臺灣博碩士論文加值系統

因應未來退休基金自選的優化，本文重新檢視共同基金以定期定額投資策略的績效與改善。在同時考慮持有期間風險與報酬的角度下，我們以理論結果證實定期定額的跨時風險分散效果有限，持有期間理論期望報酬率與風險變異數會隨著扣款期數的增加而遞增，因此定期定額並不適合長期持有。據此，我們進而以持有期間報酬率可能變動區間做為擬訂定期定額擇時調整加減碼的策略，結合再平衡的概念來優化定期定額長期累積報酬。實證結果發現，融合再平衡的定期定額策略在長期累積中確實有擇時優化的功能，不僅總部位累積報酬較為穩定(波動風險降低)，且能減少其負報酬發生的頻率；其中，擇時出場仍是影響整體績效表現的關鍵。

In order to respond to the coming new policy and manage individual's self-selected investment portfolio in the defined contribution pension plan, we re-examine the performance and potential improvement of the famous Dollar-Cost-Average (DCA) strategy in mutual fund management. By considering both the risk and the return of the holding-period-return at the same time, we show theoretically that the effect of time diversification from implementing DCA is limited since both the expected holding period return as well as its risk, in terms of volatility, will increase with the holding periods, i.e., the deduction numbers. Therefore, from the perspective of risk, DCA along is not a proper investment strategy for long-term holding. We accordingly suggest to use the possible range of future holding period return and formulate a new timing and rebalancing strategy, on top of the DCA, to optimize the long-term cumulative return via unwinding/reloading to an underlying fund when the holding period return hit the upper/lower bounds. Our empirical results indicate that the proposed strategy can indeed lead to relatively stable cumulative return and reduce the occurrence of realized negative return. The additional timing and rebalancing scheme is effective and as a key to enhance the overall investment performance over the traditional DCA approach.

目錄
頁次
中文摘要 i
ABSTRACT ii
致謝 iii
目錄 iv
表目錄 vi
圖目錄 vi
第一章、緒論 1
1-1研究背景 1
1-2研究動機 3
1-3研究架構 5
第二章、文獻探討 6
2-1定期定額的定義 6
2-2定期定額之相關文獻 6
第三章、研究流程 11
3-1研究架構 11
3-1-1定期定額的投資策略 11
3-1-2 研究資料之選取 12
3-2各項變數的定義與說明 13
3-2-1基金月報酬率 13
3-2-2定期定額持有期間報酬的推估 13
3-2-3定期定額持有期間變異數的推估 15
3-2-4持有期間報酬率可能的變動範圍 16
3-3研究方法 18
3-3-1 研究限制及定期定額的績效觀察 18
3-3-2 以資產再平衡的概念擬定策略 19
第四章、實證結果與分析 22
4-1研究方法之簡述 22
4-2實證結果 23
4-2-1 DCA與Rebalance績效之敘述統計 24
4-2-2 全球型及區域型基金在DCA與Rebalance平均績效 28
4-2-3 DCA與Rebalance 抽樣之個案呈現 30
第五章、結論 40
參考文獻 41
附錄

參考文獻
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