- 學位論文
四四三三與五十五十基金挑選法則之比較－以境內大型基金為例
The Comparison of 4433-Rule and 5050-Rule－An Analysis of Large-Cap Onshore Funds
摘要
定期定額投資為目前大眾所喜愛的基金投資方式之一，因此也吸引許多學者投入其理論面與實務面的相關研究工作，而如何篩選出適合的投資標的也是常被提出討論之問題。本研究的主要目的為比較四四三三法則及五十五十法則所篩選出之基金的績效優劣，並嘗試探討若是將此兩種篩選條件結合使篩選條件更嚴苛，此篩選方法下所選出之基金是否表現較佳。研究結果發現，對於境內大型市場基金而言，四四三三法則所篩選出的基金績效表現較佳，除此之外，本研究使用績效二分法來驗證各篩選出的基金其排名是否有持續性，數值結果顯示各基金績效跳動穩定，有弱者恆弱之特性。此外，若是基金績效表現較佳之基金，採取設定投資年限長期投資之方式，所得到的投資報酬率較停利策略佳，但相對所需要之投資本金也很高，對於一般小額投資人而言，停利策略的投資負擔較小，資金流動性也較佳。
並列摘要
Recently, dollar-cost averaging strategy has become a major investment approach of mutual funds. Many researchers have devoted to the theoretical part and practical part of dollar-cost averaging strategy. In addition, how to filter out suitable investment target is often discussed. The main purpose of this study is to compare the performance of various funds that filter out by 4433-rule and 5050 rule. Moreover, we also analyze the performance of funds that filter out by both 4433-rule and 5050 rule simultaneously. For large-cap onshore funds, numerical results show that, funds by 4433-rule perform better. Additionally, in this thesis, we applied the "winner-winner, winner-loser" methodology to verify whether the ranking of funds possesses the property of persistency. Numerical results show that the performance of funds are stable, that is, the weaker funds in the past are still weak. Besides, in this thesis, we find that it is better to adopt the long-term investment strategy to obtain more profits for stronger funds.