不同投資策略分析與比較

Abstract

隨著金融科技的發達，金融商品種類從傳統的股票、共同基金到各式各樣的ETF，而透過複委託和海外券商，台灣投資人投資的範圍不再僅限於台股市場，世界各國股票、各式債券也成為台灣投資人的選擇。本研究探討各種不同的市場，包含台灣證券市場、日本證券市場、全球證券市場和全球債券市場，單筆投入和定期定額投資的成效。比較兩種不同投資方式在各種衡量指標的績效表現，包含報酬率、風險調整後報酬率與無風險報酬率。並探討市場波動度和市場總漲幅對不同投資策略勝率影響。 研究結果顯示，單筆投入和定期定額兩種方法各有其優缺點，與市場狀況有較大關聯。在長期多頭的市場例如全球股票市場和全球債券市場，單筆投入不僅在絕對報酬上獲得極大的優勢，風險調整後報酬率、夏普值和Sortino ratio亦均勝過定期定額。在台灣股票市場，單筆投入的下行風險標準差遠高於定期定額，即便單筆投入的投資報酬率較佳， Sortino ratio仍然輸給定期定額。而在日本股票市場，不論是單筆投入或是定期定額的報酬率皆輸給無風險報酬，Sortino ratio 皆是負數。 投資期間的市場漲幅是影響績效表現的重要因素，當市場為空頭市場或是漲幅介於0%到10%時，定期定額的表現勝過單筆投資策略；漲幅介於10%到20%的市場，單筆投入取得過半的勝率；漲幅超過30%時，單筆投入獲得了超過80%的勝率。因此若是投資標的為較穩定且甚少下跌的市場，單筆投入顯然勝算較高；反之在空頭市場或是震盪較劇烈的市場，定期定額表現較佳，不僅平均報酬率、勝率皆高過單筆投入，同時在極小值、輸給無風險利率的表現亦皆勝過單筆投入。

With the development of financial technology, the types of financial products range from traditional stocks and mutual funds to various ETFs. Through re-delegation and overseas brokerage, the scope of investment by Taiwan investors is no longer limited to the Taiwanese stock market. Various bonds have also become the choice of Taiwan investors. This study investigates the performance of dollar-cost averaging and lump-sum investing in various markets, including the Taiwanese stock market, the Japanese stock market, the global stock markets and the global bond markets. The performance indicators include return rate, risk-adjusted return rate and risk-free return rate. the impact of market volatility and total market growth on the success rate of different investment strategies is also investigated. The research results show that both the dollar-cost averaging and lump-sum investing have their own advantages and disadvantages, and have a great correlation with market conditions. For the long-term bull market such as global stock markets and the global bond markets, lump-sum investing is not only with a great advantage on absolute returns but also better risk-adjusted return rate, Sharpe and Sortino ratio values. In the Taiwanese stock market, downside risk standard deviation of lump-sum investing is much higher than that of dollar-cost averaging, even if the lump-sum investing is with a better return rate and the Sortino ratio is still lost to dollar-cost averaging. In the Japanese stock market, whether dollar-cost averaging or lump-sum investing is with negative Sortino ratio, and their return rate are worse than the risk-free return rate. Market gain during the investment period is an important factor affecting the performance. When the market is a bear market or rising from 0% to 10%, dollar-cost averaging is a better investment strategy than lump-sum investing. When the market rose is between 10% and 20 % of the market, lump-sum investing achieves more than half of the winning percentage; when rose more than 30%, lump-sum investing is with more than 80% winning percentage. Therefore, if the investment target is relatively stable and rarely falling market, the lump-sum investing obviously has higher chance of winning; on the contrary in the bear market or is more intense market volatility, dollar-cost averaging is a better choice. Dollar-cost averaging is not only with higher average return rate and winning percentage, but also performance of the minimum value and the loss to a risk-free rate is better than that of lump-sum investing.