{"id":5976,"date":"2021-06-21T02:19:21","date_gmt":"2021-06-20T18:19:21","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5976"},"modified":"2021-06-21T02:19:21","modified_gmt":"2021-06-20T18:19:21","slug":"%e6%9c%80%e5%9f%ba%e7%a4%8e%e7%9a%84saa-%e5%8f%8ataa","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/06\/%e6%9c%80%e5%9f%ba%e7%a4%8e%e7%9a%84saa-%e5%8f%8ataa\/","title":{"rendered":"\u6700\u57fa\u790e\u7684SAA \u53caTAA"},"content":{"rendered":"

\u6700\u57fa\u790e\u7684SAA \u53caTAA<\/span><\/h2>\n

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\u5f37\u7a4d\u91d1\u5167\u7684\u300c\u6838\u5fc3\u7d2f\u7a4d\u57fa\u91d1\u300d<\/span>\uff0c\u662f\u4ee560%\u74b0\u7403\u80a1\u7968\u53ca40%\u74b0\u7403\u50b5\u5238<\/span>\u7d44\u5408\u800c\u6210\uff0c\u9019\u500b\u300c60\u80a1\/40\u50b5\u300d<\/span>\u7684\u7d44\u5408\uff0c\u4e00\u5411\u662fstrategic asset allocation (SAA) \u7b56\u7565\u6027\u8cc7\u7522\u914d\u7f6e\u7684\u57fa\u790e\uff0c\u662f\u6295\u8cc7\u521d\u54e5\u5fc5\u5b9a\u8981\u638c\u63e1\u7684\u6700\u57fa\u672c\u7b56\u7565\u3002\u5982\u679c\u4f60\u672a\u66fe\u6301\u6709\u904e60\/40\uff0c\u4ea6\u4e0d\u77e560\/40\u6709\u751a\u9ebc\u7279\u5225\u4e4b\u8655\u7684\u8a71\uff0c\u8acb\u5148\u95b1\u8b80<\u7a4d\u91d1\u5927\u53cd\u64ca><\/a>\u7b2c57\u9801\uff0c\u770b\u770b1+1 \u5982\u4f55\u5927\u65bc2 \u3002<\/span><\/p>\n

 <\/p>\n

\u56e0\u70ba60\/40 \u7d44\u5408\u662f\u5982\u6b64\u57fa\u790e\uff0c\u5982\u6b64\u901a\u884c\uff0c\u9023\u6700\u4fdd\u5b88\u7684\u7a4d\u91d1\u5c40\uff0c\u90fd\u653e\u5fc3\u53eb\u521d\u54e5\u963f\u6bdb\u7528\u300c\u9810\u8a2d\u6295\u8cc7\u300d\u5167\u7684\u300c\u6838\u5fc3\u7d2f\u7a4d\u57fa\u91d1\u300d\u3002\u6240\u4ee5\uff0c\u672c\u6587\u5c31\u8a0e\u8ad6\u4e00\u4e0b\u753160\/40\u7684SAA \u7d44\u5408\u6240\u884d\u751f\u7684TAA tactical asset allocation \u6230\u8853\u6027\u8cc7\u7522\u914d\u7f6e\u3002<\/span><\/p>\n

 <\/p>\n

60\/40\u7684SAA \u662f\u80a1\u7968\u53ca\u50b5\u5238\u7684\u6df7\u5408\uff0c\u7136\u5f8c\u901a\u5e38\u4e00\u5e74\u505a\u4e00\u6b21re-balance<\/a> \uff0c\u7576\u4e2d\u80a1\u7968\u90e8\u4efd\u901a\u5e38\u662f\u6295\u8cc7\u8005\u81ea\u5df1\u7576\u5730\u7684\u80a1\u7968\u3002\u7f8e\u570b\u6295\u8cc7\u66f8\u53ca\u7db2\u7ad9\uff0c\u901a\u5e38\u4ee5S&P500 \u6307\u6578\u4f5c\u70ba\u7f8e\u80a1\u7684\u4ee3\u8868\u3002\u50b5\u5238\u65b9\u9762\uff0c\u7531\u65bc\u7f8e\u5143\u53ca\u7f8e\u570b\u570b\u50b5\u7684\u901a\u884c\uff0c\u6240\u4ee5\u50b5\u5238\u4ee5\u7f8e\u570b20\u5e74\u9577\u671f\u570b\u50b5\u70ba\u4ee3\u8868\uff0c\u8fd1\u5e74\u4ea6\u51fa\u73fe\u4ee5\u7f8e\u570b10\u5e74\u4e2d\u671f\u570b\u50b5\u70ba\u8003\u616e\uff0c\u8207all-in S&P500 \u7684\u6bd4\u8f03\u898b\u4e0b<\/a>\uff1a<\/span><\/p>\n

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

 <\/p>\n

\u4e0a\u8868\u7528portfolio visualizer (PV)\u00a0<\/a> \u4f86\u8a08\u7b97\uff0c\u5927\u5bb6\u6709\u5fd7\u65bcSAA \u53caTAA \u7684\uff0c\u4e00\u5b9a\u8981\u719f\u7fd2PV \u9019\u500b\u5049\u5927\u7684\u7db2\u4e0a\u5de5\u5177\u3002<\/span><\/p>\n

 <\/p>\n

\u8981\u8a8d\u8b58SAA \u7684\u8b8a\u5316\uff0c\u5c31\u5148\u7531\u6295\u8cc7\u7269\u65bc\u7d44\u5408\u5167\u7684\u6bd4\u4f8b\u8b8a\u5316\u958b\u59cb\uff0c\u7136\u5f8c\u624d\u662f\u904b\u7528\u4e0d\u540c\u7684\u6295\u8cc7\u7269\u3002\u4ee560\/40\u70ba\u57fa\u790e\uff0c\u8b8a\u5316\u6210\u70ba70\/30\u6703\u662f\u5982\u4f55\uff1f\u53c8\u6216\u8005\u662f20\/80 (\u5373\u5f37\u7a4d\u91d1\u5167\u7684\u300c65\u6b72\u5f8c\u57fa\u91d1\u300d) \u53c8\u662f\u5982\u4f55\uff1f\u7a76\u7adf\u662f\u600e\u6a23\u7684\u80a1\u50b5\u6bd4\u4f8b\u624d\u9069\u5408\u81ea\u5df1\u6b64\u523b\u7684\u98a8\u96aa\u627f\u53d7\u80fd\u529b\u5462\uff1f\u7b54\u6848\u662f\u5148\u8003\u616e\u6ce2\u5e45(volatility) \u3002<\/span><\/p>\n

 <\/p>\n

\u4e0b\u5716<\/a>\u7528PV \u5c07S&P500, \u9577\u50b5 \u53ca\u77ed\u50b5\u4ee5\u56de\u5831\u53ca\u6ce2\u5e45\u4f5c\u8003\u616e\uff0c\u6392\u51fa\u7d44\u5408\u7684\u908a\u969b\u66f2\u7dda\uff0c\u5c31\u662f\u8afe\u8c9d\u723e\u734eHarry Markowitz \u7684\u65b9\u6cd5\uff0c\u7136\u5f8c\u7531\u9069\u5408\u81ea\u5df1\u7684\u6ce2\u5e45\u958b\u59cb\uff0c\u5411\u4e0a\u627e\u51fa\u4f4d\u65bc\u908a\u969b\u66f2\u7dda\u7684\u7d44\u5408\u6bd4\u4f8b\u3002<\/span><\/p>\n

 <\/p>\n

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

 <\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u73a9\u904e\u57fa\u672c60\/40 SAA \uff0c\u63a5\u4e0b\u4f86\u5c31\u662f\u57fa\u672c 60\/40 TAA<\/a> \u3002<\/span><\/p>\n

 <\/p>\n

\u7b2c5\u62db\u79fb\u52d5\u5e73\u5747\u53c3\u7167Meb Faber \u7684\u505a\u6cd5 (\u898b\u6b64<\/a>)\u3002\u5982\u679c\u6211\u5011\u4ee510\u500b\u6708\u70ba\u6642\u9593\u9593\u8ddd\uff0c\u904b\u7528\u79fb\u52d5\u5e73\u5747\u7b56\u7565\u65bc60\/40\u7684\u8868\u73fe\u5982\u4e0b<\/a>\uff1a<\/span><\/p>\n

 <\/p>\n

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

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 <\/p>\n

\u75311992\u5e741\u6708\u8d77\u81f32021\u5e746\u6708\uff0cMDD \u53ea\u662f -8.34% \uff0c\u5e74\u5747\u56de\u5831\u67098.49%\uff0c\u6309\u6708\u6ce2\u5e451.84%\uff0c\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45\u7684\u6bd4\u7387\u70ba4.6 \uff0c\u6bd4\u8d77\u5f37\u7a4d\u91d1\u8d0f\u4e5d\u689d\u8857\uff0c\u4f46\u65bc\u500b\u4eba\u6295\u8cc7\u53ea\u662f\u5165\u9580\u7d1a\u6578(\u898b\u6b64<\/a>) \uff0c\u521d\u54e5\u5920\u7528\u3002<\/span><\/p>\n

 <\/p>\n

\u8003\u8003\u5927\u5bb6\uff0c\u6b64TAA \u7684SWR \u53ca PWR \u662f\u591a\u5c11\uff1f\u9000\u4f11\u5f8c\u7528\u6b64TAA \u5982\u4f55\u9577\u7528\u9577\u6709\uff1f<\/span><\/p>\n

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\n

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\u53e6\u4e00\u985eTAA \u662f\u7528\u52d5\u529b\u6295\u8cc7<\/strong>\uff0c\u666e\u901a\u52d5\u529b\u6295\u8cc7\u50cf\u7b2c6\u62db<\/a>\u4e5f\u597d\uff0c\u50cf\u7b2c8\u62db<\/a>\u7684\u96d9\u91cd\u52d5\u529b\u4e5f\u597d\uff0c\u6642\u9593\u9593\u8ddd\u90fd\u662f\u77ed\u4e9b\u8f03\u597d\uff0c\u4ee5\u4e0b\u75283\u500b\u6708\u9593\u8ddd\uff0c\u904b\u7528\u52d5\u529b\u6295\u8cc7\u7b56\u7565<\/a> \u65bc60\/40\u7684\u7d50\u679c\uff1a<\/span><\/p>\n

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

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\u8ddf\u4f4f\u7528risk parity<\/strong> (\u50cf\u7b2c9\u62db<\/a>)\uff0c\u6295\u8cc7\u7269\u6578\u91cf\u5c11\u7684\u6642\u4faf\uff0crisk parity \u8207 inverse volatility \u5dee\u4e0d\u591a\u3002\u800c\u7b46\u8005\u504f\u5411\u7528inverse volatility \uff0c\u4e0d\u8003\u616e\u6295\u8cc7\u7269\u4e4b\u9593\u7684\u95dc\u806f\u7cfb\u6578\u3002\u7528risk parity \u65bc\u7f8e\u80a1\u53ca\u4e2d\u671f\u7f8e\u50b5\u7684\u8868\u73fe\u5982\u4e0b<\/a>\uff1a<\/span><\/p>\n

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

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\u7d9c\u5408\u8868\u73fe\uff1a<\/span><\/strong><\/span><\/p>\n

 <\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n
<\/td>\nall-in SPY<\/span><\/strong><\/td>\n60\/40<\/span><\/strong><\/a><\/td>\nmoving average<\/span><\/strong><\/a><\/td>\nmomentum<\/span><\/strong><\/a><\/td>\nrisk parity<\/span><\/strong><\/a><\/td>\n<\/tr>\n
\u5e74\u5747\u56de\u5831<\/span><\/td>\n10.43%<\/span><\/td>\n8.9%<\/span><\/td>\n8.48%<\/span><\/td>\n10.3%<\/span><\/td>\n6.82%<\/span><\/td>\n<\/tr>\n
\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n4.2%<\/span><\/td>\n2.46%<\/span><\/td>\n1.84%<\/span><\/td>\n2.77%<\/span><\/td>\n1.26%<\/span><\/td>\n<\/tr>\n
\u56de\u5831\/\u6ce2\u5e45<\/span><\/td>\n2.48<\/span><\/td>\n3.61<\/span><\/td>\n4.6<\/span><\/td>\n3.71<\/span><\/td>\n5.41<\/span><\/td>\n<\/tr>\n
MDD<\/span><\/td>\n-50.97%<\/span><\/td>\n-28.03%<\/span><\/td>\n-8.34%<\/span><\/td>\n-16.48%<\/span><\/td>\n-6.65%<\/span><\/td>\n<\/tr>\n
SWR<\/span><\/td>\n8.47%<\/span><\/td>\n7.71%<\/span><\/td>\n8.16%<\/span><\/td>\n8.93%<\/span><\/td>\n7.14%<\/span><\/td>\n<\/tr>\n
PWR<\/span><\/td>\n7.32%<\/span><\/td>\n6.03%<\/span><\/td>\n5.72%<\/span><\/td>\n7.38%<\/span><\/td>\n4.32%<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

1991 to 2021<\/p>\n

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

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\u5e0c\u671b\u672c\u7ad9\u7684\u8b80\u8005\uff0c\u52d9\u5fc5\u5b8c\u5168\u4e86\u89e3\u4e0a\u8ff0\u5404SAA \u53caTAA \uff0c\u7136\u5f8c\u904b\u7528\u65bc\u5f37\u7a4d\u91d1\u6295\u8cc7\uff0c\u52a0\u5f37\u81ea\u5df1\u7684\u9000\u4f11\u5132\u84c4\u3002<\/span><\/p>\n

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 <\/p>\n

 <\/p>\n

 <\/p>\n

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

\u6700\u57fa\u790e\u7684SAA \u53caTAA   \u5f37\u7a4d\u91d1\u5167\u7684\u300c\u6838\u5fc3\u7d2f\u7a4d\u57fa\u91d1\u300d\uff0c\u662f\u4ee560%\u74b0\u7403\u80a1\u7968\u53ca40%\u74b0\u7403\u50b5\u5238\u7d44\u5408\u800c\u6210…<\/p>\n","protected":false},"author":1,"featured_media":5990,"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":[4],"tags":[39,14,30,36,32,13,15,22,48,25,45,57,40,23,16,43,50,56],"class_list":["post-5976","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-4","tag-buy-hold","tag-momentum","tag-sharpe-ratio","tag-spy","tag-32","tag-13","tag-15","tag-22","tag-48","tag-25","tag-45","tag-57","tag-40","tag-23","tag-16","tag-43","tag-50","tag-56"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/06\/Back_to_Basics.png?fit=600%2C417&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1yo","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5976","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=5976"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5976\/revisions"}],"predecessor-version":[{"id":5992,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5976\/revisions\/5992"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/5990"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=5976"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=5976"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=5976"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}