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Performance Comparison between Dollar Cost Averaging and Value Averaging Investment Strategies and the Impacts of Investment Horizon and Target Terminal Wealth

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  • Kamphol Panyagometh

Abstract

This study employs the techniques of Monte Carlo Simulation and Genetic Algorithms Based Optimization aimed at analyzing the impacts of investment horizon and target terminal wealth on the performance of the Dollar Cost Averaging (DCA) investment strategy in comparison with the Value Averaging (VA) investment strategy. According to the findings, with increased length of investment horizon and/or lowered target terminal wealth, the Value Averaging (VA) investment strategy will have better performance than the Dollar Cost Averaging investment strategy. The investment performance is evaluated with a variety of measures including Modified Sharpe Ratio, Modified Sortino Ratio, Shortfall Probability and Dominance Probability.

Suggested Citation

  • Kamphol Panyagometh, 2013. "Performance Comparison between Dollar Cost Averaging and Value Averaging Investment Strategies and the Impacts of Investment Horizon and Target Terminal Wealth," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-2.
    • Handle: RePEc:spt:apfiba:v:3:y:2013:i:3:f:3_3_2
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    Cited by:

    1. Kamphol Panyagometh, 2021. "Dynamic Spending and Risk-Based Simulation in Retirement Planning," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(4), pages 337-346, April.

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