基金單筆投資與定期定額投資之比較分析

An Analysis of the Lump Sum and Dollar-Cost Averaging Investments for Mutual Funds

10.6338/JDA.201502_10(1).0003

李顯儀(Hsien-Yi Lee)；陳信宏(Hsin-Hung Chen)；鄭凱文(Kevin Zheng)

共同基金 ； 單筆總額投資 ； 定期定額投資 ； Mutual fund ； Lump sum investing ； Dollar-cost averaging investing

Journal of Data Analysis

10卷1期（2015 / 02 / 01）

29 - 49

繁體中文

本文主要研究目的旨於探討台灣金鑽獎傑出基金之單筆與定期定額投資績效之比較。本研究以2004至2013年，共十年之基金資料做為研究期間，共選出88支金鑽獎獲獎基金為研究樣本。研究投資期限包括 一年、三年、五年、十年等四種不同的期間，以避免績效比較結果僅侷限於特定投資期限，並提高研究結果穩健性。本研究透過成對樣本之Wilcoxon符號等級檢定法，檢定單筆總額投資法之績效是否顯著優於定期定額投資法。本文實證結果有三點發現：（1）單筆總額投資績效是優於定期定額投資績效。（2）一般類基金績效均優於中小與科技類型基金的績效。（3）投資期間愈短期的基金績效比長期投資的基金績效，表現得更為突出。此結果顯示：在投資台灣金鑽獎傑出基金時，較短期的單筆總額的投資策略較長期的定期定額投資策略表現的出色。

The objective of this paper is to examine the performance of outstanding mutual funds winning the golden diamond award in Taiwan by lump-sum and dollar-cost averaging investments. The research period includes 10 years from 2004 to 2013. The research samples include 88 stock-type mutual funds winning the golden diamond award in Taiwan. Investment periods in this study include 1, 3, 5 and 10 years to improve the robustness of the research results. This study compares the performance of outstanding mutual funds in Taiwan by lump-sum and dollar-cost averaging investments based on the Wilcoxon sign test. This study has three empirical findings. First, the performance of lump-sum investing is better than dollar-cost averaging for mutual funds winning the golden diamond award. Secondly, the performance of general type golden diamond mutual fund are better than medium-small and technological type golden diamond mutual fund. Finally, the performance of the short term investment is better than the long term investment for golden diamond mutual fund. The results imply the performance of lump-sum investing strategies in the short term is better than dollar-cost averaging strategies in the long term for mutual funds winning the golden diamond award in Taiwan.

1. Milevsky, M. A., and Posner, S. E., "Dollar-Cost Average Options, Brownian Bridges and Behavioral Finance", York University Working Paper,1999.
2. Abeysekera, S. P.,Rosenbloom, E. S.(2000).A Simulation Model between Lump Sum and Dollar-Cost Average.Journal of Financial Planning,13,86-92.
3. Constantinides, G. M.(1979).A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy.Journal of Financial and Quantitative Analysis,14,443-450.
4. Dubil, R.(2005).Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction.Journal of Financial Planning,18,86-90.
5. Israelson, C. L.(1999).Lump Sums Take Their Lumps: Contrary topopularopinion, lump-sum investing doesn't always result in superior returns over dollar-cost averaging.Journal of Financial Planning,12,51-56.
6. Leggio, K. B.,Lien, D.(2001).Does Loss Aversion Explain Dollar-Cost Averaging?.Financial Services Review,10,117-127.
7. Pye, G.(1971).Minimax Policies for Selling an Asset and Dollar Averaging.Management Science,17,379-393.
8. Rozeff, M. S.(1994).Lump-Sum Investing versus Dollar-Averaging.The Journal of Portfolio Management,4,45-50.
9. Scherer, B.(1998).Cost Averaging - Fact or Myth?.The Journal of Wealth Management,1(3),18-21.
10. Teitelbaum, D. F.(2001).The Procrastinator's Guide to Financial Security: How Anyone over 40 Can Build a Strong Portfolio and Retire Comfortably.Dimensions Publishing.
11. Trainor, W. J.(2005).Within-horizon Exposure to Loss for Dollar Cost Averaging and Lump Sum Investing.Financial Services Review,14,319-330.
12. Williams, R. E.,Bacon, P. W.(1993).Lump Sum Beats Dollar-Cost Averaging.Journal of Financial Planning,2,64-68.
13. 王益民、陳憲、桂詠評、許保忠(1999)。投資銀行實務—基金與投資組。台北:五南圖書。
14. 呂中元(2001)。臺灣大學財務金融研究所。
15. 李顯儀(2010)。金融商品－理論與實務。台北:新陸書局。
16. 周萬順(2004)。世新大學管理學院經濟研究所。
17. 張有若(2002)。中原大學企業管理研究所。
18. 張博皓(2001)。成功大學企業管理研究所。
19. 陳文信(2005)。東吳大學法學院法律學系。
20. 藍惠玲(2005)。佛光大學人文社會研究所。
21. 顏明珠(2006)。商用統計學。台北:三民書局。

1. 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。