共同基金投資方法之比較：定期定額與單筆投資

The Comparison of Returns on Mutual Funds Investment Approaches: Dollar-Cost Averaging and Lump Sum

劉偉健(WEI-CHIEN LIU)

指導教授 ： 劉永欽

亞洲大學/管理學院/國際企業學系碩士班/碩士(2006年)

摘要

本研究旨在比較共同基金投資方法—定期定額法與單筆總額法—之績效，及驗證實務界常用的趨勢倍數指標在定期定額投資之有效性。以2000年1月至2006年4月之229檔股票型基金為樣本，蒐集每月第一個交易日的淨值，資料取自台灣經濟新報資料庫(TEJ DATA BANK)共同基金資料模組。並設定不同投資期限，包括3個月、6個月、1、2、…及5年等七種。再利用這些月淨值資料，分別計算單利與複利月報酬，以進行兩投資方法之績效比較檢定(t檢定與無母數檢定)，績效指標除原始報酬外，尚考慮調整風險後之報酬。無論是t檢定與無母數檢定單筆投資法與定期定額法兩者之績效，結果發現當投資期限短，定期定額法之績效報酬仍有可能低於單筆投資；而隨著投資期限愈長，定期定額法明顯優於單筆投資之績效。再者，分別計算不同時間長度的趨勢倍數大於1與未大於1時，基金報酬為正值之比率，以判斷利用該指標於定期定額投資是否能提高獲取正報酬之機會。結果指出，定期定額法確如一般觀念，以長期投資的績效較佳，且優於單筆投資之報酬。趨勢倍數於定期定額投資之應用，有效性不高，只要長期投資，不參考趨勢倍數也能獲得可觀的正報酬。

關鍵字

定期定額 ； 總額投資 ； 趨勢倍數 ； 開放型共同基金 ； 封閉型共同基金

並列摘要

The purpose of this research is first focused on comparing the performance of mutual funds’ investment approaches, the dollar-cost averaging and lump-sum approaches. Moreover, this study attempts to test whether the trend time is effective or not, where the trend time is often used by dollar-cost averaging approach and suggests that the investment should be done when the times surpass 1. The sample is 229 equity funds. The research periods are from January in 2000 to April in 2006.
This study collects the net asset value of funds on the first trading day every month. The data is acquired from the mutual models in the Taiwan Economic Journal Data Bank, TEJ. I set seven different investment horizons, which is included three months, six months, one year ,…, and five years.
This study sets up different investment horizons and computes the single returns and compounded returns on fund investment for each month. For dollar-cost averaging, the returns of the free cash on time deposits are incorporated. The t- and non-parametric tests for paired observations are employed to compare the return series between two investment approaches. The performance indices included not only the original returns but also the risk-adjusted returns. No matter I use the t- and non-parametric tests for paired observations to test returns between lump sum and dollar-cost averaging, the finding is that lump sum probably beats dollar-cost averaging when the investment horizon is short. As the investment horizons extend, the dollar-cost averaging obviously beats lump sum. Additionally, to determine whether the trend time is effective, this study also computes the probabilities of positive returns when the trend times, calculated using past 6, 12 and 24 months’ net asset values of funds, are above 1 and are not larger than 1, respectively.
The conclusion indicates that the dollar-cost averaging works well in the long run, as we know, it is better than the lump sum. The trend time applied to the dollar-cost averaging is not effective because we can also gain considerable positive returns, even not according to the rule when the trend time is larger than 1.

並列關鍵字

Dollar-Cost Averaging ； Lump Sum ； Trend Time ； Open-End Fund ； Closed-End Fund

參考文獻

Constantinides, G. M. 1979, A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy, Journal of Financial and Quantitative Analysis, Vo1.14, NO.2 June, pp. 443-450.

Jensen, M. C., 1968, The performance of Mutual Funds in the Period 1945-64, Journal of Finance, Vol. 23, pp. 389-416.

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

Leggio, Karyl B. and Donald Lien, 2001, Does loss aversion explain dollar-cost averaging? Financial Services Review 10, pp. 117-127.

Leggio, Karyl B. and Donald Lien, 2003, An Empirical Examination of the Effectiveness of Dollar-Cost Averaging Using Downside Risk Performance Measures, Journal of Economics and Finance, Vol. 27, NO.2, pp. 211-223.