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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/80774

    Title: 實證定期定額持有期間報酬的變動區間與風險-跨類基金的比較
    Authors: 宋學鳳;Sung, Shyue-Feng
    Contributors: 財務金融學系
    Keywords: 定期定額;跨時分散風險能力;跨類基金比較;dollar cost averaging;DCA;time diversification ability;mutual fund categories comparison
    Date: 2019-07-23
    Issue Date: 2019-09-03 15:07:52 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 在同時考慮基金過往之報酬率與波動度之狀況下,我們發展出定期定額持有期間報酬率的可能變動區間,並且發現當定期定額持有期間增加,所推導出之預期報酬率變異數雖得以降低,但仍會隨持有期間拉長而不斷累積,顯示定期定額策略之跨時分散風險能力有限,不適合作為長期之投資策略。
    ;We derived the possible range for dollar-cost average (DCA) holding period return, by considering mutual funds’ historical return and standard deviation at the same time. The volatility of mutual funds indeed diversified as the holding period getting longer, but the risk still accumulate over time. It shows that the time diversification ability of DCA strategy is relatively limited, and gives a thought that this strategy is actually not suitable for long term investment.
    We go further to investigate whether this characteristic happens in different fund categories. Also, we would like to see what kind of categories may provide better risk and return performance within the possible range we constructed at the very beginning. The research shows that over 60% of the categories under observation is not a good choice for long term investment, especially the developed country stocks and bonds. In the contrary, some categories such as developing country stocks, still can provide higher probability of better DCA performance while having higher volatility.
    The outcomes of this research reveal that “category selection” is still important when investing by using DCA strategy. Investors who want to have a more precise single fund selection for DCA investment, should also put emphasis on the contribution of return that is above the expected average return.
    Appears in Collections:[財務金融研究所] 博碩士論文

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