本文旨在研究長期總額投資同一市場下，最佳停利、停損點以及出場後定期定額再進場之最適分期，並與買進持有策略比較績效和風險值的表現。本文設定初始投入本金10000元後，給定停利點、停損點，當淨值到達停利或者停損點時，將持有標的賣出，並將所有現金分期定額再進場，出場時點就是最新淨值達到上次出場時淨值的停利或停損點。
本文為研究全球各區域市場，於區域市場類別標的選定北美、已開發歐洲、遠東市場、新興亞洲、新興拉丁美洲以及新興東歐市場，資料來源為MSCI區域型指數，亦挑選原物料類別作比較，標的則挑選了倫敦黃金現貨及國際工業原物料價格指數。本研究發現，各標的之最佳策略皆設有停利點，且分布在40%至100%，而各標的除了倫敦黃金現貨，亦皆有設定停損點，分布在10%至20%，說明停利、停損機制是明顯有效的，尤其是新興市場標的，經過停利和停損機制後其報酬優化效果尤其明顯，因此建議投資新興市場標的時應設定停利、停損點，而就風險來看，所有標的之策略風險值皆小於買進持有之風險值，表示停利、停損機制可有效降低波動。至於各標的之出場後最適定期定額再進場的期數，皆分布在6個月期和12個月期。
至於投資組合，本研究型依照風險大小，建構保守型、穩健型以及積極型投資組合，依據投資組合回測結果發現，若是偏好長期投資且想適度分散風險，建議將資產配置在已開發市場北美市場以及歐洲市場，若想再進一步提升績效且投資者能夠承受更高風險，可在新興市場中，如新興亞洲、新興拉丁美洲或新興東歐，依當時經濟情勢擇一配置。再進一步想獲得更好的投組績效的話，建議定期變更投組成分，例如用前一年的資料來配置下一年的投資組合，更能確實掌握市場趨勢。

This paper is focus on investing the total amount for long-term at the specific market ,and examining the performance of the best profit taking, loss stopping, and the re-entering mechanism. Moreover, this study compares the performance of return and value at risk between the best strategy and the buy & hold strategy. At the beginning, the study sets the initial principal amount NT$10,000, the profit taking and loss stopping mechanism. When the net profit reaches the profit taking or loss stopping point, the subject will be sold, and all cash will be separate and then re-enter the market.
This paper is a study of the global market, such as North America market, Europe market, Far East market, emerging Asia market, Latin America market and Emerging Eastern European markets, which sources for the MSCI regional index. Also, the research selects raw materials such as London Gold spot and international industrial raw materials price index in order to make comparison. The study found that the best strategy for each subject are equipped with profit taking mechanism, and distributed in 40-100%, while London Gold spot different from each subject. The best strategy for each subject are also equipped with loss stopping mechanism, located at 10-20 percent. This finding suggests that the profit taking and loss stopping mechanisms is obviously effective. As for the risks, the value at risk for best strategies are less than the value at risk for the buy & hold strategy. This finding represents the stop profit and stop loss mechanisms can effectively reduce volatility.
As for the portfolio, this research in accordance with the size of the risk, constructs conservative, steady type and aggressive portfolio. If the investors prefer for long-term investment and want to moderate risk diversification, it is recommends to invest in North America and Europe. If the investors want to improve their performance and be able to withstand higher risk, it is recommends to choose one of emerging market subjects. Further investors want to get better performance, it is recommended to change subjects regularly.

目錄
論文審定書 i
摘要 ii
Abatract iii
圖次 vi
表次 vi
附錄 vii
第一章、緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 研究架構 2
第二章、文獻探討 3
2.1 總額投資和定期定額的優劣勢探討 3
2.2 停利和停損機制的效果 5
第三章、研究方法 6
3.1 研究期間與資料來源 6
3.2 策略說明 8
3.3 績效衡量方法 8
3.4 風險值(VaR) 9
3.5 投組建立 10
第四章、實證結果 11
4.1 回測最佳策略與績效分析 11
4.1.1 北美指數策略績效分析 11
4.1.2 歐洲指數策略績效分析 13
4.1.3 遠東指數策略績效分析 16
4.1.4 新興亞洲指數策略績效分析 18
4.1.5 新興拉丁美洲指數策略績效分析 20
4.1.6 新興東歐指數策略績效分析 24
4.1.7 倫敦黃金現貨策略績效分析 27
4.1.8 國際工業原物料價格指數定期定額再進場期間分析 29
4.1.9 各標的策略回測之績效與風險比較 31
4.1.10 各標的出場後定期定額再進場之有效性分析 32
4.2 長期投資組合建立 33
4.2.1 建立投資組合 33
4.2.2 策略投資組合績效表現 35
4.2.3 建構投資組合發現與建議 36
第五章、結論與建議 38
參考文獻 40
附錄 42

中文文獻:
[1] 何曉芳(2008)
共同基金定期定額策略與總額投資策略績效之研究，國立中山大學財務管理學系研究所論文。
[2] 李哲宏(2008)
共同基金投資行為與處分效果之關聯性—以匯豐中華投信投資人為例，國立政治大學經營管理碩士學程(EMBA)論文。
[3] 莊麗蕙(2014)
共同基金投資方法之風險與績效研究：定期定額、定期不定額與單筆總額投資之比較，國立臺北大學國際財務金融碩士在職專班論文。
[4] 張庭瑋(2015)
不同類型基金定期定額停利績效之實證研究，國立中興大學高階經理人碩士在職專班論文。
[5] 黃麗娜(2010)
國內股票型基金投資效益比較─研究定期定額、單筆投資及定期不定額之投資方式，國立臺北大學國際財務金融碩士在職專班論文。
[6] 楊宗庭(2001)
共同基金風險值的評估與應用，國立臺灣大學財務金融學研究所論文。
[7] 劉麗雯(2012)
改良式定時定額投資法-限時限額加碼停利，國立臺灣大學企業管理碩士專班論文。

英文文獻:
[1] Dubil, Robert (2005), Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction, Financial Planning, October, pp86-90.
[2] Israelsen, Craig L., “Lump Sums Take Their Lumps: Contrary to Popular Opinion, Lump-sum Investing Doesn’t Always Result in Superior Returns Over Dollar-cost Averaging,” Financial Planning, January 1999, pp51-56.
[3] Jorion, Nov/Dec 1996, “Risk2: Measuring the Risk in Value at Risk”, Financial Analysts Journal, pp47-56
[4] Kaminski, K.M. and Lo, A., 2014. When do stop-loss rules stop losses?. Journal of Financial Markets, Vol. 18. pp. 234-254.
[5] Lynch, P., 2004, “Learn To Earn,” p.179
[6] Tigue, J., 2004, “The S&P’s Guide to Long-term Investing.” New York: McGraw-Hill, p.24.
[7] Williams, Richard E. and Peter W. Bacon, “Lump Sum Beats Dollar-Cost Averaging”, Journal of Financial Planning, April 1993, pp.64-67.