Re: [討論] 定期定額的誤繆

看板Fund作者Leepofeng (螢火蟲)時間15年前 (2009/08/12 09:45)推噓50(50推 0噓 275→)

留言325則, 15人參與討論串30/35 (看更多)

來分享一些學術研究對定期定額的看法： 1. Nobody Gains from Dollar Cost Averaging Analytical, Numerical and Empirical Results Dollar Cost Avemging is an investment system that is widely advocated by brokerage firms and mutual funds. In its best known form, an investor seeking to put a lump sum into risky assets is counseled to invest the money over a period of time in equal installments in order to avoid the devastating effect of a marketfall immediately afkr a single, lump-sum investment. Using graphical analysis, historical stock market returns, and Monte Carlo simulations, this article demonstmtes that no such benefit accrues to a Dollar Cost Averaging Strategy. Two alternative strategies, optimal rebalancing and buy and hold achieve better performance in all three analyses. 三種策略比起來，定期定額是最遜色的。 2. Mathematical Illusion: Why Dollar-Cost Averaging Does Not Work by John G. Greenhut, Ph.D. In spite of the weight of evidence provided in academic literature against the strategy of dollar-cost averaging, DCA continues to be practiced by investors and recommended by financial advisors. Beyond its psychological appeal, the popularity of the approach can be said to stem from simple illustrations that show DCA resulting in greater stock holdings across a stock market cycle than is achieved by a one-time, lump-sum investment. Alternatively presented, the average cost per share purchased under DCA is demonstrated, by example, to be less than the average price of stock over its cycle. This paper challenges that illustration. It shows that variations in stock prices should not follow the mathematical pattern assumed in the examples. In fact, the price movement should follow a particular mathematical form that yields the same number of shares purchased, whether by DCA or lump-sum investing. Absent any benefit from stock price volatility in reducing average cost, the performance of DCA rests on the trend in stock prices, with DCA outperforming in downward markets and lump sum outperforming in upward markets. Since the latter case is the norm over time, customary empirical findings in the finance literature of underperformance by DCA are explained. The theory in this paper is confirmed by examining a broad sample of stocks, contrasted over the high-growth trend in the second half of the 1990s against the general market malaise over the following half-decade. In the absence of this trend, DCA and lump sum provide equivalent results. 單筆投入在趨勢向上的市場表現比較好，定期定額則是在趨勢向下的市場表現比較好。沒有這些趨勢的話，定期定額和單筆投入表現其實沒有差異。 3. Dollar-cost Averaging：An Investigation Dollar-cost Averaging (DCA) is a common and useful systematic investment strategy for mutual fund managers, private investors, financial analysts and retirement planners. The issue of performance effectiveness of DCA is greatly controversial among academics and professionals. As a popularly recommended investment strategy, DCA is recognized as a risk reduction strategy; however, the advantage was claimed as the expense of generating higher returns. The dissertation is to intensively investigate the performances of DCA in light of the literatures comprehensively researched by previous thinkers. Using Monte Carlo simulation, the reviewed outcomes are confirmed by scientifically tests that DCA strategy is superior to reduce risk, but it is inferior to LS strategy in terms of effectiveness to produce returns. Although providing outperformances by investing in less volatile assets, it is more suitable to be applied for more risky investments in comparison with LS. 這是一本研究生的論文，他找出定期定額相關的文獻（27篇），並自己做模擬分析。結論是定期定額可以降低風險，但是和單筆投入在報酬上比起來是比較差的。在他回顧的文獻中，有41%認為定期定額不如單筆投入，有22%認為定期定額比單筆投入好剩下的37%是Mixed opinions on DCA。因為這些特性，所以作者認為可以對風險高的做定期定額，風險低的就單筆投入。這三篇我都有PDF，有興趣的可以一起研究。 ----------------------------------------------------------------------------------------- Comments：除了強迫儲蓄這個優點，定期定額其實沒啥特別的優點了在學術研究上的資料其實說得很清楚，資產配置是非常重要的，這一點沒啥可質疑的但是定期定額這個策略其實並不是很明顯的比其他進場策略還好之前還看過一篇用S&P500做模擬的，投入總金額100萬用1981-2000的資料，定期定額策略每週投入1000元（每年大約50週，共20年，投入1000次）單筆投入則是模擬投資人一拿到閒錢就丟到股市，金額和投入時間用電腦亂數採樣範圍好像是100美元到10000美元的樣子這兩種作法最後的差異有多少呢？作者好像跑了幾百次模擬，平均下來定期定額輸了大約3% 這一篇也挺有趣，不過現在暫時找不到，找到再分享 -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 140.109.29.88

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