Joseph D. Piotroski（2000）利用一個評分標準從高淨值市價比投資組合中篩選出績優個股，此評分標準我們稱之為F分數，結果發現此一篩選過後之投資組合，能提供更佳的投資績效。故本研究欲於台灣股票市場中進行此一投資組合的實證，觀察於台灣股市中利用此投資組合是否可以創造出優於市場的超額報酬，爾後，再利用機率策略模型計算當時投資股市的勝率，進行風險性資金的控管，試圖更進一步的提升投資組合之績效。
本論文以1990年5月初至2010年4月底為投資組合實證期間，實證結果顯示，以算術平均數的觀點而言，高淨值市價比投資組合、High Score投資組合與資金控管投資組合分別可提供12.72%、14.93%及12.80%的市場調整報酬率，未經市場調整之報酬率分別為15.51%、17.71%及15.58%，若以幾何平均數的觀點而言，則分別可提供8.72%、10.77%及13.49%的投資報酬率；以Sharpe Index檢定後的結果，顯示高淨值市價比投資組合確實能夠提供優於市場投資組合之投資績效，而進一步利用F Score篩選出的個股之High Score投資組合也能提升原本之投資績效，最後根據機率策略模型所進行風險性資金控管之動作，更大大提升了投資報酬率之績效。

Joseph D. Piotroski（2000） selects some good companies by using a certain evaluation standard, called F score, from high-book-to-market portfolio. The results show that the filtered portfolio can provide us with better investment performance. Our research focuses on conducting empirical results for this strategy in Taiwan’s stock market. We would like to examine that whether excessive return can be generated by adopting this strategy. Further, we also calculate the winning rate of investment by using probability model and allocate risky capital through the model. We want to better the portfolio performance by controlling the capital.
Our research period is based on 1990 to 2010, and the empirical result shows that high-book-to-market portfolio, high score portfolio and capital control portfolio can provide market-adjusted return of 12.72%, 14.93% and 12.80% individually from the perspective of arithmetic average number. However, from the aspect of geometric average view, they can provide investment return of 8.72%, 10.77% and 13.49%. When we use the Sharpe index to test the result, we find that high-book-to-market portfolio can indeed provide better investment performance compared to market portfolio. Moreover, the portfolio filtered by F score can provide performance greater than high-book-to-market portfolio. Finally, we can better the portfolio performance by controlling the capital using probability model.

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