A Comparison of Dollar-Cost Averaging with Lump-Sum Investing for Mutual Funds

投資共同基金方法之比較：定期定額法與單筆總額法

劉永欽(Yong-Chin Liu)；陳香如(Hsiang-Ju Chen)；劉偉健(Wei-Jian Liu)

定期定額法 ； 單筆總額法 ； 年化報酬率 ； 淨資產價值 ； 開放式股票型基金 ； Dollar-Cost Averaging ； Lump-Sum Investing ； Annualized Return ； Net Asset Value ； Open-End Equity Funds

管理與系統

15卷4期（2008 / 10 / 01）

563 - 590

英文

本文比較兩種投資共同基金方法－定期定額法與單筆總額法－之績效優劣。過去實證研究大多發現單筆投資的績效優於定期定額法，但實務界與投資學書籍卻極力推薦後者。本文認爲過去研究多只考慮短期投資（一年以內），及樣本期間始至股市初期發展階段可能是影響實證結果的關鍵因素，爰以2000/1~2006/5台灣的開放式股票型基金爲樣本，比較兩種方法產生的短、長期（包括一至五年）原始和風險調整後的年化報酬率（每種再分爲單利與複利）之大小，並以數種期間起點的台股指數作穩健性檢定的樣本，統計方法是成對樣本T檢定與無母數檢定。實證發現，長期投資下，定期定額法比單筆總額法有較高的報酬和較低的風險，且隨著投資時間延長，前者的風險愈低、報酬愈高，這可能與淨值波動性較高有關。再者，納入較早期的股市資料確會提高總額法的績效，表示價格走勢是影響兩方法比較結果的因素之一，但即使如此，採定期定額法時，若將尚未投入之資金先投資在無風險資產，則當無風險利率愈低，單筆法可能稍優於定期定額法，但當無風險報酬增加，即使是短期投資，定期定額即優於單筆投資。

This paper empirically compares the performance between Dollar-Cost Averaging (DCA) and Lump-Sum (LS) strategies in mutual fund investment. Most previous empirical studies find LS's performance surpass DCA's; however, the DCA strategy is advocated by many practitioners and long recommended by investment textbooks. This paper conjectures that only short-term investments (short than one year) examined by precedent articles and the simulating horizons containing the early time of stock market development might be the critical factors impacting their empirical results. In this paper, taking open-end equity funds traded in Taiwan from January 2000 to May 2006 as a sample, both the original and risk-adjusted annualized returns, where simple and compounded returns are calculated for each, across short-and long-term (1-5 year horizons) investments by DCA and LS are separately compared using paired-sample t-and nonparametric tests. Also, various beginning times for investing into Taiwan stock index are employed to perform the robustness check. The findings are that DCA possesses higher mean-variance efficiency than LS strategy in the long run. Adopting a DCA policy, the longer the averaging time, the greater the risk declines and terminal wealth increases; the reason may be that the funds' net asset values exhibit relatively higher volatility. Moreover, using the early-era stock prices enhances the LS's performance, revealing the price sequence may be a critical factor. Though the lower risk-free return, where the total amount is initially invested in this return and then gradually shifted to mutual funds in equal monthly installments by DCA, probably decreases DCA's performance and leads to LS slightly beating DCA, as that return boosts, DCA will outperform LS even if in the short term.

1. Abeysekera, S. P.,Rosenbloom, E. S.(2000).A Simulation Model between Lump Sum and Dollar-Cost Averaging.Journal of Financial Planning,13(6),86-96.
2. Atra, R. J.,Mann, T. L.(2001).Dollar-Cost Averaging and Seasonality: Some International Evidence.Journal of Financial Planning,14(7),98-103.
3. Bacon, P. W.,Williams, R. E. Ainina, M. F.(1997).Does Dollar-Cost Averaging Work for Bonds?.Journal of Financial Planning,10(3),78-80.
4. Bierman, Jr., H.,Hass, J. E.(2004).Dollar-Cost Averaging.Journal of Investing,13(4),21-24.
5. Constantinides, G. M.(1979).A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy.Journal of Financial and Quantitative Analysis,14(2),443-450.
6. Dubil, R.(2005).Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction.Journal of Financial Planning,18(10),86-90.
7. Edleson, M. E.(1988).Value Averaging: A New Approach to Accumulation.American Association of Individual Investors Journal,11-14.
8. Goodman, J. E.,Bloch, S.(1994).Everyone`s Money Book.Chicago:Dearborn Financial.
9. Huang, J.-J.(2002).Empirical Study on Time Diversification Effect: The Cases of Major International Stock Markets.Graduate School of Business Administration, National Taiwan University of Science and Technology.
10. Huang, J.-Y.(1998).Empirical Study on Investment Horizontal Effect in Taiwan Stock Market.Graduate School of Business, National Taiwan University.
11. Israelsen, C. L.(1999).Lump Sums Take Their Lumps.Financial Planning,29(1),51-56.
12. Knight, J. R.,Mandell, L.(1993).Nobody Gains from Dollar-Cost Averaging: Analytical, Numerical and Empirical Results.Financial Services Review,2(1),51-61.
13. Leggio, K. B.,Lien, D.(2003).An Empirical Examination of the Effectiveness of Dollar-Cost Averaging Using Downside Risk Performance Measures.Journal of Economics and Finance,27(2),211-223.
14. Leggio, K. B.,Lien, D.(2001).Does Loss Aversion Explain Dollar-Cost Averaging?.Financial Services Review,10(1-4),117-127.
15. Li, H.-L.(2004).A Study of Performance from Different Investment Strategies of Mutual Funds.Graduate School of Business Administration, Shin Chien University.
16. Lin, C.-J.(1997).Empirical Study on the Relationship Between Investment Horizon and Risk Diversification.Graduate School of Finance, National Taiwan University.
17. Lo, S.-F.(2001).Performance Evaluation between Dollar-Averaging and Lump-Sum Investing after Risk Adjustment.Institute of Business and Management, National Chiao Tung University.
18. Lopes, L.,J. B. Meyer (Eds.)(1995).The Psychology of Learning and Motivation.New York:Academic Press.
19. Malkiel, B. G.(1999).A Random Walk Down Wall Street.New York:W.W. Norton & Company.
20. Milevsky, M. A.,Posner, S. E.(2003).A Continuous-Time Reexamination of Dollar-Cost Averaging.International Journal of Theoretical and Applied Finance,6(2),173-194.
21. Olsen, R. A.,Khaki, M.(1998).Risk, Rationality, and Time Diversification.Financial Analysts Journal,54(5),58-63.
22. Pye, G.(1971).Minimax Policies for Selling an Asset and Dollar Averaging.Management Science,17(7),379-393.
23. Rozeff, M. S.(1994).Lump-Sum Investing Versus Dollar Averaging.Journal of Portfolio Management,20(2),45-50.
24. Smith, R. K.,Proffitt, D. L.,Stephens, A. A.(1992).Investment.USA:West Publishing Company.
25. Statman, M.(1995).A Behavioral Framework for Dollar-Cost Averaging.Journal of Portfolio Management,22(1),70-78.
26. Williams, R. E.,Bacon, P. W.(1993).Lump Sum Beats Dollar-Cost Averaging.Journal of Financial Planning,6(2),64-67.
27. Yates, F.(1992).Risk Taking Behavior.New York:John Wiley & Sons.
28. Zhang, B.-H.(2001).Empirical Study on the Characteristics and Performance of Dollar-Cost Averaging Investments.Graduate School of Business Administration, National Cheng Kung University.

1. 戴維成,黃明官(2018)。改良型定期不定值策略於共同基金投資應用之績效優勢分析與投資模式設計－以台灣股票型基金為例。商管科技季刊，19(1)，101-142。
2. 許溪南、何怡滿、朱盈儒(2013)。整筆投資與定期定額投資績效之比較─Sharpe Ratio 、 Sortino Ratio 、 Upside Potential Ratio之應用。企業管理學報，98，49-76。
3. 黃明官,張婉琪,馬珂(2019)。個別股票定期式投資策略之應用方法與實證績效探討－以台灣股票市場為例。商略學報，11(4)，307-334。
4. 黃明官、馬珂、李啟維、李東鄅(2017)。共同基金定期定值式投資策略之績效優勢分析與最適應用情境探討：以台灣股票型基金為例。商略學報，9(4)，233-256。
5. 黃明官、馬珂、呂晏菁(2013)。指數股票型基金最適定期式計量投資模式之探討─以台灣五十 ETF 為例。商略學報，5(3)，203-227。
6. 劉海清、傅英芬(2014)。基金規模與投資績效－投資方式之觀點。中原企管評論，12(2)，51-70。
7. 羅仙法、高惠娟(2014)。考慮停利損下配置型投資策略之探討:以台股指數型基金為例。管理與系統，21(4)，607-639。