定期定額法與總額投資法績效表現之比較：以海外共同基金為例

A Performance Comparison of Dollar-Cost Averaging with Lump-Sum Investing：The Case of International Mutual Funds

蔡谷彬(Gu-Bin Tsai)

指導教授 ： 李竹芬

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2013年)

https://doi.org/10.6827/NFU.2013.00050

摘要

本研究主要目的在於比較共同基金採定期定額法與總額投資法之投資績效表現。以2001年1月至2012年12月的海外共同基金為樣本，分別比較兩種投資法在不同投資期間單利與複利計算之基金年化報酬率，以及原始報酬率和風險調整後報酬率。此外，本研究亦比較定期定額法與總額投資法，在不同市場景氣狀況下之績效表現。
實證結果顯示，在原始報酬率方面，當定存利率水準在0％至2％時，總額投資法的投資績效高於定期定額法；若將定存利率水準調高至3％至5％時，定期定額法之投資績效則高於總額投資法。而在比較風險調整後報酬率方面，當定存利率水準在1％至5％時，定期定額投資之績效均顯著高於總額投資，故建議保守型的投資人，在定存利率1％以上時，選擇定期定額投資方式是較佳的理財方式。此外，本研究亦發現，當市場在多頭上漲時期，總額投資法的投資績效明顯高於定期定額法；而當市場在空頭下跌時期，定期定額法的投資績效顯著優於總額投資法。

關鍵字

海外共同基金 ； 定期定額法 ； 總額投資法

並列摘要

The purpose of this paper was to compare the performance of mutual funds using dollar-cost averaging (DCA) versus lump-sum (LS) for investing. Using a sample of 21 international mutual funds during the period from January 2001 to December 2012, this study compared the both investment strategies in respect of original and risk-adjusted annualized returns during different investment periods, where simple and compounded returns are calculated for each, respectively. In addition, this paper also compared the performance of the both investment strategies in different economic situations.
The empirical results showed that in respect of the original annualized returns, LS was superior to DCA while interest rates for deposits were 0~2%. If the deposit rates were raised to 3-5%, DCA was better than LS. Besides, in comparison with the risk-adjusted rate of return, DCA obviously outperformed LS while the deposit rates were 1~5%. These results suggested DCA was a better strategy for conservative investors while deposit rates were above 1%. In addition, this study also found that LS was superior to DCA in a bull market. In contarst, DCA was better than LS in a bear market.

並列關鍵字

International Mutual Funds ； Dollar-Cost Averaging ； Lump-Sum

參考文獻

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