{"id":5733,"date":"2021-04-11T17:30:06","date_gmt":"2021-04-11T09:30:06","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5733"},"modified":"2021-04-14T14:34:41","modified_gmt":"2021-04-14T06:34:41","slug":"%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8126%ef%bc%8d%e5%8b%95%e5%8a%9b%e5%a4%a7%e5%8c%85%e5%9c%8d","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/04\/%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8126%ef%bc%8d%e5%8b%95%e5%8a%9b%e5%a4%a7%e5%8c%85%e5%9c%8d\/","title":{"rendered":"\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#26\uff0d\u52d5\u529b\u5927\u5305\u570d"},"content":{"rendered":"

\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#26\uff0d\u52d5\u529b\u5927\u5305\u570d<\/span><\/span><\/h2>\n

 <\/p>\n

2021\u5e743\u6708\u53d7BCT \u9280\u806f\u9080\u8acb\u8b1b\u5f37\u7a4d\u91d1\uff0c\u7576\u7136\u8d81\u6a5f\u6703\u5411\u5927\u5bb6\u767c\u4f48\u4e00\u4e0b\u6700\u65b0\u5605\u5f37\u7a4d\u91d1\u6295\u8cc7\u7b56\u7565\uff0c\u4e0d\u77e5\u5927\u5bb6\u89c0\u770b\u4e86\u6c92\u6709\uff0c\u898b\u6b64<\/a>\u3002<\/span><\/p>\n

 <\/p>\n

\u4eca\u6b21\u65bcBCT \u7684\u6f14\u8b1b\uff0c\u5c55\u793a\u4e86\u4e00\u500b\u540d\u53eb\u300c\u52d5\u529b\u5927\u5305\u570d\u300d<\/span><\/strong>\u7684\u7b56\u7565\uff0c\u672c\u6587\u5c31\u540c\u5927\u5bb6\u89e3\u91cb\u4e00\u4e0b\u5176\u5167\u5bb9\u3002<\/span><\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

 <\/p>\n

 <\/p>\n

\u8a71\u8aaa2020\u5e74\u8fb2\u66c6\u65b0\u5e74\u5e74\u4e09\u5341\u665a\u7684\u665a\u4e0a\uff0c\u767c\u5922<\/a>\u5922\u898b\u8fd1\u4f3c\u92fc\u934a\u5167\u771f\u7406\u4e4b\u9580\u5605\u60c5\u5883\u3002<\/span><\/p>\n

 <\/p>\n

\u5922\u5883\u88cf\u5927\u7d04\u662f\u6295\u8cc7\u6253\u958b\u4e86\uff0c\u5f88\u5feb\u4fbf\u8981\u95dc\u4e0a\uff0c\u65bc\u662f\u6211\u8d95\u5feb\u9032\u5165\u9580\u5167\u770b\u770b\u6709\u4ec0\u9ebc\u795e\u5947\u7684\u7b56\u7565\uff0c\u6216\u8005\u6709\u6c92\u6709\u4e00\u4e9b\u65b0\u5947\u7684\u6295\u8cc7\u60f3\u6cd5\u3002<\/em><\/span><\/p>\n

 <\/p>\n

\"<\/a><\/em><\/p>\n

 <\/p>\n

\u9580\u4e00\u908a\u95dc\u4e0a\uff0c\u4e00\u9762\u6709\u8072\u97f3(\u6216\u610f\u8b58) \u8ddf\u6211\u8aaa\uff1a\u300c\u65e2\u7136\u4f60\u60f3\u77e5\uff0c\u5c31\u4ffe\u500b\u76ae\u6bdb\u5165\u9580\u7b56\u7565\u4f60\u77e5\u4e0b\u5566\uff01\u300d\u4e4b\u5f8c\u6709\u4e00\u6bb5\u77e5\u8b58\u8f38\u5165\u4e86\u6211\u8166\u888b\uff0c\u9580\u4e5f\u95dc\u4e0a\uff0c\u800c\u6211\u4e5f\u6eff\u8db3\u5730\u9192\u4f86\u3002<\/span><\/em><\/p>\n

 <\/p>\n

\u5927\u5bb6\u6709\u767c\u5922\u7d93\u9a57\u7684\u90fd\u77e5\u5922\u5883\u7684\u8a18\u61b6\u6709\u9650\uff0c\u518d\u7ffb\u7793\u80af\u5b9a\u6703\u5fd8\u8a18\uff0c\u65bc\u662f\u624e\u9192\u4e4b\u5f8c\u7acb\u5373\u8a18\u4e0b\u9019\u6bb5\u7531\u5922\u5883\u771f\u7406\u4e4b\u9580\u800c\u4f86\u7684\u6295\u8cc7\u7b56\u7565\uff0c\u4e4b\u5f8c\u624d\u7ffb\u7793\u3002<\/span><\/p>\n

 <\/p>\n

\u7b2c\u4e8c\u671d\u65e9\u5927\u5e74\u521d\u4e00\uff0c\u4e00\u9192\u4f86\u5c31\u5c07\u5c0b\u665a\u8a18\u4e0b\u4f86\u7684\u8f38\u5165\u96fb\u8166\u8a08\u7b97\uff0c\u7136\u5f8c\u5c07\u8a08\u7b97\u7d50\u679c\u65bcfacebook post<\/a> \u4ffe\u5927\u5bb6\u7747\uff0c\u662f\u70ba\u7b2c\u5341\u4e00\u62db<\/strong><\/span>\u3002<\/span><\/p>\n

 <\/p>\n

\u90a3\u9ebc\u672c\u6587\u7684\u4e3b\u89d2\u300c\u52d5\u529b\u5927\u5305\u570d\u300d<\/span>\u662f\u5426\u7b2c\u5341\u4e00\u62db\uff1f\u975e\u4e5f\uff0c\u300c\u52d5\u529b\u5927\u5305\u570d\u300d\u662f\u5efa\u57fa\u65bc\u7b2c\u4e00\u62db\u300c\u5927\u5305\u570d\u7b56\u7565<\/a>\u300d\u7684\u9032\u968e\u7248\uff0c\u4f46\u5be6\u969b\u64cd\u4f5c\u662f\u6e90\u81ea\u65bc\u5922\u5883\u771f\u7406\u4e4b\u9580\u7684\u64cd\u4f5c\u3002<\/span><\/p>\n

 <\/p>\n

\u9019\u500b\u767c\u5922\u5b78\u6295\u8cc7\u7684\u7d93\u6b77\u592a\u795e\u5947\uff0c\u8b1b\u90fd\u5187\u4eba\u4fe1\u3002\u53ea\u662f\u5927\u5bb6\u95b1\u8b80\u4e86\u672c\u7ad9\u5df2\u7d93\u6709\u4e00\u6bb5\u6642\u9593\uff0c\u90fd\u77e5\u9053\u7b46\u8005\u4e0d\u662f\u75f4\u7dda\u4f6c<\/a>\u3002\u7b46\u8005\u4e0d\u6703\u7528\u7384\u5b78\u98a8\u6c34\u8305\u5c71\u9053\u8853\u4f86\u505a\u7406\u6027\u5206\u6790\u53ca\u6295\u8cc7\uff0c\u4ea6\u4e0d\u6703\u6191\u611f\u89ba\u4e82\u8ad7\u4e00\u901a\uff0c\u6240\u4ee5\u5c0d\u81ea\u5df1\u5922\u5883\u5167\u7684\u6295\u8cc7\u7b56\u7565\u90fd\u662f\u300c\u534a\u4fe1\u534a\u7591\u300d\uff0c\u800c\u4f5c\u70ba\u7b2c\u4e09\u8005\u7684\u5927\u5bb6\u66f4\u61c9\u8a72\u62b1\u6709\u300c\u4e0d\u4fe1\u591a\u7591\u300d\u4f86\u770b\u5f85\u6b64\u7b49\u602a\u4e8b\u3002<\/span><\/p>\n

 <\/p>\n

\u904e\u53bb\u4e00\u5e74\u591a\uff0c\u7b46\u8005\u4e00\u908a\u505a\u767d\u8001\u9f20\u5be6\u6230\u5730\u5617\u8a66\u7531\u5922\u5883\u800c\u4f86\u7b2c\u5341\u4e00\u62db(\u898b\u6b64<\/a>)\uff0c\u4e00\u908a\u641c\u96c6\u4e00\u4e0b\u73fe\u5be6\u4e16\u754c\u5176\u4ed6\u4eba\u6709\u6c92\u6709\u4f7f\u7528\u985e\u4f3c\u7b2c\u5341\u4e00\u62db\u7684\u5be6\u969b\u64cd\u4f5c\u3002\u56e0\u70ba\u4e00\u4e9b\u5927\u8166\u7684\u7814\u7a76\u6307\u51fa\uff0c\u5922\u5883\u5176\u5be6\u662f\u65e5\u9593\u8a18\u61b6\u96dc\u788e\u7684\u68b3\u7406\uff0c\u5373\u662f\u7b2c\u5341\u4e00\u62db\u53ef\u80fd\u662f\u7b46\u8005\u904e\u5f80\u4e0d\u77e5\u5728\u4f55\u8655\u898b\u904e\u800c\u4e0d\u81ea\u77e5\uff0c\u4f46\u5927\u8166\u8a18\u4e0b\u4e86\uff0c\u7136\u5f8c\u65bc2020\u5e74\u5e74\u4e09\u5341\u665a\u7684\u5922\u5883\u91cd\u63d0\u51fa\u4f86\u3002<\/span><\/p>\n

 <\/p>\n

\u7b46\u8005\u8fd1\u5e74\u6295\u8cc7\u8208\u8da3\u53ca\u7b56\u7565\u662fTAA<\/a> \uff0c\u5c24\u5176\u662f\u63d0\u5347risk adjusted return \u5373\u63d0\u5347\u56de\u5831\/\u6ce2\u5e45 \u6bd4\u7387\u7684\u65b9\u6cd5\uff0c\u7e31\u89c0\u73fe\u6642\u7684\u767c\u5c55\uff0c\u4ee5factor investing \u56e0\u5b50\u6295\u8cc7 (\u898b\u6b64<\/a>)\u00a0 \u7684\u65b9\u5f0f\u80fd\u5920\u63d0\u5347\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\uff0c\u7b46\u8005\u4ea6\u904b\u7528\u56e0\u5b50\u6295\u8cc7\u65bc\u5f37\u7a4d\u91d1(\u898b\u7a4d\u91d1\u5927\u53cd\u64ca<\/span><\/strong>) \u3002\u7576\u4e2d\uff0c\u904b\u7528\u5f97\u6700\u591a\u7684\u662f\u8da8\u52e2(trend<\/a>)\u3001\u52d5\u529b(momentum<\/a>) \u8207\u53cavolatility (risk parity<\/a>) \u3002<\/span><\/p>\n

 <\/p>\n

\u73fe\u6642\u5168\u4e16\u754c\u7684\u64cd\u4f5c\u90fd\u662f\u5c07\u6295\u8cc7\u7269(\u4f8b\u5982\u80a1\u7968\u53ca\u50b5\u5238) \u96c6\u5408\u70ba\u4e00\u500buniverse \uff0c\u7136\u5f8c\u5c07\u56e0\u5b50\u6295\u8cc7\u61c9\u7528\u65bc\u8a72universe \u4e0a\u3002\u81f3\u65bc\u591a\u65bc\u4e00\u7a2e\u56e0\u5b50\u7684\u8a71\uff0c\u4ea6\u6709\u591a\u91cd\u56e0\u5b50\u7684\u64cd\u4f5c\u65b9\u5f0f(\u898b\u6b64<\/a>) ; \u4e0d\u904e\uff0c\u5168\u4e16\u754c\u5c31\u505c\u5728\u9019\u4e00\u6b65<\/span>\u3002<\/span><\/p>\n

 <\/p>\n

\u5922\u5883\u5167\u771f\u7406\u4e4b\u9580\u7684\u6295\u8cc7\u7b56\u7565\uff0c\u5c31\u662f\u7531\u9019\u4e00\u6b65\u958b\u59cb\u518d\u64f4\u5c55\uff0c\u5c07\u7531risk adjusted return \u7b56\u7565\u5f97\u51fa\u4f86\u7684\u7d50\u679c\uff0c\u518d\u7d93\u904e risk adjusted return \u7b56\u7565\u5f9e\u982d\u78e8\u7df4\u4e00\u6b21\uff0c\u751a\u81f3\u5169\u6b21\u3001\u4e09\u6b21\uff0c\u6216\u66f4\u591a\u6b21\u800c\u6210<\/span>\uff0c\u5373\u662f\u7b56\u7565\u4e0a\u7684\u7b56\u7565<\/span><\/strong>\uff0c\u5b8c\u5168\u8d85\u4e4e\u7b46\u8005\u7684\u60f3\u50cf\u3002<\/span><\/p>\n

 <\/p>\n

\u5177\u9ad4\u4e00\u9ede\u4f86\u8aaa\uff0c\u5c31\u662f\u5c07\u934a\u597d\u4e86\u501a\u5929\u528d\u53ca\u5c60\u9f8d\u5200\uff0c\u5c07\u5b83\u5011\u7194\u6389\u518d\u934a\u4e00\u6b21\uff1b\u4ea6\u5c31\u50cf\u6253\u6a5f\u934a\u6b66\u5668\u88dd\u5099\u4e00\u6a23(ooops \u96e3\u9053\u9019\u5c31\u662f\u8a18\u61b6\u7684\u7531\u4f86 @@ )\u3002<\/span><\/p>\n

 <\/p>\n

\u518d\u5177\u9ad4\u4e00\u9ede\uff0c\u4f8b\u5982\u5c31\u662f\u672c\u6587\u7684\u4e3b\u89d2\u300c\u52d5\u529b\u5927\u5305\u570d<\/span><\/strong>\u300d\u3002\u9867\u540d\u601d\u7fa9\uff0c\u5c31\u662f\u52d5\u529b\u52a0\u5165\u53bb\u5927\u5305\u570d<\/strong><\/span>\u3002\u5927\u5305\u570d\u7b56\u7565\u5927\u5bb6\u61c9\u8a72\u90fd\u8a8d\u8b58\uff0c\u6216\u53ef\u65bcMPFier \u770b\u770b\u64cd\u4f5c\u5167\u5bb9\uff0c\u5982\u6b64Navie \u7684portofolio (\u898b\u6b64\u6587<\/a>) \u4e00\u822c\u53d7\u4eba\u5ffd\u7565\u3002<\/span><\/p>\n

 <\/p>\n

\u4f46\u5982\u679c\u5c07\u52d5\u529b\u6295\u8cc7\u7b56\u7565\u518d\u7528\u4e00\u6b21\u65bc\u5927\u5305\u570d\u7684\u7d50\u679c<\/strong>\uff0c\u5373\u662f\u7528\u8f03\u77ed\u6642\u9593\u9593\u8ddd(\u4f8b\u5982\u4e00\u500b\u6708) \u53bb\u5224\u65b7\u6301\u6709\u5927\u5305\u570d\u6291\u6216\u662f\u4fdd\u5b88\u57fa\u91d1<\/strong>\uff0c\u4fbf\u53ef\u4ee5\u5c07\u5927\u5305\u570d\u7684risk adjusted return \u63d0\u5347\u4e00\u500d\uff0c\u898b\u4e0b\uff1a<\/span><\/p>\n

 <\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n
\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45<\/td>\n\u5927\u5305\u570d<\/span><\/td>\n\u52d5\u529b\u5927\u5305\u570d<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\u9280\u806f<\/span><\/td>\n4.68%\/3.08% = 1.52<\/td>\n5.85%\/1.94% = 3.02<\/td>\n<\/tr>\n
\u6ed9\u8c50<\/span><\/td>\n3.68%\/3.67% = 1.00<\/td>\n5.95%\/2.19% = 2.72<\/td>\n<\/tr>\n
\u4fe1\u5b89800<\/span><\/td>\n4.10%\/3.25% = 1.26<\/td>\n4.49%\/1.93% = 2.33<\/td>\n<\/tr>\n
\u6c38\u660e\u5f69\u8679<\/span><\/td>\n5.42%\/2.84% = 1.91<\/td>\n5.16%\/1.96% = 2.64<\/td>\n<\/tr>\n
\u5b89\u806f<\/span><\/td>\n5.22%\/2.98% = 1.75<\/td>\n6.57%\/1.95% = 3.36<\/td>\n<\/tr>\n
\u5bcc\u9054<\/span><\/td>\n4.90%\/3.11% = 1.57<\/td>\n5.79%\/1.83% = 3.16<\/td>\n<\/tr>\n
\u4e2d\u9280\u4fdd\u8aa0\u7c21\u6613<\/span><\/td>\n3.30%\/3.12% = 1.06<\/td>\n4.76%\/1.91% = 2.49<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

 <\/p>\n

\u4e0d\u55ae\u53ea\u52d5\u529b\u5927\u5305\u570d\uff0c\u9019\u6280\u5de7\u7528\u65bc\u7b2c\u4e8c\u62db\u5e73\u5747\u7dda\u7b56\u7565\uff0c\u4ea6\u53ef\u4ee5\u63d0\u5347risk adjusted return \u4e00\u500d\uff0c\u6210\u70ba\u52d5\u529b\u5e73\u5747\u7dda<\/strong>\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

 <\/p>\n

\u5c0f\u7d50<\/span><\/strong><\/span><\/p>\n

 <\/p>\n

\u91cd\u8907\u591a\u6b21TAA \u6709\u5982\u6b64\u9a5a\u4eba\u6548\u679c\uff0c\u50cf\u52d5\u529b\u5927\u5305\u570d<\/strong>\u9019\u985e\u5e74\u5747\u56de\u5831\u7d046%\uff0c\u6309\u6708\u6ce2\u5e45\u4f4e\u65bc2% \u7684\u7b56\u7565\uff0c\u5341\u5206\u9069\u5408\u9000\u4f11\u4eba\u4ed5\u4f7f\u7528<\/span>\uff0c\u7c21\u55ae\u53c8\u6613\u4e0a\u624b\u3002<\/span><\/p>\n

 <\/p>\n

\u7b46\u8005\u63a5\u89f8\u4e86TAA \u5df2\u7d93\u5f88\u4e45\uff0c\u5c0dTAA \u7684\u767c\u5c55\u5df2\u6709\u500b\u4eba\u5fc3\u5f97\uff0c\u5404\u9580\u5404\u6d3e\u7684\u64cd\u4f5c\u4ea6\u4e86\u7136\u65bc\u80f8\uff0c\u66f4\u53ef\u4ee5\u5c07\u4e4b\u8f49\u5165MPF\u800c\u5353\u7136\u6210\u5bb6\u3002\u4f46\u81ea\u5df1\u65bc\u5922\u5883\u771f\u7406\u4e4b\u9580\u7684\u6b8a\u9047<\/span>\uff0c\u4ee4\u7b46\u8005\u77e5\u9053\u6295\u8cc7\u4e16\u754c\u947d\u5230\u6df1\u8655\u4e4b\u5f8c\u4ecd\u7136\u5225\u6709\u6d1e\u5929\uff0c\u5927\u958b\u773c\u754c\u4e4b\u9918\uff0c\u7f6e\u8eab\u5176\u4e2d\uff0c\u6709\u7740\u8aaa\u4e0d\u51fa\u7684\u8212\u66a2\u53ca\u6eff\u8db3\uff1b\u5927\u5343\u4e16\u754c\uff0c\u76ee\u4e0d\u6687\u7d66\uff0c\u975e\u7b46\u58a8\u53ef\u4ee5\u5f62\u5bb9\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

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