| 摘要(英) |
In order to respond to the coming new policy and manage individual′s self-selected investment portfolio in the defined contribution pension plan, we re-examine the performance and potential improvement of the famous Dollar-Cost-Average (DCA) strategy in mutual fund management. By considering both the risk and the return of the holding-period-return at the same time, we show theoretically that the effect of time diversification from implementing DCA is limited since both the expected holding period return as well as its risk, in terms of volatility, will increase with the holding periods, i.e., the deduction numbers. Therefore, from the perspective of risk, DCA along is not a proper investment strategy for long-term holding. We accordingly suggest to use the possible range of future holding period return and formulate a new timing and rebalancing strategy, on top of the DCA, to optimize the long-term cumulative return via unwinding/reloading to an underlying fund when the holding period return hit the upper/lower bounds. Our empirical results indicate that the proposed strategy can indeed lead to relatively stable cumulative return and reduce the occurrence of realized negative return. The additional timing and rebalancing scheme is effective and as a key to enhance the overall investment performance over the traditional DCA approach. |
| 參考文獻 |
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