改良型定期不定值策略於共同基金投資應用之績效優勢分析與投資模式設計－以台灣股票型基金為例

定期定值式策略的主要特點為使所投資之共同基金定期地增加一特定持有價值，由於基金持有價值會隨投資基金淨值變動而改變，因而在預定之持有價值逐期增長計畫下，每期投資金額即可自動跟隨基金淨值變化作出調整，甚至若當期漲幅可觀超過預定持有價值增長時，還能贖回部分基金單位以收回投資資金，因此，定期定值式策略之投資優勢即為具備定期定額式策略所欠缺的自然調整機制。除了定期定值策略外，本研究主要探討因具有雙重調整機制故投資績效可望更佳的定期不定值策略，其每期投資金額除了自動隨基金淨值變動調整外，亦將根據既設之持有價值調整基準指標而增減變動，如此將更能有效實現「逢高減碼、逢低加碼」投資準則，使得基金平均買進成本可望更低。而且，為了能使定期不定值策略發揮更佳效果，本研究試圖設計出與改良型定期不定值策略搭配運作之最適投資模式，其中，持有價值調整基準指標設計同時納入投資基金淨值變動指標及整體市場面之股價指數乖離變動指標，並檢視不同權重比例設計。本研究選取100檔台灣股票型基金樣本進行長達十五年期間實證研究，藉以驗證本研究提出之定期不定值策略的績效優越性及確認最適投資模式設計。實證結果指出，搭配最適投資模式之定期不定值策略的投資績效大幅優於定期定額式與定期定值策略，並且也略優於僅採單一指標的不定值策略。另外，定期不定值策略應用在中小類股基金時效益最為顯著提升，而且具備在市場多頭期間中增加獲利及空頭期間中減少損失效果。因此，本研究之研究成果與實證發現應可提供基金投資人與資產管理機構重要之實務參考價值。

關鍵字

共同基金；定期定值式投資策略；定期定額式投資策略；基金績效評估

並列摘要

The primary feature of value averaging is to make the invested fund regularly growing a specified holding value. Because holding value will vary with the change in net value of invested fund, investment amount of each period will be automatically adjusted based on net value of that period to meet with the predetermined growth planning for holding value. Partial capital even can be thus withdrawn when the increment of holding value during a certain period exceeds the planned increment for that period. Such a natural adjustment mechanism, which is lacking in the dollar-cost averaging, provides value averaging with investment advantage. Besides value averaging, this study principally investigates variable-value averaging, which is expected to yield a greater investment performance as a result of having in itself dual adjustment mechanisms. Besides the foregoing automatic adjustment in accordance with the net value, investment amount for every period will be further fine-tuned dependent on the specified adjustment benchmark indicator of holding value. Consequently, variable-value averaging could more effectively carry out ＂every high decreasing investment, every low increasing investment＂ investment criteria, and thus is very likely subject to a lower average investing cost. Furthermore, for enabling variable-value averaging to achieve a better effect, this study endeavors to design an optimal investment model, which cooperates with the improved variable-value averaging. To this end, the design for holding value adjusted benchmark indicator simultaneously incorporates both the net value changing index of invested fund and the overall market index that is represented by deviation rate of given stock index. Then, a range of weight ratios between two indices are constructed and examined. To verify the performance dominance of improved variable-value averaging and identify the design of optimal investment mode, this study takes 100 Taiwanese stock funds as the samples to conduct empirical study for the duration of 15 years. Empirical results show that investment performance obtained from the improved variable-value averaging is evidently superior to those from dollar-cost averaging and value averaging, and slightly better than variable-value averaging with using a single net value index. Moreover, the advantage is enlarged when improved variable-value averaging is applied in small-middle stock funds. Also, the improved variable-value averaging can significantly realize the effects of gain enhancement during bullish market and loss reduction during bearish market. In conclusion, the study works and empirical findings here should contribute substantial referable value to fund investors and investment institutions.