An Empirical Study of Dollar-Cost Averaging and Value Averaging Investment Strategies of Taiwan 50ETF

• Main Authors: Hui-Hua Lee, 李惠華
• Other Authors: Yu-Min Chang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/22724655934577335898

碩士 === 樹德科技大學 === 金融系碩士班 === 104 === This study adopts Taiwan 50 ETF as research subjects, focusing on the period between January 2005 and December 2014, a total of ten years, complying with the concepts of long-run average cost and risk diversification. This study utilizes the different investing strategies of dollar-cost averaging and value averaging to carry out the study. Value average is further divided into contrarian and trend-following strategies. The three strategies in conjunction with models of no stop loss and no take profit, no more input after take profit and more input after take profit respectively to simulate investment. The closing price on the last trading day every month is used, after ten years investment has ended the end of period rate of return are calculated to determine the soundness of statistical investment strategies. The results showed the order of these three strategies is as followed: contrarian investment strategy is the best, followed by dollar-cost averaging investment strategy, and trend-following investment strategy is the worst. For the investment model more input after take profit is the best followed by no stop loss and no take profit while no more input after take profit is the worst. The above results are provided for investors for references in choosing investment strategies. Keywords: Investment strategies, Taiwan Top 50ETF, Dollar-cost averaging, Value averaging