적립식 투자전략이 투자성과를 개선하는가?

This paper examines whether Dollar Cost Averaging (DCA) strategy, the practice of equal amount investments over time in a risky asset, improves investment performance using Korean fund market data from June 1998 to July 2009, which is provided by Zeroin, the Korea’s largest fund ratings company. We use open-end funds and select samples from three kinds of fund styles that are domestic-equity, foreign-equity and commodity index styles. We compare the investment performance of DCA strategy relative to two simple alternative strategies, Lump Sum (LS) and Buy-and-Hold (BH). In our analysis, BH refers to a half-and-half asset allocation between risky asset and risk-free asset and its expected return is the same as that of DCA in the ex-ante sense. We find that both risk and return of LS are higher than those of DCA and that BH dominates DCA in the mean-variance criterion. Also, we show a numerical illustration which contradicts the well-known assertion that average cost per share under DCA is always lower than historical average price and the lower cost leads to higher return. This cost averaging effect has no economic meaning because historical price equals the cost of the non-implementable strategy which invest the same number of shares each period. All of the results above are exactly the opposite of common belief of investors, finance practitioners and media, that DCA enhances the return and reduces the risk.