{"id":5784,"date":"2021-05-02T17:59:01","date_gmt":"2021-05-02T09:59:01","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5784"},"modified":"2021-05-02T18:05:25","modified_gmt":"2021-05-02T10:05:25","slug":"%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8129-%e7%ac%ac10%e6%8b%9b%e7%b6%9c%e5%90%88%e9%85%8d%e7%bd%ae%e7%ad%96%e7%95%a5","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/05\/%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8129-%e7%ac%ac10%e6%8b%9b%e7%b6%9c%e5%90%88%e9%85%8d%e7%bd%ae%e7%ad%96%e7%95%a5\/","title":{"rendered":"\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#29 \u2013 \u7b2c10\u62db\u7d9c\u5408\u914d\u7f6e\u7b56\u7565"},"content":{"rendered":"

\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#29 \u2013 \u7b2c10\u62db\u7d9c\u5408\u914d\u7f6e\u7b56\u7565<\/span><\/strong><\/span><\/h2>\n

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\u5148\u898b\u524d\u6587<\/a><\/span><\/p>\n

 <\/p>\n

\u7b2c10\u62db\u7d93\u6b77\u4e86\u5169\u4e09\u5e74\u7b46\u8005\u7684\u767d\u8001\u9f20\u5f0f\u6e2c\u8a66\uff0c\u53c8\u7d93\u6b77\u4e86\u8fd1\u5e74\u4f86\u5927\u4e0a\u5927\u843d\u7684\u6295\u8cc7\u5e02\u5834\uff0c\u7b46\u8005\u8a8d\u70ba\u65bc\u5f37\u7a4d\u91d1\u904b\u7528\u662f\u5be6\u7528\u53ca\u53ef\u884c\uff0c\u65bc\u662f\u5728\u65b0\u7684\u7d93\u6fdf\u9031\u671f\u958b\u59cb\u4e4b\u521d\u8207\u5927\u5bb6\u5206\u4eab\u3002\u7b2c10\u62db(\u898b2018\u5e74\u56de\u9867<\/a>)\u7684\u767c\u73fe\u5176\u5be6\u6709\u904b\u6c23\u6210\u4efd\uff0c\u8a71\u8aaa\u7b46\u8005\u90fd\u7d93\u5e38\u641c\u96c6\u4e0d\u540c\u7684TAA\u6295\u8cc7\u7b56\u7565\uff0c\u65e5\u5b50\u6709\u529f\u4e4b\u4e0b\uff0c\u5e02\u9762\u5927\u90e8\u5206\u7684TAA\u6295\u8cc7\u65b9\u6cd5\u90fd\u4e86\u7136\u65bc\u80f8\uff0c\u6108\u767c\u6398\u5f97\u4e45\uff0c\u6108\u96e3\u6709\u65b0TAA\u7b56\u7565\u88ab\u767c\u73fe\u3002<\/span><\/p>\n

 <\/p>\n

\u4e4b\u524d<\/a>\u8ac7\u53ca\u7684\u7db2\u7ad9seeking alpha \u662f\u9ad8\u624b\u96f2\u96c6\u4e4b\u5730\uff0c\u4e0d\u540c\u7684\u6295\u8cc7\u7b56\u7565\u7531\u4e0d\u540c\u4eba\u4ed5\u767c\u8868\uff0c\u773c\u82b1\u7e5a\u4e82\uff0c\u4e0d\u5c11\u73cd\u73e0\u88ab\u79be\u7a08\u519a\u4f4f\u3002<\/span><\/p>\n

 <\/p>\n

\u4f8b\u5982Wouter J. Keller \u7684Asset Allocation \u7cfb\u5217<\/a>\u5c31\u662f\u597d\u5622\u5c11\u4eba\u6b23\u8cde\u4e4b\u4e00\u3002Keller \u662f\u8377\u862d\u7684\u5927\u5b78\u6559\u6388\uff0c\u7b46\u8005\u5e7e\u5e74\u524d\u5076\u723e\u8b80\u904eKeller \u7684\u6587\u7ae0\u53ca\u7b56\u7565\uff0c\u7576\u6642\u90fd\u4e0d\u4ee5\u70ba\u7136\uff0c\u4f46\u5f8c\u4f86\u9047\u5230\u7b56\u7565\u554f\u984c\u9700\u8981\u5c0b\u6c42\u7b54\u6848\u53bb\u89e3\u6c7a\u4e4b\u969b\uff0c\u5ffd\u7136\u60f3\u8d77Keller \u7684\u505a\u6cd5\uff0c\u65bc\u662f\u518d\u91cd\u65b0\u770b\u4e00\u6b21Keller \u7684\u4e00\u773e\u7b56\u7565\uff0c\u96d6\u7136\u7576\u4e2d\u7684\u5c11\u90e8\u5206\u64cd\u4f5c\u6709\u9ede\u5947\u602a\u53ca\u4e0d\u5e38\u898b\uff0c\u4f46\u6548\u679c\u537b\u662f\u51fa\u4e4e\u610f\u6599\u5730\u597d\u3002<\/span><\/p>\n

 <\/p>\n

Keller \u8fd1\u5e74\u7684\u6295\u8cc7\u7b56\u7565\u6709\u4ee5\u4e0b\u5404\u6b3e\uff1a<\/span><\/p>\n

 <\/p>\n

Lazy Momentum with Growth-Trend timing: Resilient Asset Allocation (RAA)<\/strong><\/p>\n

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)<\/strong><\/p>\n

Breadth Momentum and Vigilant Asset Allocation (VAA)<\/strong>: Winning More by Losing Less<\/p>\n

Protective Asset Allocation (PAA)<\/strong>: A Simple Momentum-Based Alternative for Term Deposits<\/p>\n

 <\/p>\n

 <\/p>\n

\u7db2\u7ad9 TrendXplorer<\/a> \u53caAllocatesmartly<\/a>\u00a0\u5df2\u5c07\u4e4b\u5316\u6210\u6bcf\u6708\u8a0a\u865f\u3002<\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

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

\u53e6\u898bBCT\u9280\u806f\u8b1b\u5ea7<\/a><\/p>\n

 <\/p>\n

 <\/p>\n

\u7b2c\u5341\u62db\u6e90\u81eaKeller \u7684VAA \u53caDAA<\/span> \uff0c\u7b46\u8005\u5c07\u64cd\u4f5c\u7d30\u7bc0\u6309\u5f37\u7a4d\u91d1\u7684\u7279\u6027\u4f5c\u51fa\u6539\u826f\uff0c\u6210\u70ba\u7b2c\u5341\u62db\u7684\u300c\u7d9c\u5408\u914d\u7f6e\u7b56\u7565\u300d<\/strong>(\u898b\u4e0a\u5716)<\/span>\uff0c\u6240\u4ee5\u5927\u5bb6\u8981\u5148\u8b80\u539f\u6587<\/a>\uff0c\u7136\u5f8c\u518d\u770b\u4ee5\u4e0b\u7b46\u8005\u7684\u6539\u826f\u64cd\u4f5c\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\u6539\u826f1. Risky and cash universes<\/span><\/strong><\/p>\n

 <\/p>\n

DAA \u6709risk on \/ risk off<\/a> \u7684\u64cd\u4f5c\u8a2d\u5b9a\uff0crisk on \u6642\u6295\u8cc7\u65bc risky universe \uff0crisk off \u6642\u6295\u8cc7\u65bccash universe \u3002\u7b46\u8005\u65bc\u5f37\u7a4d\u91d1\u8a08\u5283\u5167\u7684risky universe \u662f\u4ee5\u80a1\u7968\u57fa\u91d1\u53ca\u80a1\u591a\u50b5\u5c11\u7684\u6df7\u5408\u8cc7\u7522\u57fa\u91d1\u70ba\u4e3b\uff0c\u5176\u9918\u80a1\u5c11\u50b5\u591a\u3001\u50b5\u5238\u3001\u4fdd\u5b88\u3001\u8ca8\u5e63\u5e02\u5834\u57fa\u91d1\u5247\u5217\u5165cash universe \uff0c\u4e0d\u8003\u616e\u76ee\u6a19\u5e74\u671f\u57fa\u91d1\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\u6539\u826f2. Risk on \/risk off \u5224\u65b7<\/span><\/strong><\/p>\n

 <\/p>\n

\u7b46\u8005\u7684\u7b2c\u5341\u62db\u6cbf\u7528DAA \u7684canary \u8a2d\u5b9a\uff0c\u4ee5\u5169\u96bb\u5916\u9593ETF \u505arisk on \/ risk off \u5224\u5b9a\u57fa\u790e\uff0c\u4e0d\u904e\u7b46\u8005\u7684\u7b2c\u5341\u62db\u53ea\u6709\u5168risk on \u8207\u53ca\u5168risk off \u7684\u5224\u65b7\uff0c\u6c92\u6709\u50cfDAA \u5167\u4e00\u534a risk on \/\u4e00\u534a risk off \u7684\u4e2d\u9593\u8a2d\u5b9a\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\u6539\u826f3. \u6301\u6709\u57fa\u91d1\u6578\u91cf<\/span><\/strong><\/p>\n

 <\/p>\n

\u5224\u65b7\u4e86risk on \/ risk off \u4e4b\u5f8c\uff0c\u8981\u630913612W \u7684\u52d5\u529b\u8a08\u7b97\u53bb\u6392\u57fa\u91d1\u9078\u64c7\uff0c\u7b46\u8005\u7528\u512a\u5316Sharpe ratio \u53bb\u8003\u616e\u57fa\u91d1\u7684\u6301\u6709\u6578\u91cf\uff0c\u898b\u4e0b\u8868\u7684\u5c55\u793a\uff1a<\/span><\/p>\n

 <\/p>\n

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

\u4ee5\u4e2d\u9280\u4fdd\u8aa0\u7c21\u6613\u70ba\u4f8b\u5b50<\/p>\n

 <\/p>\n

\u8c4e\u5411\u662frisky universe \u7684\u6301\u6709\u57fa\u91d1\u6578\u91cf\uff0c\u6a2a\u5411\u662fcash universe \u7684\u6301\u6709\u57fa\u91d1\u6578\u91cf\u3002\u4ee5\u4e0a\u8868\u70ba\u4f8b\uff0c\u6700\u512a\u5316\u7684Sharpe ratio = 2.9\uff0c\u5927\u6982\u5728cash universe \u70ba2\u96bb\u57fa\u91d1\u53carisky universe \u7684\u6301\u6709\u6578\u91cf\u75315 \u96bb\u81f38\u96bb\u3002\u5f9e\u4e0a\u8868\u7684\u7d50\u679c\u4f86\u770b\uff0c\u7b2c\u5341\u62db\u7684Sharpe ratio \u4e0d\u6703\u56e0\u6301\u6709\u57fa\u91d1\u7684\u6578\u91cf\u800c\u8b8a\u5316\u592a\u5927\uff0cnot sensitive to parameters \u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\u6539\u826f4. Canary universe<\/span><\/strong><\/p>\n

 <\/p>\n

\u7b46\u8005\u5617\u8a66\u904e\u4e0d\u7528canary universe\u5169\u96bb\u5916\u9593\u57fa\u91d1\u56de\u5831\u53bb\u505arisk on \/ risk off \u5224\u65b7\uff0c\u53cd\u800c\u50cfVAA \u822c\u7528risky universe \u5167\u6240\u6709\u57fa\u91d1\u53bb\u505arisk on \/ risk off \u5224\u65b7\uff0c\u6548\u679c\u6bd4DAA \u7684\u53ea\u5dee\u4e00\u9ede\u9ede\uff0c\u90fd\u662f\u503c\u5f97\u8003\u616e\u7684\u7c21\u5316\u64cd\u4f5c\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u7b2c\u5341\u62db\u7d50\u679c\uff1a<\/span><\/strong><\/span><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n
\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45<\/td>\n\u7b2c10\u62db\u7d9c\u5408\u914d\u7f6e\u7b56\u7565<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\u9280\u806f<\/span><\/td>\n9.98%\/3.25% = 3.07<\/span><\/td>\n<\/tr>\n
\u6ed9\u8c50<\/span><\/td>\n10.74%\/3.54% = 3.03<\/span><\/td>\n<\/tr>\n
\u4fe1\u5b89800<\/span><\/td>\n11.00%\/3.97% = 2.77<\/span><\/td>\n<\/tr>\n
\u6c38\u660e\u5f69\u8679<\/span><\/td>\n12.53%\/3.59% = 3.49<\/span><\/td>\n<\/tr>\n
\u5b89\u806f<\/span><\/td>\n12.45%\/3.71% = 3.35<\/span><\/td>\n<\/tr>\n
\u5bcc\u9054<\/span><\/td>\n10.70%\/3.51% = 3.05<\/span><\/td>\n<\/tr>\n
\u4e2d\u9280\u4fdd\u8aa0\u7c21\u6613<\/span><\/td>\n9.04%\/3.03% = 2.98<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

\u75312004\u5e74\u81f32021\u5e743\u6708<\/p>\n

 <\/p>\n

\u7b2c10\u62db\u7d9c\u5408\u914d\u7f6e\u7b56\u7565\u7684\u5e74\u5747\u56de\u5831\u670910%\uff0c\u6309\u6708\u6ce2\u5e453.5%\u5de6\u53f3\uff0c\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45\u7684\u6bd4\u7387\u90543\u4ee5\u4e0a\uff0c\u7531\u958b\u59cb\u6253\u5de5\u81f3\u9000\u4f11\u524d\u5168\u671f\u7686\u53ef\u61c9\u7528\uff0c\u8868\u73fe\u5341\u5206\u5f37\u52c1\uff0c\u662f\u7b46\u8005\u6240\u898b\u65bc\u5f37\u7a4d\u91d1\u74b0\u5883\u8868\u73fe\u6700\u9802\u5c16\u7684TAA\u3002<\/strong><\/span><\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u5c0f\u7d50\uff1a<\/span><\/strong><\/span><\/p>\n

 <\/p>\n

\u812b\u96e2\u6295\u8cc7\u521d\u54e5<\/a>\u5c31\u8981\u81ea\u5df1DIY \uff0c<\/span>\u5927\u5bb6\u6709\u80fd\u529b\u6309\u300c\u7a4d\u91d1\u5927\u53cd\u64ca\u300d\u53bb\u64cd\u4f5c7\u62db\u7684\u8a71\uff0c\u95b1\u8b80\u5b8cKeller \u7684\u6587\u7ae0\u3001\u5ef6\u4f38\u95b1\u8b80<\/strong>\u53ca\u672c\u6587\uff0c\u61c9\u8a72\u6709\u80fd\u529b\u81ea\u88fd\u7b2c\u5341\u62db\u3002<\/span><\/p>\n

 <\/p>\n

\u6c92\u6709DIY \u50be\u5411\u7684\uff0c\u552f\u6709\u7b49\u5f85MPFier<\/a> \u7684\u66f4\u65b0\u958b\u767c\u3002<\/span><\/p>\n

 <\/p>\n

\u7167\u820a\uff0c\u5982\u6709\u56f0\u96e3\uff0c\u53ef\u96fb\u90f5excel file\u7d66\u7b46\u8005\u4ea4\u6d41\u4ea4\u6d41\u3002<\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u5ef6\u4f38\u95b1\u8b80<\/span><\/strong><\/span><\/p>\n

 <\/p>\n

TrendXplorer\u00a0 \u7684VAA<\/a> \u53ca DAA<\/a> \u6587\u7ae0<\/span><\/p>\n

 <\/p>\n

\u9999\u6e2f\u66ab\u6642\u5514\u898b\u6709\u4eba\u8b1bKeller (\u5176\u5be6TAA\u90fd\u5187\u4eba\u8b1b)\uff0c\u4f46\u7b46\u8005\u7559\u610f\u5230\u97d3\u570b\u6709\u4eba\u8b1b\uff0c\u4ef2\u6709\u7247\u3001\u6709google sheet\u3001\u6709tradingview code\u3001\u6709app\u53bb\u505aVAA\uff0c\u898b\u4e0b\u5217\u5404\u77ed\u7247 \u3002\u9999\u6e2f\u4eba\u771f\u4fc2\u8981\u722d\u6c23\u4e0a\u9032\uff0c\u5514\u597d\u518d\u570d\u7210\u7528\u7d9c\u85dd\u5927\u96dc\u71f4\u74b0\u4fdd\u65b9\u5f0f\u53bbrepeat \u53c8repeat \u55f0\u5572\u81ea\u5df1\u90fd\u5514\u7528\u5605\u6295\u8cc7\u5fc3\u6cd5\u3001\u521d\u54e5\u9677\u9631\u3001\u7531\u7834\u7522\u5230\u8cb7\u6a13\u3001\u4e0b\u661f\u671f\u500b\u5e02\u9ede\u7747\u3001\u5462\u500bnumber\u4e0a\u671b\u5e7e\u591a\u7b49\u7b49\u5ee2\u6587\u5ee2\u7247\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\u5462\u4f4d\u4eba\u5144\u5572\u7247\u505a\u5f97\u5e7e\u597d (\u7b46\u8005\u7528youtube \u7ffb\u8b6f\u7747\u4ee5\u4e0b\u97d3\u6587\u7247)<\/span><\/p>\n