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研究生： 楊峻瑋
Jun-wei Yang
論文名稱： 以 Aumann and Serrano 新風險指標重新檢視基金投資策略之績效
Measuring the Performace of Investment Strategies with a New Index of Riskiness
指導教授： 葉錦徽
Jin-huei Yeh
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 中文
論文頁數： 63
中文關鍵詞： 共同基金 、Aumann and Serrano 、Foster and Hart 、dollar cost averaging 、lump-sum investing 、buy and hold
相關次數： 點閱：12  下載：0 
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    • 本文觀察一般投資大眾易於操作的投資策略，分別計算並比較「定期定額」、「單筆總額」、「買進持有」投資策略所涉的風險和風險調整後績效。藉由標準差以及含有「隨機優越」概念之新風險指標衡量風險，採用 Foster and Hart (2009) 修正 Aumann and Serrano (2008) 的公式，運用 sharpe ratio、sortino ratio、upside potential ratio、EPM 等風險調整後績效指標加以比較。首先，發現定期定額降低平均持有成本的效果並不明顯，只有當股價趨勢往下的時刻才能有效發揮降低平均持有成本。接著，若將投資期間分成1、3年，無論是哪種投資期間或投資標的，定期定額績效最差；且若將投資年限延長至3年，定期定額的風險指標將變成三種投資策略之中最高。最後，我們把基金依照新風險指標與標準差排序後形成高風險、低風險投資組合進行風險與績效比較，結果顯示三種投資策略依照新風險指標值排序與標準差相同，但投資策略的績效以新風險指標形成投資組合較為優秀。

    Based on Foster and Hart (2009) adjusted Aumann and Serrano index, we calculate a new index of riskness to compare three investment strategies, namely, dollar cost averaging, lump sum investing, and buy and hold policies. We examined the riskiness and risk-adjusted performance of three investment strategies with the standard deviation and a new index of riskiness which encompasses the stochastic dominance concept. First, we find that the dollar cost averaging was not obvious in reducing the average holding cost. Only when the stock price falls, the dollar cost averaging could effectively reduce the average holding cost. Moreover, no matter which policies or investment targets or period, dollar cost averaging's performance was worst. The risk of dollar cost averaging turns out to be the highest among the three investment strategies when the investment horizon extended to 3 years. Finally, based on the fund-sorted high-risk and low-risk investment portfolios in accordance with the new index of riskness and standard deviation, we find the performance of the low-risk portfolio formed by new index of riskness to be the best.

    目錄 iii 圖目錄 vi 表目錄 vii 第一章 緒論 1 1.1研究背景 1 1.2研究動機 2 1.3研究目的 3 1.4研究架構 3 第二章 文獻回顧 4 2.1 DCA為最佳策略 4 2.2 DCA為次佳策略 5 2.3 風險與績效衡量指標 7 第三章 研究方法 9 3.1投資策略介紹 9 3.1.1定期定額投資策略 (dollar-cost averaging) 9 3.1.2單筆總額投資策略 (lump-sum investing) 9 3.1.3買進持有投資策略 (buy and hold) 10 3.2研究資料 11 3.2.1資料來源 11 3.2.2研究對象及期間 11 3.2.3樣本期間的選擇 11 3.3模型設定 12 3.3.1定期定額投資 12 3.3.2單筆總額投資 13 3.3.3買進持有投資 13 3.4風險與績效衡量指標 14 3.4.1 Sharpe ratio 14 3.4.2 Sortino ratio 15 3.4.3 Upside potential ratio 15 3.4.4 Economic Performance Measure (EPM) 16 第四章 實證結果與分析 18 4.1 定期定額投資之平均成本檢測 18 4.1.1 台股指數 18 4.1.2 美股指數 19 4.2總投資組合之績效 19 4.2.1 台股與美股大盤績效 19 4.2.2 一年期投資組合 20 4.2.3 三年期投資組合 20 4.3一年投資期間風險分類之績效 21 4.3.1 低風險之投資組合 21 4.3.2 高風險之投資組合 21 4.4三年投資期間風險分類之績效 22 4.4.1 低風險之投資組合 22 4.4.2 高風險之投資組合 22 第五章 結論 23 5.1 研究結論 23 5.1.1 申購成本之差異 23 5.1.2 風險指標與績效衡量 23 5.1.3 投資年限延長 23 5.1.4 給予投資人建議 24 5.1.5 研究建議 24 參考文獻 51

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