論文題目:共同基金投資方法之風險與績效研究: 論文頁數: 58 定期定額、定期不定額與單筆總額投資之比較 所 組 別: 國際財務金融碩士在職專班 (學號: 710190908 ) 研 究 生:莊 麗 蕙 指導教授: 陳 達 新 博士 論文提要內容: 台灣民眾面對薪資停滯、房價高漲、人口結構老化等問題,「理財」已是必要的選項,而共同基金投資已普遍成為民眾增加收入的理財工具之一。因此本研究企望經由分析單筆總額、定期定額及定期不定額之投資績效差異,找出最適投資方法及市場之趨勢,以提供投資人參酌之用。 本研究選取65檔國內一般型股票基金為樣本,自Lipper系統資料庫選取自2004年1月2日至2013年12月31日間合計10年之基金淨值,以其每日平均淨值作為成本基礎,並為避免偏誤,移動投入時點取得各投資報酬率。驗證方法以單因子變異數分析及成偶檢定(t檢定)為主,分析一、二、三及五年期之投資績效差異及適合之股票市場趨勢。 本研究結果如下: 一、 投資期間為一、二、三年及五年期時,三種方法之投資績效均有顯著差異,以單筆總額最佳、定期定額次之、定期定額最差,但單筆總額的投資風險也最高。此外,此三種方法均顯現投資期間越長、報酬率越高的趨勢,但當增長為五年期時,則僅定期不定額維持上升趨勢,且其投資風險收斂至低於一年期。 二、 股票市場下跌趨勢時,定期不定額及定期定額均具抗跌性,單筆總額則最差;股票市場上漲、盤整或混合趨勢時,績效排序仍以單筆總額為佳,定期定額最差。 三、 單筆總額投資較適合可承受較高風險之積極型投資人,定期定額或定期不定額則較適合穩健型投資人。 關鍵字:共同基金、單筆總額、定期定額、定期不定額、變異數分析。
ABSTRACT A STUDY ON RISK AND RETURN OF MUTUAL FUND INVESTMENT APPROACHES:COMPARISON AMONG DOLLAR-COST AVERAGING, DOLLAR-VALUE AVERAGING AND LUMP-SUM INVESTING by CHUANG, LI-HUI June 2014 ADVISOR(S):DR. CHEN, DAR-HSIN DEPARTMENT:EXECUTIVE MASTER OF BUSINESS ADMINISTRATION IN INTERNATIONAL FINANCE MAJOR:INTERNATIONAL FINANCE DEGREE:MASTER OF BUSINESS ADMINISTRATION Since that people in Taiwan confront various economic problems such as cease moving of salary, price increases for house rapidly, aging population and so on. To manage finances for people become a necessary option for gaining more income. Based on this concern, the investment of mutual fund has popularly become one of finances tools to increase the income. Therefore this study tries to find the most efficient way of mutual fund investment for investors, by means of analyzes the risk and return of adopting Lump-Sum Investing, Dollar-Cost Averaging and Dollar-Value Averaging respectively. The 65 domestic general equity funds are selected to be target funds for this study, and these funds’ daily NAV sourced from Lipper system for the period from Jan. 2nd, 2004 to Dec. 31st, 2013 are also adopted to be cost basis. In order to avoid any deviation, the fund investments are assumed to plunge by moving backward day after day and calculate return for each investment accordingly. The main methodology of this research are One-Way ANOVA and t test for comparing the variance of investment return for the period of 1, 2, 3 and 5 years and for finding the suitable market trends. The analysis results are listed below: 1. The variances of investment return among Lump-Sum Investment, Dollar-Cost Averaging and Dollar-Value Averaging are obviously different for the investment period of 1, 2, 3, and 5 years. LS is the best one, DVA is the second and DCA is the worst in ranking. But LS is also the most risky one relatively. In additions, the evidences proof that these 3 methods could get more return if keep longer investment period. But there is only DVA keeps upward return while the investment period is extended to 5 years and the risk is also lower than the period of 1 year. 2. In declining market trend, both DVA and DCA present anti-fall nature. LS is in poor performance compared with DVA and DCA. While the market is in rising, correcting trend or the mixed trend including declining, rising and correcting trends, the return of LS is still the best one and DCA is the worst one in ranking. 3. LS should be suitable for aggressive investors who are able to stand for more risk. And for conservative investors, DVA or DCA should be the better choice for mutual fund investment. Key-words:Mutual Funds, Lump-Sum Investing, Dollar-Cost Averaging, Dollar-Value Averaging, One-Way ANOVA.
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