改善定期定額投資策略之基金報酬研究-以台灣股票型共同基金為例

The Study of The Fund Return about Imporving Dollar-cost Averaging Strategy - Equity Fund in Taiwan

洪驍毅(Siao-Yi Hong)

指導教授 ： 黃志祥

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2010年)

https://doi.org/10.6827/NFU.2010.00102

摘要

本文主旨在嘗試提出一種指標與方法作為定期定額買進與贖回之決策參考以提高定期定額之報酬績效。先以基本面分析選取總體經濟指標與台灣加權股價指數之相關性分析，再結合技術分析，使用移動平均線判斷相對進出場時機，作為轉換投資策略之參考。研究發現：使用經濟指標轉換投資策略，在股市上漲時，投資報酬率明顯增加與定期定額有相同走勢；在股市下跌時，可減少本金持續虧損及增加流動性其報酬績效優於定期定額。經觀察台灣景氣領先指標綜合指數、美國信用重貼現率與台灣貨幣供給M1B年增率之移動平均線，藉由長短線變動趨勢得出黃金交叉及死亡交叉買賣訊號，判斷進場或贖回點，可獲取較高的報酬績效。

關鍵字

定期定額 ； 經濟指標 ； 轉換投資策略 ； 單根檢定 ； 共整合

並列摘要

This study attempts to provide an indicator and methods to improve the performance of the dollar-cost averaging. Fundamental analysis first, in order to select the macro-economic indicators of the impact of Taiwan's weighted stock index, combined technical analysis, using the moving average to determine the relative into the playing time to convert investment strategy as a reference. This study found: When the stock market goes up, the use of the economic indicators for conversion investment strategy has a marked increase iing; When the stock market goes down, it can reduce the principal continuing lossesn the rate of return on investment, it also has the same trend with the dollar-cost averag and increase liquidity, its performance is superior to the performance of the dollar-cost averaging. The observation of Taiwan's leading indicators, the U.S. credit the discount rate and the Taiwan money supply M1B annual growth rate of the moving average line, by short-term and long-term movements golden cross and death cross trading signals, determine admission or redemption of points can get higher reward performance.

並列關鍵字

dollar-cost averaging ； economic indicators ； convert investment strategy ； unit-root test ； co-integration

參考文獻

賴玉敏，「貨幣供給額與股價因果關係之研究」，風險管理與統計資訊研究所，銘傳大學，2003

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Pye, Gordon, 1971, Minimize Policies for Selling an Asset and Dollar Averaging, Management Science, Vol. 17, NO.7, March, pp. 379-393.

Kritzman, M., 1994, What Practitioners Need to Know-about Time Diversification, Financial Analysts Journal, Jan-Feb, pp. 14-18.

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