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Do lump-sum investing strategies really outperform dollar-cost averaging strategies?
Studies in Economics and Finance Pub Date : 2020-07-23 , DOI: 10.1108/sef-04-2018-0107
Richard Lu , Vu Tran Hoang , Wing-Keung Wong

Purpose

The literature has demonstrated that lump-sum (LS) outperforms dollar-cost averaging (DCA) in uptrend markets while DCA outperforms LS only when the asset price is mean-reverted or downtrend. To bridge the gap in the literature, this study aims to use both Sharpe ratio (SR) and economic performance measure (EPM) to compare the performance of DCA and LS under both accumulative and disaccumulative approaches when the asset price is simulated to be uptrend.

Design/methodology/approach

This study uses both disaccumulative and accumulative approaches to compare DCA with LS and uses both SR and EPM to evaluate their performance when the asset price is simulated to be uptrend. Instead of using the annualized returns that are commonly used by other DCA studies, we compute the holding-period returns in the comparison in this paper.

Findings

The simulation shows that no matter which approach is used, DCA outperforms LS in nearly all the cases in the less uptrend markets while DCA still performs better than LS in many cases of the uptrend markets, especially when the market is more volatile and investment horizon is long, regardless which approach the authors used. The authors also find more evidence supporting DCA over LS by using EPM, which is more suitable in the analysis because the returns generated by DCA are positive skewed and flat-tailed that are ignored when SR is used.

Research limitations/implications

The authors conclude that DCA is a better trading strategy than LS for investment even in the uptrend market, especially on high risky assets.

Practical implications

Investors could consider choosing DCA instead of LS as their trading strategy, especially when they prefer long term investment and investing in high-risk assets.

Social implications

Fund managers could consider recommending DCA to their customers, especially when they prefer long term investment and investing in high-risk assets.

Originality/value

This is the own study and, as far as the authors know, this is the first study in the literature uses both SR and EPM to compare the performance of DCA and LS under both accumulative and disaccumulative approaches when the asset price is simulated to be uptrend.



中文翻译:

一次性投资策略真的比美元成本平均策略好吗?

目的

文献表明,在资产上升趋势市场中,总价(LS)优于美元平均成本(DCA),而DCA仅在资产价格均值恢复或下降趋势时才优于LS。为了弥补文献中的空白,本研究旨在同时使用夏普比率(SR)和经济绩效指标(EPM)来比较当资产价格被模拟为上升趋势时,在累积方法和非累积方法下DCA和LS的绩效。

设计/方法/方法

当资产价格被模拟为上升趋势时,本研究使用累积法和累积法将DCA与LS进行比较,并使用SR和EPM来评估其绩效。代替使用其他DCA研究通常使用的年度化收益,我们在本文的比较中计算持有期收益。

发现

仿真显示,无论使用哪种方法,在上升趋势较小的市场中,DCA几乎在所有情况下均优于LS,而在上升趋势市场的许多情况下,DCA的性能仍优于LS,尤其是在市场波动较大且投资前景不明朗的情况下。时间长短,无论作者使用哪种方法。作者还发现,有更多的证据表明,使用EPM支持LS之上的DCA,这在分析中更为合适,因为DCA产生的收益是正偏斜且平尾的,使用SR时可以忽略不计。

研究局限/意义

作者得出的结论是,即使在上升市场中,尤其是在高风险资产上,DCA还是比LS更好的交易策略。

实际影响

投资者可以考虑选择DCA而不是LS作为其交易策略,尤其是当他们倾向于长期投资并投资于高风险资产时。

社会影响

基金经理可以考虑向其客户推荐DCA,尤其是当他们倾向于长期投资并投资于高风险资产时。

创意/价值

这是本人的研究,并且据作者所知,这是文献中的第一项研究,当资产价格模拟为上升趋势时,使用累积和非累积两种方法比较SR和EPM的DCA和LS的表现。 。

更新日期:2020-07-23
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