定期定額與單筆投資之績效評估—蒙地卡羅模擬分析

Simulation Analysis of Lump-sun Investing and Dollar-Cost Averaging

10.29963/TOJEB.201006.0003

秦銘璟(Ming-Chin Chin)；余威廷(Wei-Ting Yu)；楊絲婷(Shih-Ting Yang)

共同基金 ； 定期定額投資 ； 單筆投資 ； 蒙地卡羅模擬 ； Mutual Fund ； Monte Carlo simulation ； Dollar-Cost Averaging Investment ； Lump Sum Investment

真理財經學報

22期（2010 / 06 / 01）

67 - 86

繁體中文

本文以蒙地卡羅模擬方法比較股票型共同基金投資策略—定期定額法與單筆投資法—之績效。以1989年1月至2008年12月共20年的台灣加權股價指數和及美國S&P500指數的月資料為模擬背景，各自模擬1000筆20年的股價指數變動。進而依多空頭買賣時機和不同持有投資期間共十六種情況計算定期定額投資和單筆投資的年化投資報酬率，並以t檢定檢驗其顯著的差異。模擬結果顯示：當投資時機為多頭買進時，不論賣出時機為何，單筆投資的短期績效較好。但隨著持有期間延長，定期定額長期績效表現較佳，證明其分攤風險、降低平均成本的優勢。另當投資時機為空頭時，不論賣出時機與持有長短期，均以定期定額表現較佳。

This research is based on Monte Carlo simulation method to compare mutual funds investment strategies in stock markets- Dollar-cost averaging investment and Lump Sum investment. Data was collected monthly from January 1989 to December 2008, both Taiwan Capitalization Weighted Stock Index and American's S & P 500 index for back ground. Each simulates generates 1000 stock prices for simulation. During investment period of buying and selling there are total of 16 scenarios to calculate the annual rate of return for both Dollar-cost averaging investment and lump sum investment. Also we certify testing the effectiveness of difference. The result shows that a lump-sum investment has better performance in a short term among some scenarios. However, as the investment period increased, Dollar-cost averaging investing has better performance because it has the advantages of diversification and lower average prices.

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