none

The aim of this master thesis is to create investing stock portfolio using value screening, money aggregate MZM and stock prices of chosen companies. Funding is realized by Dollar-cost averaging method. First part introduces reader to stocks and its place at financial market. Afterwards comes introduction to investments and applied Dollar-cost averaging method and authors customisations of this method. Final part contains results of customised Dollar-cost averaging method and suggestion for its usage at financial market.

Tměj, Petr. Investment methods for investing in equity mutual funds, Diploma thesis. Brno: Mendel University, 2016. Diploma thesis is focused on testing of investments methods dollar cost averaging and one-time investment of selected mutual funds in years 2004 - 2014. Literature review describe terms which are related with issues of collective investments. Practical part is focused on analysis and comparison investment methods, comparison selected benchmarks indexes with equity mutual funds and comparison currency risk with fixed currency. In conclusion there are recommendations for using of investment methods one - time investment and dollar cost averaging.

共同基金在國內已經發展三十餘年，已成為國人一項重要的投資理財工具。唯傳統的基金設計係以「定期定額」的方式來操作，而本研究目的在於設計一套「不定期定額逢低投資」的操作方式，並證實該方式的投資績效係顯著優於傳統的基金操作。具體而言，本研究以2011年1月至2015年12月合計五年之基金每日淨值歷史資料，藉以比較定期定額與不定期定額(實際策略為當台股加權指數跌幅大於前一日1.25%即自動進行定額投資)分別在一年期、三年前、五年期以及金融海嘯期間(2008年)的績效表現。調查結果證實，不定期定額的績效均顯著優於定期定額的表現。本研究的結論可以提供投信產業設計新穎的共同基金，以提供投資人差異化的理財策略選擇。本研究相信，「不定期定額逢低投資組合」相當適合資金較充裕的積極型投資者。 / Mutual funds have been developed in Taiwan for more than 30 years and are now an important investment and financial tools for the people. Nonetheless the practice of traditional funds was designed through “dollar-cost averaging” and the study intends to design a practice of “value averaging bargain investment” to prove that the investment performance of the practice is significantly better than the traditional funds practice. Specifically, this study selected five years of NAV information from January 2011 to December 2015 to compare the performance of dollar cost averaging and value averaging (actual strategy was automatic fixed-amount investment when Taiwan Stock Exchange Capitalization Weighted Stock Index dropped 1.25% lower than previous day) based on strategic investment holding periods of one year, three years, five years and during the financial crisis (2008). The result proved that the performance of value averaging was significantly better than dollar cost averaging. The conclusion of this study could provide differentiated fiscal strategy for investment trust industry to design new mutual funds for investors. The study states that “the combination of value averaging and bargain investment” is more suitable for active investors with sufficient funds.

Questa tesi è composta da 3 differenti lavori che ci confermano la prevedibilità degli extra rendimenti rispetto al mercato usando semplici strategie di portafoglio azionario utilizzabili sia dal semplice risparmiatore sia dall'investitore istituzionale. Nel primo capitolo è stata analizzata la profittabilità della contrarian strategy nel mercato azionario Italiano. In letteratura é stato già abbondantemente dimostrato che i rendimenti azionari sono caratterizzati da un’autocorrelazione negativa nel breve periodo e da un effetto di ritorno alla media nel lungo periodo. La contrarian strategy é utilizzata per trarre profitto dalla correlazione seriale negativa dei rendimenti azionari, infatti, vendendo i titoli che si sono rivelati vincenti nel passato (in termini di rendimento) e acquistando quelli "perdenti" si ottengono profitti inaspettati. Nel secondo paper, l'analisi si focalizza sulla strategia di portafoglio definita Dollar Cost Averaging (DCA). La Dollar Cost Averaging si riferisce a una semplice metodologia di portafoglio che prevede di investire una somma fissa di denaro in un'attività rischiosa a uguali intervalli di tempo, per tutto l'orizzonte temporale prefissato. Il lavoro si propone di confrontare i vantaggi, in termini di riduzione sostanziale del rischio, di questa strategia dal punto di vista di un semplice risparmiatore. Nell'ultimo capitolo, ipotizzando di essere un investitore istituzionale che possiede ogni giorno numerose informazioni e previsioni, ho cercato di capire come egli può usare tutte le informazioni in suo possesso per decidere prontamente come allocare al meglio il patrimonio del fondo. L’investitore normalmente cerca di identificare la migliore previsione possibile, ma quasi sempre non riesce ad identificare l’esatto processo dei prezzi sottostanti. Quest’osservazione ha condotto molti ricercatori ad utilizzare numerosi fattori esplicativi per ottenere un buona previsione. Il paper supporta l’esistente letteratura che utilizza un nuovo approccio per trasformare previsioni di rendimenti in scelte di gestione di portafoglio che possano offrire una maggiore performance del portafoglio.Partendo dal modello d’incertezza di Pesaran e Timmerman(1996), considero un cospicuo numero di fattori macroeconomici per identificare un modello predittivo che mi permetta di prevedere i movimenti del mercato tenendo presente i maggiori indicatori economici e finanziari e considerato che il loro rispettivo potere predittivo cambia nel tempo. / This thesis is composed by three different papers that confirm us the predictability of expected returns using different simple portfolio strategy and under different point of view (i.e. a generic saver and institutional investor). In the first chapter, I investigate the profitability of contrarian strategy in the Italian Stock Market. However empirical research has shown that asset returns tend to exhibit some form of negative autocorrelation in the short term and mean-reversion over long horizons. Contrarian strategy is used to take advantage of serial correlation in stock price returns, such that selling winners and buying losers generates abnormal profits. On the second chapter, the analyse is focused in another classic portfolio strategy called Dollar Cost Averaging (DCA). Dollar Cost Averaging refers to an investment methodology in which a set dollar amount is invested in a risky asset at equal intervals over a holding period. The paper compares the advantages and risk of this strategy from the point of view of a saver. Lastly, supposing to be an institutional investor who has a large number of information and forecasts, I tried to understand how using all them he decide with dispatch how to allocate the portfolio fund. When a wide set of forecasts of some future economic events are available, decision makers usually attempt to discover which is the best forecast, but in almost all cases a decision maker cannot identify ex ante the true process. This observation has led researchers to introduce several sources of uncertainty in forecasting exercises. The paper supporting the existent literature employs a novel approaches to transform predicted returns into portfolio asset allocations, and their relative performances. First of all dealing with model uncertainty, as Pesaran and Timmerman (1996), I consider a richer parameterization for the forecasting model to find that the predictive power of various economic and financial factors over excess returns change through time.