定期定額投資共同基金績效指標之研究

本研究使用移動視窗法：取樣期間為2002年到2013年臺灣的股票型基金，先以單因子變異數分析及相關性分析方法找出各項績效指標與定期定額投資共同基金之報酬率的相關性，找出定期定額投資基金的最佳指標，再將各項指標分別作為投資基金篩選的標準，以找出挑選定期定額投資基金的最佳指標法則。實證結果顯示夏普比率與三年單筆投資報酬率與定期定額未來報酬率呈現顯著負相關，與大多數文獻相左。最佳篩選基金法則為SRS法則；即先找出夏普比率較低的基金族群，在此族群中再挑出三年投資報酬率較低的，最後再篩選標準差較高的族群，依此法則所篩選出的基金之平均報酬率最佳。因此，本研究認為目前許多理財專家所推薦定期定額投資挑選基金的方式有需要檢討與修正，才能幫助一般投資者有更好的投資報酬率。

關鍵字

夏普比率； β係數；標準差；移動視窗法；績效

並列摘要

The study applied moving window method to survey the Dollar-Cost Averaging in Taiwan stock mutual funds performances from year 2002 to 2013. By using ANOVA analysis and correlation analysis to identify the relationship between mutual fund performances and the indicators, the most relevant indicators were chosen to form the best decision rules. The results were as follows; 1. Different from some other research, the correlation between DCA performances and sharp ratio or 3-year returns was negative. 2. The SRS rule could be the proper rule to choose mutual funds with DCA strategies. The first indicator S was to find the funds with lower sharp ratios in the fund groups, the second indicator R was to pick the lower 3-year returns among the lower sharp ratio funds. The final indicators S were to select the funds with higher standard deviation. According the analysis results, it seems that the funds selecting rules those financial experts suggested investors to follow nowadays might need to modify to achieve better returns.