{"id":5836,"date":"2021-05-16T22:49:13","date_gmt":"2021-05-16T14:49:13","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5836"},"modified":"2021-05-16T22:49:13","modified_gmt":"2021-05-16T14:49:13","slug":"%e7%a7%81%e4%ba%ba%e7%8f%8d%e8%97%8f%e7%9a%84taa","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/05\/%e7%a7%81%e4%ba%ba%e7%8f%8d%e8%97%8f%e7%9a%84taa\/","title":{"rendered":"\u79c1\u4eba\u73cd\u85cf\u7684TAA"},"content":{"rendered":"

\u79c1\u4eba\u73cd\u85cf\u7684TAA<\/span><\/strong><\/span><\/h2>\n

 <\/p>\n

\u5148\u95b1\u524d\u6587\uff1a\u75ab\u60c5\u4e0b\u7684\u6295\u8cc7\u8cfa\u8755<\/a><\/span><\/p>\n

 <\/p>\n

Tactical Asset Allocation<\/span> \u662f\u8fd1\u4ee3\u6700\u7576\u6642\u5f97\u4ee4\u7684\u6295\u8cc7\u65b9\u5f0f\uff0c\u53ef\u60dc\u9999\u6e2f\u4eba\u7684\u6295\u8cc7\u65b9\u5f0f\u53ea\u81ea\u9650\u65bc\u807d\u6d88\u606f\u53ca\u9078\u80a1\uff0c\u65e5\u65e5\u4f9d\u8cf4\u300c\u65b0\u805e\u300d\u53bb\u505a\u6295\u8cc7\u6c7a\u5b9a\uff0c\u83ab\u8b1b\u8a71smart beta<\/a>\u53carisk parity<\/a>\uff0c\u5c31\u9023\u5c31\u5feb\u904e\u6c23\u5605\u50f9\u503c\u6295\u8cc7<\/a>\uff0c\u90fd\u4ef2\u672a\u666e\u53ca\u61c9\u7528\u3002<\/span><\/p>\n

 <\/p>\n

Strategic Asset Allocation<\/span> \u662f\u6295\u8cc7\u65bc\u6027\u50f9\u6bd4(\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387<\/span>) \u8f03\u597d\u7684\u6295\u8cc7\u65b9\u5f0f\uff0c\u5c07\u80a1\u7968\u53ca\u50b5\u5238\u4f5c\u51fa\u7c21\u55ae\u914d\u7f6e\uff0c\u50cf\u5f37\u7a4d\u91d1\u7684\u9810\u8a2d\u6295\u8cc7\u7b56\u7565<\/span>\uff0c\u5df2\u7d93\u6eff\u8db3\u4e86\u5f88\u591a\u4eba\u7684\u6295\u8cc7\u9700\u8981\u3002<\/span>\u7531SAA 60\/40 \u5ef6\u4f38\u51fa\u4f86\u7684\u8cc7\u7522\u914d\u7f6e\u7b56\u7565\uff0c\u4f8b\u5982 permenant portfolio \u53ca gorden portfolio<\/a> \u00a0\u52a0\u5165\u591a\u5143\u8cc7\u7522\u4f5c\u70ba\u8b8a\u5316\uff0c\u9032\u4e00\u6b65\u63d0\u5347\u6027\u50f9\u6bd4(\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387) \u3002<\/span><\/p>\n

 <\/p>\n

\u800c\u7531Fama&French \u7684 three-factor model \u800c\u8d77\u7684 style\u3001factor investing\u3001smart beta \u7b49\u7b49\u6295\u8cc7\u65b9\u5411\uff0c\u5c07\u6295\u8cc7\u56de\u5831\u5206\u62c6\u65ac\u958b\uff0c\u76ae\u8089\u5206\u96e2\u4e00\u4ef6\u4e00\u4ef6\u4f86\u7814\u7a76\uff0c\u6f38\u6f38\u5f62\u6210Tactical Asset Allocation\u3002<\/span><\/p>\n

 <\/p>\n

\u7528\u98f2\u9152\u4f5c\u6bd4\u55bb\uff0c\u820a\u5f0f\u9078\u80a1<\/span>\u5c31\u50cf\u5288\u9152\uff0c\u7528\u9152\u7cbe(\u56de\u5831<\/span>) \u53bb\u81ea\u6211\u6eff\u8db3\u70ba\u4e3b\uff0c\u5c0d\u9152\u8cea\u7121\u8981\u6c42\uff0c\u53ea\u8981\u5920\u300c\u54fd\u300d\uff0c\u98f2\u5f97\u9189\u5c31\u662f\u723d\u3002<\/span><\/p>\n

 <\/p>\n

\u4e8c\u6230\u5f8c\uff0c\u8ca1\u52d9\u7d93\u6fdf\u5b78\u8853<\/span>\u958b\u59cb\u840c\u82bd\uff0c\u6295\u8cc7\u4eba\u4ed5\u958b\u59cb\u7a76\u6295\u8cc7\u65b9\u6cd5\u53ca\u6ce8\u610f\u54c1\u5473\uff0c\u4f8b\u5982\u516c\u53f8\u5e33\u76ee\u3001\u57fa\u672c\u56e0\u7d20\u3001\u76c8\u5229\u9810\u6e2c\u3001\u50f9\u503c\u5206\u6790<\/a>\uff0c\u50cf\u9418\u60c5\u6cd5\u570bfine wine \u7d05\u9152\u4e00\u6a23\uff0c\u53c8terroir\u53c8\u55ae\u5be7\uff0c\u5c0d\u9152\u8cea\u6709\u8981\u6c42\uff0c\u8981\u98f2\u5f97\u53c8\u5132\u5f97\u3002<\/span><\/p>\n

 <\/p>\n

\u8fd1\u4ee3\u7684ETF \u53caSAA<\/span>\uff0c\u50cf\u8499\u8457\u773c\u8aaa\u611b\u4f60<\/del>\u98f2\u65b0\u4e16\u754c\u7d05\u9152\u6253\u6557\u6cd5\u570b\u4e0a\u7b49\u4eba\u4e00\u6a23\uff0c\u76f2\u62f3\u6253\u6b7b\u8001\u5e2b\u5085\uff0c\u4e00\u96bb2800.hk \u53ca\u4e00\u96bbSPY \u53eb9\u6210\u5c08\u696d\u5168\u8077\u8cc7\u6df1\u57fa\u91d1\u6295\u8cc7\u7d93\u7406\u6536\u76ae\u8df3\u6a13\uff0c\u6563\u6236\u5e2b\u5976\u5728\u624b\u6a5f\u4e00\u6307\u4e00\u80a1\u53ef\u4ee5\u8cb7\u4e0b\u5168\u4e16\u754c\u3002<\/span><\/p>\n

 <\/p>\n

\u5230\u4e86TAA<\/span> \u5e74\u4ee3\uff0c\u54c1\u5473\u98f2\u54c1\u4e0d\u6b62\u65bc\u7d05\u9152\uff0c\u9084\u6709\u767d\u9152\u3001\u751c\u9152\u3001\u6c23\u9152\u3001\u6e05\u9152\u3001\u5a01\u58eb\u5fcc\u3001\u5496\u5561\u3001\u5976\u8336\uff0c\u5404\u5f0f\u5404\u6a23\u7684\u591a\u5143\u6295\u8cc7\u65b9\u5f0f\uff0c\u4ee4\u4eba\u53ea\u80fd\u7528\u300c\u5927\u89c0\u5712\u300d\u53bb\u5f62\u5bb9<\/span>(\u898bJohn Cochrane \u7684 factor zoo<\/a>)\u00a0 \uff0c\u722d\u598d\u9b25\u9e97\uff0c\u597d\u4e0d\u7cbe\u5f69\u3002<\/span><\/p>\n

 <\/p>\n

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

 <\/p>\n

 <\/p>\n

\u7b46\u8005\u6d41\u9023\u65bc\u300cTAA zoo\u300d\uff0c\u65bc\u5927\u89c0\u5712\u5167\u6a02\u4e0d\u601d\u8700\uff0c\u6bcf\u5929\u90fd\u6709\u65b0\u9a5a\u559c\u3002<\/span><\/p>\n

 <\/p>\n

\u7b46\u8005\u53c3\u89c0\u5b8c\u5927\u89c0\u5712\u4e4b\u5f8c\uff0c\u5076\u800c\u5e36\u4e86\u4e00\u4e9b\u624b\u4fe1\u56de\u6e2f<\/span>\uff0c\u70ba\u5f37\u7a4d\u91d1<\/strong>\u6295\u8cc7\u5e36\u4f86\u4e00\u9ede\u8272\u5f69\u3002\u66ab\u6642\u4e00\u5171\u670912\u62db\uff0c\u9023\u540c\u4e00\u4e9b\u8b8a\u5316\uff0c\u5927\u81f4\u7684\u56de\u5831\/\u6ce2\u5e45\u8868\u73fe\u5982\u4e0b\uff1a<\/span><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
<\/td>\n\u5e74\u5747\u56de\u5831<\/span><\/td>\n\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n\u00a0\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45\u00a0<\/span><\/td>\n<\/tr>\n
\u5927\u5305\u570d<\/a><\/span><\/td>\n3%<\/td>\n3%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 1.00<\/td>\n<\/tr>\n
\u5e73\u5747\u7dda<\/span><\/td>\n4%<\/td>\n4%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 1.00<\/td>\n<\/tr>\n
\u56de\u5831\u6ce2\u5e45\u512a\u5316<\/span><\/td>\n5%<\/td>\n4%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 1.25<\/td>\n<\/tr>\n
\u50f9\u503c\u5e73\u5747<\/span><\/td>\n5%<\/td>\n3%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 1.67<\/td>\n<\/tr>\n
\u79fb\u52d5\u5e73\u5747<\/span><\/td>\n7%<\/td>\n4%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 1.75<\/td>\n<\/tr>\n
\u52d5\u529b\u6295\u8cc7<\/span><\/td>\n8%<\/td>\n4%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 2.00<\/td>\n<\/tr>\n
\u96d9\u91cd\u52d5\u529b<\/a><\/span><\/td>\n10%<\/td>\n4%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 2.50<\/td>\n<\/tr>\n
\u6ce2\u5e45\u8ffd\u8e64<\/span><\/a><\/td>\n9%<\/td>\n4.5%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 2.00<\/td>\n<\/tr>\n
\u7d9c\u5408\u914d\u7f6e<\/span><\/a><\/td>\n10%<\/td>\n3.5%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 2.86<\/td>\n<\/tr>\n
\u591a\u91cd\u6230\u8853<\/span><\/a><\/td>\n11%<\/td>\n3.5%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 3.14<\/td>\n<\/tr>\n
\u76ee\u6a19\u6ce2\u5e45<\/span><\/a><\/td>\n5%<\/td>\n2%<\/td>\n\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 2.50<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

 <\/p>\n

 <\/p>\n

\u4e0a\u6b21\u53c3\u8207\u4e86BCT\u8b1b\u5ea7\u6d3b\u52d5<\/a>\uff0c\u6709\u641e\u624b\u554f\u7b46\u8005\u5e73\u6642\u5982\u4f55\u6295\u8cc7\uff0c\u4ee4\u7b46\u8005\u4e00\u6642\u8a9e\u585e\u3002\u56e0\u70ba\u5e73\u6642\u7d55\u5c11\u8207\u4eba\u4ea4\u8ac7\u5f37\u7a4d\u91d1\u4ee5\u5916\u7684\u500b\u4eba\u6295\u8cc7\u3002\u4e00\u4f86\u5b8c\u5168\u7121\u8cb7\u6e2f\u80a1\uff0c\u6c92\u6709\u6a5f\u6703\u8207\u4eba\u8a0e\u8ad6\u540d\u5b57\u53e4\u602a\u7684\u65b0\u80a1\uff1b\u4e8c\u4f86\u500b\u4eba\u6295\u8cc7\u7684TAA \u4ee5ETF \u4f86\u64cd\u4f5c\uff0c\u500b\u5225\u80a1\u4efd\u4ea6\u53ea\u662ffactor investing\u4e0b\u7684\u6392\u5217\u7d50\u679c\uff0c\u6c92\u6709\u50cf\u64cd\u4f5c\u55ae\u4e00\u80a1\u7968\u4e00\u822c\uff0c\u76ef\u4f4f\u50f9\u683c\u4e0a\u4e0a\u843d\u843d\u3002<\/span><\/p>\n

 <\/p>\n

\u5f37\u7a4d\u91d1\u7b2c10\u300111\u53ca12\u62db\u7684\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\u9054\u52303<\/span> \uff0c\u5df2\u7d93\u597d\u53fb\u4ed4\uff0c\u4f46\u65bc\u5f37\u7a4d\u91d1\u4ee5\u5916\u7684\u500b\u4eba\u6295\u8cc7<\/strong>\u4f86\u8aaa\uff0c\u6bd4\u7387\u53ea\u67093\u7684\u8a71\uff0c\u57fa\u672c\u4e0a\u4e0d\u5165\u6d41\u3002\u7b46\u8005\u7684\u500b\u4eba\u6295\u8cc7\u7684TAA \u6536\u85cf<\/strong>\uff0c\u4ee5\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\u70ba3 \u4f5c\u958b\u59cb\uff0c\u771f\u6b63\u653e\u9322\u6295\u53bb\u7b56\u7565\u5167\u6295\u8cc7\u7684\u8a71\uff0c\u6bd4\u7387\u8d77\u78bc\u8981\u6bd4\u7387\u9054\u52305\u4ee5\u4e0a\u3002<\/span><\/p>\n

 <\/p>\n

\u4e00\u822c\u4f86\u8aaa\uff0c\u500b\u4eba\u6295\u8cc7\u7684TAA \u7b56\u7565\uff0c\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387 4\u81f36 \u70ba\u6b63\u5e38TAA\u6295\u8cc7\u8005\u5e38\u7528\u7684\u7b56\u7565\u3002\u4f8b\u5982\u7b2c10\u62db\u80cc\u5f8c\u7684VAA \u53caDAA \uff0c\u7d93\u7b46\u8005\u8abf\u7bc0\u5f8c\u7528\u65bc\u500b\u4eba\u6295\u8cc7\uff0c\u6bd4\u7387\u70ba5 \u5de6\u53f3\uff0c\u898b\u4e0b\u7b46\u8005\u7684\u79c1\u4eba\u6295\u8cc7TAA \u7b56\u7565\u6536\u85cf<\/strong>\uff1a<\/span><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
\u3000TAA \u7b56\u7565<\/span><\/td>\n\u5e74\u5747\u56de\u5831<\/span><\/td>\n\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n\u00a0\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45\u00a0<\/span><\/td>\n<\/tr>\n
1<\/span><\/td>\n31.00%<\/span><\/td>\n3.80%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 8.27<\/span><\/td>\n<\/tr>\n
2<\/span><\/td>\n6.80%<\/span><\/td>\n0.90%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 7.56<\/span><\/td>\n<\/tr>\n
3<\/span><\/td>\n8.00%<\/span><\/td>\n1.10%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 7.27<\/span><\/td>\n<\/tr>\n
4<\/span><\/td>\n40.00%<\/span><\/td>\n6.00%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 6.67<\/span><\/td>\n<\/tr>\n
5<\/span><\/td>\n7.30%<\/span><\/td>\n1.10%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 6.64<\/span><\/td>\n<\/tr>\n
6<\/span><\/td>\n11.00%<\/span><\/td>\n1.70%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 6.47<\/span><\/td>\n<\/tr>\n
7<\/span><\/td>\n16.00%<\/span><\/td>\n2.60%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 6.15<\/span><\/td>\n<\/tr>\n
8<\/span><\/td>\n20.00%<\/span><\/td>\n3.30%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 6.06<\/span><\/td>\n<\/tr>\n
9<\/span><\/td>\n9.50%<\/span><\/td>\n1.60%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.94<\/span><\/td>\n<\/tr>\n
10<\/span><\/td>\n27.00%<\/span><\/td>\n4.70%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.74<\/span><\/td>\n<\/tr>\n
11<\/span><\/td>\n17%<\/span><\/td>\n3.00%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.67<\/span><\/td>\n<\/tr>\n
12<\/span><\/td>\n12.00%<\/span><\/td>\n2.20%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.45<\/span><\/td>\n<\/tr>\n
13<\/span><\/td>\n19.00%<\/span><\/td>\n3.50%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.43<\/span><\/td>\n<\/tr>\n
14<\/span><\/td>\n17.00%<\/span><\/td>\n3.20%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.31<\/span><\/td>\n<\/tr>\n
15<\/span><\/td>\n9.00%<\/span><\/td>\n1.80%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.00<\/span><\/td>\n<\/tr>\n
16<\/span><\/td>\n6.50%<\/span><\/td>\n1.30%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.00<\/span><\/td>\n<\/tr>\n
17<\/span><\/td>\n13.00%<\/span><\/td>\n2.60%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.00<\/span><\/td>\n<\/tr>\n
18<\/span><\/td>\n11.00%<\/span><\/td>\n2.20%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 5.00<\/span><\/td>\n<\/tr>\n
19<\/span><\/td>\n11.80%<\/span><\/td>\n2.40%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.92<\/span><\/td>\n<\/tr>\n
20<\/span><\/td>\n17.00%<\/span><\/td>\n3.50%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.86<\/span><\/td>\n<\/tr>\n
21<\/span><\/td>\n19.00%<\/span><\/td>\n4.00%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.75<\/span><\/td>\n<\/tr>\n
22<\/span><\/td>\n9.00%<\/span><\/td>\n2.00%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.50<\/span><\/td>\n<\/tr>\n
23<\/span><\/td>\n11.00%<\/span><\/td>\n2.50%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.40<\/span><\/td>\n<\/tr>\n
24<\/span><\/td>\n14.50%<\/span><\/td>\n3.30%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.39<\/span><\/td>\n<\/tr>\n
25<\/span><\/td>\n8.50%<\/span><\/td>\n2.00%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.25<\/span><\/td>\n<\/tr>\n
26<\/span><\/td>\n7.50%<\/span><\/td>\n1.80%<\/span><\/td>\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 4.17<\/span><\/td>\n<\/tr>\n
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——————————————–<\/p>\n

\u5728\u6bcf\u8655\u6ce5\u7246\u4e0a \u4e5f\u6709\u6211\u5922\u60f3<\/span>
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https:\/\/youtu.be\/WBhkpoyVAm0<\/p>\n

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\u5f8c\u8a18<\/span><\/strong><\/p>\n

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Image from <\/span><\/em>Sergey Zelinski\/Russian Academy of Sciences<\/em><\/span><\/p>\n

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