Title: 調整風險後定時定額投資與總額投資之績效評估
Performance Evaluation between Dollar-Averaging and Lump-Sum Investing after Risk Adjustment
Authors: 羅時芳
Shih-Fang Lo
Her-Jiun Sheu
Keywords: 定時定額投資;總額投資;平均數-變異數分析;Dollar-Averaging(DA);Lump-Sum Investing(LS);Mean-Variance Analysis
Issue Date: 2000
Abstract: 根據多數投資專家的看法,在投資人已有一筆資金的情況下,應將此筆資金定期規律地投入股市,比如說按月投入,這樣可在價格較低點時買入較多的股數,在價格較高點時買入較少的股數,如此一來,可攤平每股的購入成本。此策略吸引人之處在於投資人可避免將資金在不適當的時機(如股票市場崩跌的前夕)將資金全數投入,而遭致重大損失,這種方法稱為定時定額投資。另外一個相對於定時定額投資的策略是總額投資,即是將一筆資金一次投入股市,毫不遲疑。本研究將採行Rozeff數學推導的觀念,也就是利用調整風險的方法,對台灣股市做模擬實證,所得結果為總額投資之績效優於定時定額投資之績效。
Most financial specialists strongly recommend their customers to put a fixed amount into the security market at regular intervals, such as every month. They argue that the average cost for each unit of security could be reduced since more securities are got when prices are low. This strategy, known as dollar-averaging(DA), is indeed more sensible than trying to time the market and buy when prices dip. An alternative to DA is to invest funds at one time, which is called lump-sum investing(LS). This article presents evidence that the LS policy is superior to the DA policy in Taiwan stock market. The main subtlety involved this demonstration is making the correct risk adjustment derived from Rozeff’s delicate approximation formulas for dollar-averaging and lump-sum policies.
Appears in Collections:Thesis