多元投資策略之實證研究-以共同基金與指數股票型基金為例

A study on Diversified Investment Strategies - Taking Mutual Funds and Exchange-Traded Funds, an Example

陳龍顏(Lung-Yen Chen)

指導教授 ： 柯俊禎 ； 張阜民

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本研究主要是研究在眾多的投資策略中，尋找較有機會獲利的投資策略。我們挑選目前最熱門的5個市場，分別為「全球股票型基金」、「全球新興市場股票型基金」、「拉丁美洲股票型基金」、「中國股票型基金」、「台灣股票型基金」等，這些均成立4年以上，共有68檔符合條件之基金的衡量，在於深入研究共同基金管理者與投資者的操作策略與績效的關係。
我們的「多元投資策略」包含：單筆投資（Buy and hold）、定期定額、定期不定額及不同獲利比率之獲利確保投資策略等等，其績效表現是否能超越benchmark MSCI指數並且具有持續性，以實證了解何者為最適化之投資策略。
實證結果發現在所選定的68檔基金中(1)投資期間為獲利確保投資策略為最佳之投資方法，其次為定期不定額及傳統定時定額投資法，最後才是單筆投資法。(2)投資期間為投資全球股票市場者，應採較低之停利點，但以不超過25%為原則；投資全球新興、拉丁美洲、中國、台灣股票市場者，可採較高之停利點，但以不超過45%為原則。(3)整體而言，投資期間獲利確保投資策略之最佳的利停點為20%，其次為10%，再者25%~50%。

關鍵字

定期不定額 ； 單筆投資 ； 定期定額 ； 股票型基金 ； 共同基金

並列摘要

This study is the research on many investment strategies, and looking for any possible opportunities from profitable investment strategy. We selected the five most popular market, namely the "Global Equity Fund", "Global Emerging Markets Equity Fund", "Latin America Equity Fund", "China Equity Fund", "Taiwan Equity Fund", etc. these funds are issued more than four years,the 68 kinds of funds are eligible to measure, an in-depth study between mutual fund managers and investors operating strategies and performance relationship.

Our "multiple investment strategies," including for example: single investment (Buy and hold), at fixed, regular is not fixed, profits and other investment strategies to ensure a total of 12 species, whether the performance of their performance beyond the benchmark MSCI index and a continuing nature, to understand what is the empirical optimization of the investment strategy.

Empirical results show that the 68 files in the selected fund (1) investment earnings during the investment strategy to ensure the best investment approach, followed by regularly scheduled non-traditional fixed and fixed investment law, and finally single investment law. (2) The investment period is to invest in global equity markets, should adopt a lower stop point of interest, but the baseline of no more than 25%; as to invest in global emerging, such as Latin America, China, Taiwan stock market, could be taken to stop higher interest points, but not more than 45% of the baseline. (3) Overall, the investment earnings during the investment strategy to ensure the best interests of the stopping point at 20%, followed at 10%, finally among 25% to 50%.

並列關鍵字

stock funds ； mutual funds ； single investment ； at fixed ； regular is not fixed

參考文獻

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