A Comparison of Dollar-Cost Averaging with Lump-Sum Investing for Mutual Funds

Abstract

本文比較兩種投資共同基金方法－定期定額法與單筆總額法－之績效優劣。過去實證研究大多發現單筆投資的績效優於定期定額法，但實務界與投資學書籍卻極力推薦後者。本文認爲過去研究多只考慮短期投資（一年以內），及樣本期間始至股市初期發展階段可能是影響實證結果的關鍵因素，爰以2000/1~2006/5台灣的開放式股票型基金爲樣本，比較兩種方法產生的短、長期（包括一至五年）原始和風險調整後的年化報酬率（每種再分爲單利與複利）之大小，並以數種期間起點的台股指數作穩健性檢定的樣本，統計方法是成對樣本T檢定與無母數檢定。實證發現，長期投資下，定期定額法比單筆總額法有較高的報酬和較低的風險，且隨著投資時間延長，前者的風險愈低、報酬愈高，這可能與淨值波動性較高有關。再者，納入較早期的股市資料確會提高總額法的績效，表示價格走勢是影響兩方法比較結果的因素之一，但即使如此，採定期定額法時，若將尚未投入之資金先投資在無風險資產，則當無風險利率愈低，單筆法可能稍優於定期定額法，但當無風險報酬增加，即使是短期投資，定期定額即優於單筆投資。

This paper empirically compares the performance between Dollar-Cost Averaging (DCA) and Lump-Sum (LS) strategies in mutual fund investment. Most previous empirical studies find LS's performance surpass DCA's; however, the DCA strategy is advocated by many practitioners and long recommended by investment textbooks. This paper conjectures that only short-term investments (short than one year) examined by precedent articles and the simulating horizons containing the early time of stock market development might be the critical factors impacting their empirical results. In this paper, taking open-end equity funds traded in Taiwan from January 2000 to May 2006 as a sample, both the original and risk-adjusted annualized returns, where simple and compounded returns are calculated for each, across short-and long-term (1-5 year horizons) investments by DCA and LS are separately compared using paired-sample t-and nonparametric tests. Also, various beginning times for investing into Taiwan stock index are employed to perform the robustness check. The findings are that DCA possesses higher mean-variance efficiency than LS strategy in the long run. Adopting a DCA policy, the longer the averaging time, the greater the risk declines and terminal wealth increases; the reason may be that the funds' net asset values exhibit relatively higher volatility. Moreover, using the early-era stock prices enhances the LS's performance, revealing the price sequence may be a critical factor. Though the lower risk-free return, where the total amount is initially invested in this return and then gradually shifted to mutual funds in equal monthly installments by DCA, probably decreases DCA's performance and leads to LS slightly beating DCA, as that return boosts, DCA will outperform LS even if in the short term.