投資定時定額策略與經濟指標選取之關係研究 －以台灣股票型共同基金為例

Regular dollar-cost averaging strategy and indicator selection - Taiwan stock mutual funds as an example

蕭信宏(Shin-Hong Shiau)

指導教授 ： 陳明璋

共同指導教授 ： 林泉源

國立臺北大學/商學院/企業管理學系/碩士(2008年)

摘要

共同基金是現在最普遍的投資商品，投資人利用商品的選擇投資，希望達到各項理財目標，本研究除了簡介共同基金的投資方式、投資優缺點及風險外，當投資人遇到市場環境不佳使預期報酬不理想時，可以利用本研究提出的定時定額投資改善的方法，及轉換投資策略的運用，以解決績效不明顯問題。
　　本研究主要目的，是提供投資人改善定時定額投資的方法，選取較有效率的經濟指標，做為未來轉換投資策略的決策依據，提昇長期的投資報酬率。研究方向注重實務應用的效果，方法是採用資料統計實證探討的方式，從台灣股票市場，分析經濟指標數據與股市的相關性，再藉由共同基金定時定額的投資方法結果，決定選取的參考指標。
　　研究的結論，發現狀似階梯上升的投資績效走勢型態，定義為「階梯曲線」，效果以「景氣領先指標6個月平滑化年變動率」經濟指標的轉換投資策略最佳，研究結果，可以提供理財投資人做為改善共同基金投資效益方法的參考。建議後續研究者，在經濟指標的暫停投資期間，可以運用本研究方法選取其他國內基金或海外基金商品替代轉換，以增加使用轉換投資策略的預期投資效果。

關鍵字

經濟指標 ； 定時定額 ； 轉換投資策略 ； 共同基金

並列摘要

Mutual funds are currently the most common investment products; investors use selection and investment of products in hopes of reaching various financial management goals. This study not only introduces the investment methods, advantages and disadvantages, and risks of mutual funds. When investors do not reach expected returns when the market is not good, they can use the method of regular dollar-cost averaging in this study, and to change investment strategies to resolve the problem of unclear investment performance.
　　The primary purpose of this study is to allow investors to improve upon the method of regular dollar-cost averaging to select more efficient economic indicators as decision-making bases for changing investment strategies in the future to enhance long term returns for investment. The study emphasizes the efficacy of practical application, using empirical data statistics to analyze the correlation between economic indicator data and the stock market of Taiwan. Then, this study uses changing investment strategies via regular dollar-cost averaging of mutual funds to determine selection of economic indicators to be considered in investment.
　　The conclusion of this study discovers that there is a investment performance curve shape similar to steps, which is named “the step curve,” and the effect of changing investment strategies of the “economic indicator leading six-month smoothed annualized rate” economic indicator is best. The results of this study can be provided to investors as a reference for improving mutual funds investment performance. It is suggested to future researchers that during investment hiatuses in domestic economic indicators, they can use other research methods to transfer investment to other domestic funds or foreign fund products, to increase the expected investment returns by changing investment strategies.

並列關鍵字

economic indicators ； regular dollar-cost averaging ； mutual funds ； changing investment strategies

參考文獻

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