Investment Performance of Moving Average in Mutual Fund

• Main Authors: Yu Ting Wu, 吳宥廷
• Other Authors: Chou-Wen Wang
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/xx2xkt

碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === This study uses the moving average as the basis, through the collocation of a number of moving averages and the fund''s net value, to explore whether technical analysis can identify better entry points and earn excess returns for investors. The sample from the fund information that the TEJ had logged in from 2000 to March 2018. Through the Lump-sum investment, calculate and compare the different investment periods, 4, 13, 26, 39, 52 weeks. The results of the study show that regardless of the empirical results of any strategy, investment funds recommend long-term holding and better performance. Through the arrangement of multiple moving averages to find out the buying points, the overall return rate and winning rate are better, but the relative number of transactions is also the least. Using the combination of two moving averages, adopt the strategy of Group 12 of the strategy. When MA10 crosses the positive slope of MA20 upwards, buy funds, hold at least 13 weeks to more than 26 weeks, and its return rate is better than other group.