本論文欲研究是否策略性選股策略能顯著打敗大盤。根據Dickson and Sommers (2012)的論文，他們利用進入壁壘、五力分析以及財務指標來尋找具競爭優勢的公司，結果顯示某些變數確實是可以改善投資組合績效。因此，我們將採用Dickson and Sommers的部分變數組成策略性投資組合，並考慮入更多有關VRIO的變數，而此投資策略我們稱之為S-score策略。在過程中，我們循序漸進地採用三種方法來篩選股票，分別為綜合積分、競爭優勢及產業集中度。根據實證結果，此策略性選股策略與大盤之投資報酬績效相比，其投資報酬率大幅提高至少12%，且夏普指標在每次的篩選中亦呈正向成長。因此，策略性選股策略具有提高投資人投資報酬之功效。仍需注意的是，此策略依舊存有些許限制，譬如只限於投資製造業、持有期間僅為一年、可能會忽略一些高績效的股票以及未按產業特性來給與公司分數。

This thesis investigates whether the strategic stock selection strategy can successfully outperform the market return. Dickson and Sommers (2012) combined the traditional barriers to entry, the five force model and financial indices to capture the competitive advantages of a firm. The result argues that some proxies successfully help investors to improve their stock investment strategies. Therefore, we use the same method as that of Dickson and Sommers and incorporate more proxies from the VRIO model into the investment strategy. We call our strategy the S-Score strategy. In the process of constructing the S-Score strategy, we pick up manufacturing stocks through three filters: the composite score, high competitive advantages, and industry concentration, respectively. The empirical result demonstrates that the S-score strategy successfully improves the mean return by more than 12% as compared to market return and generates a higher Sharpe ratio. Therefore, the S-score strategy effectively improves investors’ return performance. However, it still contains some limitations, including being restricted to manufacturing firms, the omission of the long-term effect by a short holding period, the execution restriction, and using the same standard to score the firms.

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