本文使用隨機邊界分析法(stochastic frontier analysis，SFA)量化776間臺灣證交所上市公司之經營效率，研究期間為2018年至2023年共24個季度，每季會從各產業中挑選效率值排名前10%之公司作為當季之投資標的，以均權方式建構投資組合。績效分析結果顯示應用SFA建構之投資組合中，有14期的報酬率大於加權指數，占比為58%，餘下10期投資組合中，也僅有一期的報酬率低於加權指數5%以上。投資組合之平均報酬率與累積報酬率同樣優於加權指數。再以Sharpe ratio、Treynor index、Jensen index三項考慮風險因素之指標進行績效評估之後，發現投資組合之Sharpe ratio、Treynor index皆優於大盤，惟Jensen index的結果與大盤持平，顯示該投資策略之有效性。

This paper uses the Stochastic Frontier Analysis (SFA) method to evaluate the operational efficiency of 776 companies listed on the Taiwan Stock Exchange over a period of 24 quarters, from 2018 to 2023. Each quarter, we calculate the efficiency score of every listed company and select companies with the highest efficiency score in each industry as investment targets, which are then used to construct an equal-weighted portfolio. The empirical results suggest that the rate of returns of the portfolios formed by SFA exceeded that of the market in 14 out of the 24 quarters. Moreover, both the average rate of returns and the cumulative rate of returns of the portfolios formed by SFA exceeded those of the market. We also conduct an overall performance evaluation using Sharpe ratio, Treynor index, and Jensen index, which indicates that the portfolios formed by SFA once again outperformed the market in terms of both Sharpe ratio and Treynor index, while the Jensen index suggests that the performance of the SFA-constructed portfolios were on par with the market. Overall, these findings demonstrate that the performance of portfolios formed by SFA yield superior performance.

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