定期定股及定期不定股投資策略績效探討

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Title:	定期定股及定期不定股投資策略績效探討
Authors:	鍾品婕;Jhong, Pin-Jie
Contributors:	財務金融學系
Keywords:	定期定額;跨時分散風險能力;風險;DCA;Time Diversification Ability;Risk
Date:	2023-07-19
Issue Date:	2024-09-19 16:13:23 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究針對定期定股投資進行重新檢視，根據理論結果顯示，跨時風險分散的效果有限，而且會隨著投資期間的推移，持有期間的期望報酬率和風險也會增加，這表示定期定股策略並不是一個長期持有的理想方式。為了優化定期定股投資策略，採用 2018/01/01-2019/12/31 之間的移動平均標準差及移動平均累積報酬，模擬出 2020/01/01-2022/12/31 期間股價可能變動的範圍，制訂更清晰的進出場時機，並結合加減碼的機制，進而達到更好的累積報酬。實證結果發現：不論產業標準差 (波動度) 的大小，策略一可適用於大多數產業且績效表現優於定期定股；而對於產業標準差較大的標的策略二較不適用，大部分累積報酬會落在 [〖Lb〗^50,〖Ub〗^50 ] 之間，當只要超出 [〖Lb〗^50,〖Ub〗^50 ] 範圍時，採取策略二的交易策略績效優於定期定股，這顯示採取額外制定的策略確實可以增強定期定股策略的績效表現。;This study reexamines the strategy of periodic stock investments. According to the theoretical results, the diversification effect across different time periods is limited, and the expected returns and risks of holding periods increase over time. This indicates that the strategy of periodic stock investments is not an ideal long-term approach. To optimize the strategy of periodic stock investments, moving average standard deviation and moving average cumulative returns from January 1, 2018, to December 31, 2019, are used to simulate the range of potential stock price fluctuations during the period from January 1, 2020, to December 31, 2022. This enables the development of clearer entry and exit points, combined with a mechanism for scaling up or down investments, ultimately achieving better cumulative returns. Empirical results reveal that, regardless of the industry standard deviation (volatility), Strategy 1 is applicable to most industries and outperforms periodic stock investments. However, Strategy 2 is less suitable for targets with higher industry standard deviation, with the majority of cumulative returns falling within the range of [〖Lb〗^50,〖Ub〗^50 ]. When the returns exceed this range, adopting Strategy 2 yields better performance than periodic stock investments. This demonstrates that implementing additional strategies can indeed enhance the performance of periodic stock investment strategies.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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