共同基金扣款時機、投資策略與報酬率關係之研究

Study on the Relation between Investment Strategies and Performances for Stock-type Mutual Fund

謝依芳(Yi-Fang Hsieh)

指導教授 ： 李錫捷

共同指導教授 ： 盧以詮(Dr. Yi-Chuan Lu)

元智大學/資訊學院/資訊管理學系/碩士(2008年)

摘要

近來全球金融風暴、石油價格持續高漲、通貨膨脹等負面壓力接腫而至，所有民生物資齊聲上漲的影響下，民眾荷包嚴重縮水，經濟負擔較過去加重許多，這些現象，在在提醒社會大眾應該多費心思於其投資理財作為，以獲得更大的經濟效益，方能提昇生活品質。
本論文係針對2002年至2006年此一資料區間國內74檔開放式一般股票型基金歷史資料進行研究，根據扣款日的基金淨值分別計算不同投資策略的績效表現，針對扣款時機、投資策略及其投資報酬率進行分析，歸納結論如下：
就定期定額投資策略而言，報酬率最佳之扣款日主要集中在26、27、28三日，較其它扣款日更有機會獲得較高的投資報酬；就不同投資策略而言，以定期定額為基礎、並結合台灣加權股價指數KD指標變化進行分批買賣，採固定加碼額度的投資策略均較定期定額策略獲得較高投資報酬。在此研究範籌中，參照KD指標變化作為買賣額度的依據，具有提昇股票型基金投資報酬率的功效，唯此為過去績效表現，無法保證未來投資報酬，僅供參考。

關鍵字

基金報酬率 ； 扣款時機 ； 基金投資策略 ； KD指標

並列摘要

While the world suffers from the negative impacts of global financial meltdown, high oil price and inflation, the price of living goods are increasing at the same time. Not only did the people have less money to spend, but also bear a heavier burden. This tells us that people should be more concerned about investing their money in order to obtain greater economic benefits so as to promote their quality of lives.
This research focuses on the historical data of 74 stock-type mutual funds associated with Taiwan Stock Exchange between 2002 and 2006. The results of these mutual funds are evaluated based on how various investment strategies and timing affect the initial investment. The analysis focuses on the variables such as timing of withdraw, the investment strategy, their relationship associated with the Return on Investment (ROI) and has concluded the following statement:
In the strategy of “periodic contribution”, the best date of investment fall on the 26th, 27th and 28th day of each month. The ROI of initial investment on these three dates tends to be higher than money withdrew on other dates. In a different investment strategy, other than employing the concept of “periodic contribution”, the strategies take the stochastic indicators (KD) of Taiwan Stock Exchange Corporation Weighted Index into consideration, investments without set amount receive higher ROI than investments with set amount. In the area of this research, using the variation of KD indicators as the reference to modify the quota while invest in the mutual fund associated with stock market result in higher ROI. However, these results are based on historical data and can not guarantee future investment.

並列關鍵字

Return on Investment of mutual fund ； Timing of investment ； Investment strategy of mutual fund ； Stochastic indicators (KD)

參考文獻

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