| Summary: | 碩士 === 逢甲大學 === 風險管理與保險學系 === 102 === The study analyzes the risks and performances of the dollar-cost averaging and the lump-sum investment using different calculation of the return in different investment periods. Except the return is divided into the annualized return and the multi-year return, the internal rate of return and the simple rate of return are used to calculate the dollar-cost averaging, and the percentage return and the logarithmic return are used to calculate lump-sum investment. Investment targets are based on the average rate of return and the standard deviation of steady and active managed fund in past 7 years provided by Pension Management Commission of Retirement, Indemnity, Resignation, and Severance for the Faculty in Private Schools in Taiwan under different scenarios using Monte Carlo Simulation to understand the difference of investment risks and returns between the retirement investment of the dollar-cost averaging and investment targets themselves. The simulated result shows that the multi-year average rate of return and risks of the lump-sum investment are higher than those of the dollar-cost averaging calculated by the internal rate of return and the percentage return given the standard deviation as the risk indicator; however, the risk of the lump-sum investment is lower than that of the dollar-cost averaging while the annualized return is calculated. Given the value at risk (under 1% and 5% level of significance) as the risk indicator, the risk of the dollar-cost averaging is higher than that of the lump-sum investment whether the annualized return or the multi-year return is calculated. When the dollar-cost averaging is calculated by the simple rate of return provided by the public, the return, the standard deviation, and the value at risk may be overestimated in the longer investment period while the value at risk may be underestimated in the shorter investment period. Besides, when the lump-sum investment is calculated, the return and the standard deviation calculated by the percentage return are bigger than those calculated by the logarithmic return.
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