMATION ANALYSIS AND OPTIMAL ALPHA MODEL ...................................................... 8
III. METHODOLOGY ........................................................................................................... 12
3-1. BUILDING A QUANTITATIVE ALPHA MODEL ........................................................................ 12
3-2. DEVELOPING SIGNIFICANT DESCRIPTOR ........................................................................... 15
3-3. TESTING OF FACTOR EFFECTIVENESS AND FACTOR SELECTION ....................................... 18
3-4. OPTIMAL COMBINING MULTIPLE ALPHA FACTOR .............................................................. 20
3-5. CONSTRUCTING THE PORTFOLIO ....................................................................................... 22
3-6. SMOOTHING ALPHA SCORE ................................................................................................. 24
IV. EMPIRICAL STUDY ....................................................................................................... 25
4-1. DATA ................................................................................................................................... 25
4-2. SAMPLE ............................................................................................................................... 25
4-3. EMPIRICAL RESULTS .......................................................................................................... 28
V. CONCLUSION ...................................................................................................................... 52
REFERENCES ............................................................................................................................... 55

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