投資型保單中停利加碼機制之分析定期定額下停利加碼機制的投資績效The Investment Performance of Dollar Cost Averaging with Automatic

本論文比較傳統的定期定額投資與定期定額搭配停利與加碼機制投資之報酬、風險與績效。本研究採用蒙地卡羅模擬法，得出定期定額投資與定期定額搭配停利與加碼投資報酬的模擬分配。研究結果顯示，在大部份情況，定期定額搭配停利與加碼投資的平均報酬與風險相對較低。以ㄧ般化夏普比例或後悔機率來衡量績效，在風險性投資標的平均報酬率低且報酬率波動性(或標準差)高時，定期定額搭配停利與加碼機制的報酬率才有較高的機會優於傳統的定期定額。因此，若預期未來投資期間投資標的市場沒有明顯上升趨勢且市場波動性較大時，在定期定額下加入停利加碼機制才相對有利。
關鍵詞：定期定額、停利與加碼、投資型保單
Abstract
This paper compares through Monte Carlo simulations the investment returns, risk, and performance of a traditional dollar-cost averaging (DCA) strategy with an enhanced DCA strategy. The enhanced DCA strategy is DCA with profit-taking and position-increasing (PTAPI) mechanism in a variable life insurance policy. The simulated results show that the average return and risk of the DCA with PTAPI DCA is mostly lower than those of the traditional DCA. By using generalized Sharpe ratio or the regret probability for performance comparison, the DCA with PTAPI is better than the traditional DCA only when the market is flat and volatile. Thus, it is recommended that the PTAPI mechanism is applied with DCA only when the market is volatile and less trending up.
Keywords: dollar-cost averaging, profit-taking and position-increasing, variable life insurance