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

Performance Advantage Analysis and Optimal Application Situations Exploration for Mutual Funds with Using Value Averaging: Evidences from Taiwanese Stock-Type Funds

10.3966/207321472017120904001

黃明官(Ming-Guan Huang)；馬珂(Ke Ma)；李東鄅(Dung-Yu Lee)；李啟維(Ci-Wei Lee)

共同基金 ； 定期定值式策略 ； 定期定額式策略 ； 基金績效評估 ； Mutual Funds ； Value Averaging ； Dollar-Cost Averaging ； Funds Performance Evaluation

商略學報

9卷4期（2017 / 12 / 01）

233 - 256

繁體中文

定值式投資策略之核心構想為使所投資之共同基金定期增加一特定持有價值，由於持有價值會依隨基金淨值變動，使得每期投資金額將跟隨市場行情變動而自然地調整，甚至倘若當期之持有價值增加額超過預定持有價值增加額時，還能收回部分投資資金，因此，定值式投資策略不但有資金投入機制，且亦有資金回收機制。因而可預期在定值式投資策略應用之下，將可更有效落實「逢高減碼、逢低加碼」之投資法則，使得基金單位之平均買進成本可望更為降低，進而可能獲得較傳統定額式策略更為優異的投資報酬。本研究除了說明定值式投資策略之投資原理與構想外，並以台灣投信公司所發行101檔股票型共同基金為實證研究對象，進行長達十五年期間定值式投資策略(定期定值與定期不定值策略)與定額式投資策略(定期定額與定期不定額策略)之投資績效優勢的評比與分析。同時，本研究進一步實證探討定值式投資策略在不同市場趨勢、扣款方式及基金類型與風格特質等特定應用情境下之投資績效是否存在顯著差異。實證結果指出，在絕大部分情況下，定值式投資策略風險調整前與後之投資績效確實皆顯著優於定額式投資策略，尤其以定期不定值投資策略之投資績效表現最為優異。另一方面，在應用情境檢測中，發現定值式投資策略特別適用於中長期投資及小型科技類股基金，另外，成長型基金績效優於價值型基金，且在多頭市場趨勢中具有提升獲利效果，在空頭市場趨勢中具有降低損失效果，同時搭配較佳的扣款(投資)方式確可更進一步提高共同基金之投資報酬。

The core concept of value averaging is to periodically increase a particular amount in value for invested mutual funds. Moreover, when value averaging is adopted, the investing amount of each period varies with changing in market conditions and partial investment funds even can be withdrawn in certain circumstances. Accordingly, with using value averaging the average investing cost per fund unit can further reduce, and thus is expected to yield more excellent returns than those resulted from dollar-cost averaging strategy. To this end, this study conducts an empirical study that compares and analyzes the investment performances between value averaging strategy and dollar-cost averaging strategy based on Taiwanese stock mutual funds. Sharpe ratio and Sortino ratio are also taken here as the risk adjusted evaluation indexes. The empirical results show that as expected, the investment performance acquired from value averaging strategy is significantly superior to dollar-cost averaging strategy, especially applying in small-high-tech stock mutual funds with middle and long-term investment. Moreover, market trend, investment style and investing manner selection also comparably influences investment performances. In summary, value averaging strategy indeed is helpful to boost the investment performance and capital return of stock mutual funds. Meantime, the unfixed value averaging strategy is most excellent in performance than other three strategies. Moreover, its performance will be further improved if a better investing mode is arranged in pairs. Besides, performance of growth funds surpasses that of value funds when using value averaging strategy. It is also found that the effects of gain enhancing under bullish market and loss reducing under bearish market trend are provided when value averaging strategy is adopted. This study work found here should be capable of providing fund investors and assets management institutes with a better investment strategy selection.

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