{"id":5422,"date":"2021-01-10T18:33:00","date_gmt":"2021-01-10T10:33:00","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5422"},"modified":"2021-01-10T19:01:49","modified_gmt":"2021-01-10T11:01:49","slug":"%e7%94%a8%e6%81%92%e6%8c%87%e6%89%93%e6%95%97%e6%81%92%e6%8c%872-%e5%8b%95%e5%8a%9b%e6%8a%95%e8%b3%87","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/01\/%e7%94%a8%e6%81%92%e6%8c%87%e6%89%93%e6%95%97%e6%81%92%e6%8c%872-%e5%8b%95%e5%8a%9b%e6%8a%95%e8%b3%87\/","title":{"rendered":"\u7528\u6052\u6307\u6253\u6557\u6052\u6307#2 – \u52d5\u529b\u6295\u8cc7"},"content":{"rendered":"

\u7528\u6052\u6307\u6253\u6557\u6052\u6307#2 – \u52d5\u529b\u6295\u8cc7<\/strong><\/span><\/h2>\n
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\u9019\u500b\u7cfb\u5217\u96c6\u4e2d\u7814\u7a76\u6e2f\u80a1\u6295\u8cc7\uff0c\u52d5\u6a5f\u4e0d\u662f\u63a8\u5ee3\u79c1\u5229\u6295\u8cc7\uff0c\u800c\u662f\u5e36\u5927\u5bb6\u770b\u770b\u6e2f\u80a1\u9019\u9805\u6700\u53d7\u5f37\u7a4d\u91d1\u6210\u54e1\u559c\u6b61\u7684\u6295\u8cc7\u9818\u57df\uff0c\u5176\u5be6\u53ef\u4ee5\u6709\u5f88\u591a\u4e0d\u540c\u7684\u6295\u8cc7\u7b56\u7565\u52a0\u4ee5\u61c9\u7528\uff0c\u4ee4\u56de\u5831\u63d0\u5347\u4e4b\u9918\uff0c\u53c8\u540c\u6642\u964d\u4f4e\u6ce2\u5e45\u3002<\/span><\/p>\n
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\u4e0a\u6587<\/a>\u5c55\u793a\u4e86\u5982\u4f55\u7528PE \u4f86\u8003\u616e\u6052\u6307\u7684\u9ad8\u4f4e\u503c\u503c\uff0c\u7136\u5f8c\u9032\u884c\u4f4e\u8cb7\u9ad8\u8ce3\uff0c\u5f97\u51fa\u75311986\u5e74\u81f32020\u5e74\u9593\u5e74\u5747\u56de\u583119.87%\uff0c\u6309\u6708\u6ce2\u5e458.33%\u7684TAA \u3002<\/span><\/p>\n
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\u672c\u6587\u5c55\u793a\u53e6\u4e00\u6b3e\u9069\u7528\u65bc\u6052\u6307\u7684TAA\uff0c\u5c31\u662f\u7528\u52d5\u529b\u6295\u8cc7<\/span>\u3002<\/strong><\/span><\/p>\n
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Eugene Fama \u88ab\u516c\u8a8d\u70bafactor investing \u7684\u5275\u59cb\u4eba<\/span>\u3002<\/strong>Eugene Fama \u96d6\u7136\u627f\u8a8dmomentum \u662f\u4ed6\u76843-factor model (volatility + size + value) \u4ee5\u5916\u7684anomaly\uff0c\u4f46\u660e\u986f\u7531\u65bcCahart \u9996\u5148\u63d0\u51fa 3 + momentum \u7684 4-factor model \uff0c\u6240\u4ee5momentum \u7121\u7531Eugene Fama \u9996\u80af\u52a0\u5165factor zoo\u3002\u4e0d\u904e\uff0c\u5168\u4e16\u754c\u90fd\u7121\u7406Eugene Fama \uff0c\u6240\u6709\u4eba\u90fd\u5c07momentum \u5217\u70ba\u8207value \u9f4a\u540d\u7684\u91cd\u8981factor<\/span> \u3002<\/span><\/p>\n
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\u4f8b\u5982Eugene Fama \u7684\u5f92\u5f1fCliff Asness \uff0c\u4ed6\u65bc2013 \u5e74\u767c\u8868\u4e86 Value and Momentum everywhere \u8ad6\u6587<\/a>\uff0c \u8ad6\u8ff0\u4e86momentum \u7684\u5ee3\u6cdb\u6548\u679c<\/a>\uff0c\u8207value \u50f9\u503c\u4e0d\u9051\u591a\u8b93\uff0c\u751a\u81f3\u6709\u904e\u4e4b\u800c\u7121\u4e0d\u53ca\uff0cAsness \u65bc\u8ad6\u6587\u4ea6\u5217\u51fa\u4e8650%momentum + 50%value \u7684\u6548\u679c\uff0c\u6bd4\u55ae\u4e00factor \u7b56\u7565\u7684\u6548\u679c\u66f4\u597d\uff0cSharpe ratio \u66f4\u9ad8\u3002<\/span><\/p>\n
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$\"$ <\/a><\/p>\n
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\u5c07momentum \u653e\u5165\u6052\u6307\uff0c\u5176\u4e2d\u4e00\u500b\u505a\u6cd5\u662f\u9806\u7740\u4e0a\u6587\u7684\u9032\u8def\uff0c\u5c07\u6052\u6307\u6309\u884c\u696d\u5206\u985e<\/span>\u800c\u6bd4\u8f03\u5f7c\u6b64\u7684\u52d5\u529b\u3002\u7531\u65bc\u8fd1\u5e74\u7684\u52d5\u529b\u6108\u4f86\u6108\u77ed\uff0c\u9019\u88cf\u7528\u4e86\u4e00\u500b\u6708\u70ba\u8a08\u7b97\u6642\u9593\u9593\u8ddd\uff0c\u770b\u770b\u90a3\u500b\u884c\u696d\u5206\u985e\u4e0a\u4e00\u500b\u6708\u56de\u5831\u8f03\u597d\uff0c\u4fbf\u65bc\u4eca\u500b\u6708\u6301\u6709\uff0c\u7d50\u679c\u5982\u4e0b\uff1a<\/span><\/p>\n
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1986\u5e7411\u6708\u81f32020\u5e7412\u6708<\/span><\/td>\n \u6052\u6307<\/span><\/td>\n \u5e02\u76c8\u7387\u50f9\u503c\u6295\u8cc7<\/span><\/td>\n \u52d5\u529b\u6295\u8cc7<\/span><\/td>\n<\/tr>\n
\u5e74\u5747\u56de\u5831<\/span><\/td>\n 13.8%<\/span><\/td>\n 20.15%<\/span><\/td>\n 20.06%<\/span><\/td>\n<\/tr>\n
\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n 7.29%<\/span><\/td>\n 8.34%<\/span><\/td>\n 7.36%<\/span><\/td>\n<\/tr>\n
\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387<\/span><\/td>\n 1.89<\/span><\/td>\n 2.42<\/span><\/td>\n 2.73<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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\u518d\u9032\u968e\u4e00\u9ede\uff0c\u7528\u7b2c\u4e09\u62db\u56de\u5831\u6ce2\u5e45\u512a\u5316\u7b56\u7565\uff0c\u8a08\u7b97\u51fa\u4e0d\u540cmomentum + value \u7684\u6bd4\u4f8b\u4e0b\u7684\u56de\u5831\u53ca\u6ce2\u5e45\uff0c\u898b\u4e0b\u8868\uff1a<\/span><\/p>\n
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1986\u5e7411\u6708\u81f32020\u5e7412\u6708<\/span><\/td>\n 90% momentum + 10% value<\/span><\/td>\n 70% momentum + 30% value<\/span><\/td>\n 50% momentum + 50% value<\/span><\/td>\n 30% momentum + 70% value<\/span><\/td>\n 10% momentum + 90% value<\/span><\/td>\n<\/tr>\n
\u5e74\u5747\u56de\u5831<\/span><\/td>\n 20.07%<\/span><\/td>\n 20.09%<\/span><\/td>\n 20.11%<\/span><\/td>\n 20.13%<\/span><\/td>\n 20.14%<\/span><\/td>\n<\/tr>\n
\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n 7.25%<\/span><\/td>\n 7.18%<\/span><\/td>\n 7.3%<\/span><\/td>\n 7.6%<\/span><\/td>\n 8.06%<\/span><\/td>\n<\/tr>\n
\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387<\/span><\/td>\n 2.77<\/span><\/td>\n 2.80<\/span><\/td>\n 2.76<\/span><\/td>\n 2.65<\/span><\/td>\n 2.50<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Momentum + Value \u53ef\u4ee5\u964d\u4f4e\u6ce2\u5e45\uff0c\u539f\u56e0\u662f\u4ed6\u5011\u4f4e\u65bc1 \u7684\u95dc\u806f\u7cfb\u6578 (\u53e6\u898b\u6b64\u6587<\/a>)\uff0c\u5982\u679cmomentum + value + \u6052\u6307<\/span>\uff0c\u4e09\u8005\u5408\u4e00\u6709\u773e\u591a\u7d44\u5408\u65b9\u5f0f\uff0c\u96e3\u9053\u8981\u8a66\u5e7e\u767e\u500b\u6bd4\u4f8b\u7d44\u5408\uff1f<\/span><\/p>\n
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\u66f8\u5230\u7528\u6642\u65b9\u6068\u5c11\uff0c\u9019\u985e\u512a\u5316\u8a08\u7b97\u65bc\u4e2d\u5b78\u6578\u5b78\u5df2\u7d93\u6709\u6559\uff0c\u53ea\u8996\u4e4e\u6709\u6c92\u6709\u91cd\u8996\u77e5\u8b58\u53ca\u76f8\u95dc\u61c9\u7528\uff0c\u4e0d\u6642\u807d\u5230\u6709\u4eba\u8b1b\u8b80\u66f8\u7121\u7528\uff0c\u51fa\u9ece\u505a\u5622\u7528\u5514\u7740\uff0c\u9019\u53ea\u662f\u70ba\u8b80\u66f8\u6210\u7e3e\u5dee\u627e\u85c9\u53e3\u3002<\/span><\/p>\n
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\u6578\u5b78\u4e0a\u7684\u512a\u5316\u6d89\u53ca\u7e41\u7463\u7684\u8a08\u7b97\uff0c\u73fe\u5728\u901a\u5e38\u7528\u96fb\u8166\u8655\u7406\uff0c\u300a\u7a4d\u91d1\u5927\u53cd\u64ca\u300b\u7b2c156\u9801\u5305\u542b\u4e86\u4f7f\u7528Excel \u7684\u512a\u5316\u65b9\u5f0f\uff0c\u5927\u5bb6\u53ef\u4ee5\u7ffb\u95b1\u4e86\u89e3\u3002<\/span><\/p>\n
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Excel \u6709\u4e09\u7a2e\u512a\u5316\u65b9\u6cd5\uff1a<\/span><\/p>\n
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1. \u7dda\u6027<\/span><\/p>\n
2. \u5e73\u6ed1\u975e\u7dda\u6027<\/span><\/p>\n
3. \u975e\u5e73\u6ed1\u975e\u7dda\u6027<\/span><\/p>\n
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\u53ef\u4ee5\u7b49\u5f85\u4e00\u5169\u5206\u9418\u7684\u8a71\uff0c\u75283.\u975e\u5e73\u6ed1\u975e\u7dda\u6027<\/span> \u4fbf\u53ef\uff0c\u6b643. \u975e\u5e73\u6ed1\u975e\u7dda\u6027<\/strong> \u65b9\u6cd5\u65bcExcel \u5167\u53ebEvolutionary<\/span> \uff0c\u6b63\u5f0f\u5b78\u540d\u53ebgenetic algorithm<\/span> \uff0c\u4ee5\u524d\u672c\u7ad9\u90fd\u6709\u6587\u7ae0<\/a>\u63d0\u53ca\uff0c\u5341\u5206\u9069\u5408\u7528\u73fe\u6642\u9ad8\u901f\u96fb\u8166\u53bb\u904b\u7b97\u512a\u5316\u7d50\u679c\u3002<\/span><\/p>\n
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\u592a\u96e3\u660e\uff1f\u6216\u8005\u9072\u5572\u6709\u6642\u9593\u62cd\u4e00\u689d\u7247\u8b1b\u89e3\u4e00\u4e0b\u3002\u4e0d\u904e\u7747\u7247\u90fd\u5514\u6703\u5bb9\u6613\u5de6\uff0c\u53ea\u662f\u591a\u4e00\u500b\u89d2\u5ea6\u53bb\u7406\u89e3\u3002<\/span><\/p>\n
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Momentum factor \u65bc\u904e\u5f80\u5b8c\u52dd\u7f8e\u80a1\u6307\u6578(\u898b\u6b64<\/a>)\uff0c\u6240\u4ee5\u80fd\u65bc\u5f37\u7a4d\u91d1\u5167\u5ee3\u6cdb\u61c9\u7528\uff0c\u800c\u7b2c8\u81f3\u7b2c11\u62db\u90fd\u5728\u67d0\u7a0b\u5ea6\u4e0a\u904b\u7528\u4e86momentum\u3002<\/span><\/p>\n
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\u5ef6\u4f38\u95b1\u8b80<\/span><\/strong><\/p>\n
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Excel \u5167\u7684Solver<\/a><\/span><\/p>\n
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<\/p>\n","protected":false},"excerpt":{"rendered":"
\u7528\u6052\u6307\u6253\u6557\u6052\u6307#2 – \u52d5\u529b\u6295\u8cc7 \u9019\u500b\u7cfb\u5217\u96c6\u4e2d\u7814\u7a76\u6e2f\u80a1\u6295\u8cc7\uff0c\u52d5\u6a5f\u4e0d\u662f\u63a8\u5ee3\u79c1\u5229\u6295\u8cc7\uff0c\u800c…<\/p>\n","protected":false},"author":1,"featured_media":5430,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_uf_show_specific_survey":0,"_uf_disable_surveys":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","enabled":false},"version":2}},"categories":[1],"tags":[39,54,30,13,15,22,48,19,27,33],"class_list":["post-5422","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","tag-buy-hold","tag-position-sizing","tag-sharpe-ratio","tag-13","tag-15","tag-22","tag-48","tag-19","tag-27","tag-33"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/01\/hsi-momentum.jpg?fit=600%2C331&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1ps","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5422","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/comments?post=5422"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5422\/revisions"}],"predecessor-version":[{"id":5438,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5422\/revisions\/5438"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/5430"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=5422"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=5422"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=5422"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}