定期定值投資績效於不同投資期間與投資時點之探討—以臺股期貨為例

本研究以臺股期貨為標的，探討定期定值投資策略在不同投資期間、不同投資時點、有無交易成本、相較於買進持有投資策略的績效差異。本研究採t檢定法檢測定期定值與買進持有策略的績效是否具顯著差異，績效衡量指標分別為內部報酬率與買進持有年化報酬率。研究期間共25年，自1998年9月16日至2023年9月20日止。實證顯示，定期定值策略在無交易成本情況下，全部投資期間的平均內部報酬率高達12.04%至14.17%；在考量交易成本情況下，各期平均內部報酬率則減少0.38%至1.46%，績效差距隨投資期間增加而降低，但仍可取得11.16%至13.51%的表現。投資期間部分，主要影響定期定值獲利穩定性與績效波動度，定期定值較適用於5年以上的投資期間，投資期間越長越能取得穩定的獲利能力，並可逐期降低績效波動度，投資期間越短則反之。在投資時點部分，投資結束日對績效優劣具關鍵性影響，其影響力高於投資起始日，主因在於投資結束日失去未來損益變動的機會，致使結束時點與績效具直接影響關係，若投資結束日為行情高點則可獲取較佳報酬率，如為行情低點則相反；定期定值在不同情境的績效，由高至低依序為急跌後急漲、連續上漲、急漲後急跌、連續下跌。無交易成本定期定值與買進持有績效比較方面，實證顯示在1%的顯著水準下，除25年投資期間的樣本數僅1筆而無法計算標準差進行檢定之外，其餘24個投資期間的定期定值策略平均報酬率，皆顯著勝過買進持有策略2.4%至4.94%的績效表現，實證亦發現在承擔相似風險條件下，定期定值多可獲取優於買進持有策略3%以上的超額報酬率。

關鍵字

定期定值；定期式投資策略；臺股期貨

並列摘要

This study aims to examine the performance of the Value Averaging (VA) strategy in TX from various aspects, including different investment horizons, investment timing, with or without transaction costs, and the performance compared to the Buy-and-Hold (BH) strategy. The study utilizes Student’s t-test to confirm whether there are significant differences in performance between the VA and BH strategy, with performance metrics respectively measured by IRR and the Buy-and-Hold annualized rate of return. The study covers a 25-year period from September 16, 1998, to September 20, 2023. Evidence indicates that under no transaction costs, the VA strategy yields an average IRR ranging from 12.04% to 14.17% across all investment horizons. Considering transaction costs, the average IRR gradually declines by 0.38% to 1.46% across investment horizons, yet it remains between 11.16% and 13.51%. Investment horizons mainly affect profits stability and performance volatility. Evidence shows that investment horizons exceeding 5 years are more suitable for VA strategy, which exhibit greater stability and reduced volatility compared to shorter investment horizons. Regarding investment timing, the ending date crucially influences performance compared to the starting date because the ending date loses the opportunities to adjust profit and loss statement. Setting the ending date at market peaks results in higher returns, whereas setting it at market lows leads to poorer returns. The VA strategy performs differently across scenarios, ranked from highest to lowest: sharp decline followed by rapid ascent, continuous ascent, rapid ascent followed by sharp decline, and continuous decline. Evidence demonstrates that the VA strategy without transaction costs consistently outperforms the BH strategy by 2.4% to 4.94% in terms of average rate of return across 24 investment horizons at 1% significance level. Under similar risk conditions, the VA strategy achieves excess returns of more than 3% compared to the BH strategy.