指數型基金定時不定額及動態加碼紀律投資策略之研究－台灣50(0050.TT)為例

本研究針對台灣金融投資環境現況及發展趨勢，來探討指數型基金在景氣循環及外界突發金融變化下，如何利用紀律投資之策略，來降低投資因心理因素所造成常見之不理性行為，並以其紀律性達成獲利之策略，本研究藉由探討常見之定時不定額投資策略加以強化修正，加入向下加碼之機制，透過台灣50作為研究對象，採用各種策略評估架構，以歷史交易價格模擬交易策略，以總報酬率、年化報酬率、標交易日之波動度計算標準差、無風險利率、夏普值、T檢定等統計檢定，建立本研究分析架構，歸納出不同交易模式之重要相關因素，以提供金融市場參與者投資工具選項，歸納結論如下：一、紀律投資有效的屏除投資心理障礙，在正常景氣循環及金融環境發生重大變化時產生功效，有效縮短投資時間進而實現獲利，應予以重視。二、以台灣50作為分析研究對象下--「定時不定額及向下加碼紀律投資策略」，分析金融風暴前後，適合選擇以此研究之策略作為投資特定策略。

關鍵字

指數基金定時不定額；動態加碼；紀律投資策略

並列摘要

Based on the Taiwanese investment environment and trends, this research will discuss how to use exchange traded funds (ETF) and disciplined investment strategy to eliminate the irrational investment behavior caused by psychological issues in changing economic circumstances. This research is aiming to improve the ‘value-averaging’ strategy to make profit, which is a regular investment plan with different amount of money in each time, and dynamically increase the amount of purchase in particular situation. Through historical price of Taiwan Top 50 Index, the research will analyze total returns, annual returns, standard deviations, risk free rates, sharp ratios, and statistic T-test…etc. from different trading strategy and recognize the critical issues for each strategy in order to provide the useful selective tools for financial market investors. The analysis leads to two conclusions: firstly, disciplined investment strategy can eliminate the psychological issues and help generating profit no matter how the economy changes; and secondly, based on Taiwan Top 50 Index, the improved value-averaging strategy plus disciplined investment strategy is an ideal strategy to make profit when there is any huge economic changes like global financial crisis (GFC).

並列關鍵字

ETF value-averaging ； dynamic investment strategy ； disciplined investment strategy

參考文獻

11. 瀏海清、傅英芬(2010)，處分效果、紀律投資與股價趨勢，東吳大學經紀商學學

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指數型基金定時不定額及動態加碼紀律投資策略之研究－台灣50(0050.TT)為例

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