個別股票定期式投資策略之應用方法與實證績效探討－以台灣股票市場為例

本研究聚焦在探討個別股票之定期式投資策略。除了探究定期定額、定期定量及定期定值三種策略外，由於先前研究指出不定額策略優於定額策略，因此，本研究另行探討定期不定額、定期不定量與定期不定值策略，並且設計依據投資標的價格變動結合市場乖離狀況的每期額度調整指標。其中，本研究特別側重在新進發展之定值式策略，由於投資標的之持有價值隨其市場價格變動而改變，因而在每期預設之價值增幅下，投資金額即會根據投資標的價格變動而自動調整，進一步強化「逢高減碼、逢低加碼」優勢，故可合理預期定值式策略應有較低的單位平均買進成本，進而獲致較為優異的投資績效。本研究除了詳盡解說六種定期式策略之應用方法外，並以台灣50指數與中型100指數的成分股票，以及指數股票型基金（ETF）作為實證對象，進行六種定期式策略投資績效之比較與分析，另外，也試圖找出不同指數成分股及產業類型股票適用的定期式策略。實證結果顯示六種定期式策略之投資績效確實存在明顯差異，而且一如預期者，定值式策略在長期投資中最有助於提升投資績效，而定期不定值策略表現尤其優異，並且最適合應用於台灣中型100指數成分股及資訊科技與傳統產業類股的中長期投資。

關鍵字

個別股票定期投資；定期定額式策略；定期定量式策略；定期定值式策略

並列摘要

This study focuses on the periodic investment of individual stock. Presently, there are three types of averaging strategies that have been proposed, including dollar-cost averaging, quantity averaging and value averaging. Additionally, the most previous studies indicate that the unfixed dollar-cost averaging is superior to the dollar-cost averaging, therefore, the unfixed dollar-cost averaging, the unfixed quantity averaging and unfixed value averaging are also examined. Moreover, an improved investment approach, which associates with market derivation index, for these three unfixed strategies is proposed herein. This study particularly puts emphasis on the value averaging, which is developed and proposed recently. Value averaging is to increase a specified holding value during each period for given invested asset. Because the holding value will vary with the change of market price of the invested asset, the value averaging will further strengthen the advantage of ＂buy less at a high price, buy more at a low price＂. Consequently, it is supposed to expect that the value averaging will get a lower average purchasing cost, and thus can yield a better investment performance. Besides explaining the application methods for six averaging strategies, this study takes those stocks, which comprise Taiwan 50 and Taiwan medium-sized 100 indices, and the exchange traded funds (ETF) as empirical sample to compare and analyze the investment performance among six averaging strategies. The purpose of empirical study is to find out the averaging strategies, which are suitable for different index and sector types of stocks. The empirical results show that there are significant differences among the investment performance obtained from six averaging strategies. Moreover, as expected, the value averaging can help increasing the most investment performance over a middle-long term investment. The resulting performance using unfixed value averaging is particularly exceptional, and is more suitable to be applied in those stocks that belong to Taiwan medium-sized 100 index, and the information technology (IT) and traditional sectors.