{"id":6117,"date":"2021-08-08T23:27:42","date_gmt":"2021-08-08T15:27:42","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=6117"},"modified":"2021-10-14T20:49:20","modified_gmt":"2021-10-14T12:49:20","slug":"%e6%8a%95%e8%b3%87%e6%8a%95%e5%b7%a7%e5%8c%af%e7%b8%bd2-arbitrage","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/08\/%e6%8a%95%e8%b3%87%e6%8a%95%e5%b7%a7%e5%8c%af%e7%b8%bd2-arbitrage\/","title":{"rendered":"\u6295\u8cc7\u6295\u5de7\u532f\u7e3d#2 – arbitrage"},"content":{"rendered":"

\u6295\u8cc7\u6295\u5de7\u532f\u7e3d#2 – arbitrage<\/span><\/strong><\/span><\/h2>\n

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Arbitrage<\/span> \u6709\u591a\u500b\u4e2d\u6587\u7ffb\u8b6f\uff0c\u7b46\u8005\u559c\u6b61\u7528\u300c\u5957\u6225\u300d<\/span><\/strong>\u4e8c\u5b57\u3002\u5957\u6225\u662fmean reversion<\/a> \u7684\u4e00\u985e\uff0c\u6709\u904e\u4e86\u706b\u800c\u8981\u8fd4\u56de\u539f\u4f4d\u7684\u9810\u671f\u524d\u8a2d\u3002\u8207\u50f9\u503c\u6295\u8cc7<\/span>\u4e0d\u540c\u7684\u662f\uff0c\u50f9\u503c\u6295\u8cc7\u662f\u73fe\u5be6\u7684price \u8207\u865b\u69cb\u7684value \u4f5c\u6bd4\u8f03\uff0c\u662f\u81ea\u5df1\u6bd4\u81ea\u5df1\uff0c\u55ae\u4e00\u6295\u8cc7\u7269\uff1b\u800c\u5957\u6225\u901a\u5e38\u8981\u5169\u96bb\u6216\u4ee5\u4e0a<\/span>\u932f\u50f9\u7684\u6295\u8cc7\u7269\uff0c\u7b49\u5f85\u8fd4\u56de\u6b63\u5e38\u50f9\u800c\u8cfa\u9322\u3002<\/span><\/p>\n

 <\/p>\n

\u7b2c\u4e00\u500b\u4f8b\u5b50\u662f\u540c\u4e00\u9593\u4e0a\u5e02\u516c\u53f8\u7684\u540c\u4e00\u985e\u80a1\u7968\uff0c\u65bc\u4e0d\u540c\u5e02\u5834\u6709\u4e0d\u540c\u50f9\u683cprice \u4e4b\u4e0b\uff0c\u4fbf\u51fa\u73fe\u932f\u50f9\uff0c\u65bc\u81ea\u7531\u5e02\u5834\uff0c\u4fbf\u53ef\u4ee5\u8cb7\u5165\u50f9\u683c\u4f4e\u7684\u4e00\u65b9\uff0c\u540c\u6642\u8ce3\u51fa\u50f9\u683c\u9ad8\u7684\u4e00\u65b9\uff0c\u9032\u884c\u5957\u6225\uff0c\u7b49\u5f85\u96d9\u65b9\u50f9\u683c\u56de\u6b78\u76f8\u540c\u800c\u8cfa\u9322\uff0c\u898b\u7b46\u8005\u65bc2020\u5e743\u30014\u6708\u7684\u64cd\u4f5c<\/a>\u3002\u4e0d\u904e\uff0c\u5982\u679c\u662f\u96d9\u65b9\u8655\u65bc\u4e0d\u540c\u9650\u5236\u7684\u5e02\u5834\uff0c\u4f8b\u4e2d\u570bB \u80a1\u8207\u6e2f\u80a1\uff0c\u4fbf\u53ef\u80fd\u6210\u4e16\u90fd\u51fa\u73fe\u932f\u50f9\uff0c\u7b49\u5230\u5929\u8352\u5730\u8001\u90fd\u672a\u898b\u50f9\u683c\u56de\u6b78\u3002\u4ee5\u5f80\u7684high frequency trading \u53ca \u73fe\u4ee3\u7684 order flow (\u898b\u6b64<\/a>)\u00a0 \u4ea6\u7b97\u6b64\u985e\uff0c\u5c07\u4e0d\u540c\u4ea4\u6613\u6240\u6216\u4e0d\u540c\u6642\u9593\u7684\u50f9\u55ae\u627e\u51fa\u8f15\u5fae\u932f\u50f9\u3002\u8fd1\u5e74\u52a0\u5bc6\u8ca8\u5e63\u90fd\u6709\u65bc\u4e0d\u540c\u4ea4\u6613\u5834\u5408\u51fa\u73fe\u932f\u50f9\u3002<\/span><\/p>\n

 <\/p>\n

\u7b2c\u4e8c\u500b\u4f8b\u5b50\u662f\u8cb7\u8ce3\u932f\u50f9\u7684\u884d\u751f\u5de5\u5177\uff0c\u7531\u65bc\u884d\u751f\u5de5\u5177\u5982\u671f\u6b0a\u53ca\u725b\u718a\u8b49\u7b49\u8cb7\u8ce3\u91cf\u5c11\uff0c\u6d41\u91cf\u63d0\u4f9b\u8005\u7684spread \u5dee\u50f9\u5927\uff0c\u52a0\u4e0a\u6709\u6563\u6236\u4e82\u51fa\u50f9\uff0c\u4fbf\u6703\u51fa\u73fe\u4e0d\u540c\u767c\u884c\u5546\u53ca\u4e0d\u540c\u69d3\u687f\u6bd4\u7387\u7684\u884d\u751f\u5de5\u5177\u4e4b\u9593\uff0c\u6709\u5957\u6225\u6a5f\u6703\u3002<\/span><\/p>\n

 <\/p>\n

\u7b2c\u4e09\u662f\u540c\u6642\u8cb7\u8ce3\u597d\u8207\u5dee\u7684\u516c\u53f8\uff0c\u90fd\u53ef\u4ee5\u8996\u70ba\u5957\u6225\u4e00\u985e\u3002\u4f8b\u5982\u9999\u6e2f\u7684\u96fb\u8996\u5e02\u5834\uff0c\u8cb7\u5165\u7576\u7d05\u7684\u96fb\u8996\u53f0\uff0c\u8ce3\u51fa\u7576\u8870\u7684\u3002\u53c8\u6216\u662f\u8ce3\u51fa\u706b\u7d05\u7684sector \u6216\u5730\u5340\uff0c\u8ce3\u51fa\u8870\u6557\u7684\u3002<\/span><\/p>\n

 <\/p>\n

\u5957\u6225\u7684\u96e3\u5ea6\u9ad8\uff0c\u5229\u9322\u4f4e\uff0c\u4e00\u5411\u4e0d\u662f\u6563\u6236\u676f\u8336\u3002\u5957\u6225\u9996\u5148\u8981\u6709\u6cbd\u8ca8\u505a\u6de1\u7684\u80fd\u529b\uff0c\u6709\u627e\u51fa\u5957\u6225\u6295\u8cc7\u7269\u7684\u773c\u5149\u53ca\u539f\u5247\uff1b\u53c8\u8981\u6709market timing \uff0c\u638c\u63e1\u53ca\u57f7\u884c\u9032\u51fa\u5e02\u5834\u7684\u6642\u6a5f\uff1b\u4ea6\u8981\u6709\u8010\u6027\uff0c\u7b49\u5f85\u50f9\u683c\u7684\u56de\u6b78\u3002\u7b46\u8005\u505a\u5f97\u6700\u591a\u90fd\u53ea\u662f2020\u5e743\u30014\u6708\u90a3\u6bb5\u6642\u9593\uff0c\u7576\u6642\u904d\u5730\u6a5f\u6703\uff0c\u90fd\u9a5a\u4fc2\u5514\u4fc2\u5481\u597d\u57f7\uff0cIVV \u540cSPY \u7adf\u7136\u90fd\u53ef\u4ee5\u51fa\u73fe\u50f9\u5dee\uff1f\uff01ETF \u4ef2\u5dee\u904emutual fund\uff1f\uff01\u767c\u5922\u90fd\u7121\u8ad7\u904e\u3002<\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u90a3\u9ebc\uff0c\u5f37\u7a4d\u91d1\u5167\u6709\u6c92\u6709\u5957\u6225\u7684\u6a5f\u6703\uff1f\u7531\u65bc\u5f37\u7a4d\u91d1\u53ea\u6709\u8cb7\uff0c\u6c92\u6709\u6cbd\uff0c\u53c8\u6c92\u6709\u884d\u751f\u5de5\u5177\uff0c\u57fa\u672c\u4e0a\u6c92\u6709\u624b\u6bb5\u53ef\u4ee5\u64cd\u4f5c\u5957\u6225\u3002\u6b64\u5916\uff0c\u5f37\u7a4d\u91d1\u4ee5\u5e02\u503c\u4f5c\u6210\u4efd\u57fa\u91d1\u7576\u65e5\u7684\u5831\u50f9\uff0c\u53c8\u4ee5\u672a\u77e5\u50f9\u9032\u884c\uff0c\u5373\u4f7f\u6709\u5957\u6225\u6a5f\u6703\u90fd\u505a\u4e0d\u6210\u3002\u7b2c\u56db\u62db\u50f9\u503c\u5e73\u5747<\/a> value averaging \u5df2\u7d93\u662f\u8f03\u53ef\u884c\u7684mean reversion \u64cd\u4f5c\u3002<\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u8fd1\u671f\u6709\u8b80\u8005\u958b\u59cb\u4e0d\u7518\u65bc\u9999\u6e2f\u7684\u5ee2\u6587\u5ee2\u7247\uff0c\u554f\u7b46\u8005\u6709\u6c92\u6709\u5176\u4ed6\u597d\u7684\u7db2\u7ad9\u3001\u6587\u7ae0\u3001\u8996\u983b\u3002\u5c31mean reversion \u9019\u500b\u984c\u76ee<\/span>\uff0c\u7b46\u8005\u8fd1\u671f\u95b1\u8b80\u4e86\u4e00\u7bc7\u6587\u7ae0\u95dc\u65bcvalue investing \u7684\u65b0\u50f9\u503c\u5224\u65b7\u65b9\u5f0f\uff0c\u7531Research Affiliates (RA) \u5167\u7684\u9ad8\u4eba\u64b0\u5beb\uff0c\u53e6\u5916\u4ea6\u89c0\u770b\u4e86RA \u5169\u500bwebinar\uff0c\u90fd\u662f\u8b1b Value Investing\uff0c\u5176\u4e2d\u4e00\u500bwebinair \u662f\u7531Robert Arnott \u4e3b\u8b1b\uff0c\u597d\u7cbe\u5f69\uff0c\u53e5\u53e5\u90fd\u6709\u667a\u6167\u542b\u91cf\u3002<\/span><\/p>\n

 <\/p>\n

\u96d6\u7136\u8fd110\u5e74\u50f9\u503c\u6295\u8cc7\u5927\u5e45\u843d\u5f8c\u5176\u4ed6\u6295\u8cc7\u7b56\u7565\uff0c\u6709\u5f88\u591a\u4eba\u8a8d\u70bavalue investing \u5514work \u662f\u56e0\u70ba\u820a\u6709\u65b9\u5f0f\u672a\u80fd\u9069\u61c9\u65b0\u6642\u4ee3\u3002<\/span><\/p>\n

 <\/p>\n

\u5176\u4e2d\u4e00\u9805\u6709\u95dcvalue investing \u7684\u91cd\u9ede\u662fintrinsic value \u7684\u88fd\u8a02\uff0c\u73fe\u6642\u5f88\u591a\u4eba\u7528P\/E \u6216P\/B \u53bb\u505a\u5224\u65b7\uff0cRA \u7684\u6587\u7ae0\u63d0\u51fa\u4e86\u4e00\u500b\u65b0\u65b9\u5f0f\uff0c\u5c07\u7121\u5f62\u8cc7\u7522(intangible asset) \u8003\u616e\u5165\u8cc7\u7522\uff0c\u4f8b\u5982\u5c07\u7814\u767c(R&D) \u7684\u958b\u652f\u90fd\u8003\u616e\u70ba\u516c\u53f8\u7684\u8cc7\u672c(capital)\uff0c\u5f9e\u800c\u53bb\u5c0d\u516c\u53f8\u7684\u672a\u4f86\u9032\u884c\u4f30\u503c\u3002<\/span><\/p>\n

 <\/p>\n

\u96d6\u7136\u7b46\u8005\u5e38\u7528momentum investing,\u00a0 \u4f46\u4ea6\u6709\u7559\u610fvalue investing , \u56e0\u70ba\u6295\u8cc7\u7b56\u7565\u5341\u5e74\u6cb3\u6771\uff0c\u5341\u5e74\u6cb3\u897f\uff0c\u80cc\u5f8c\u7684mean reversion \u529b\u91cf\u53ef\u4ee5\u4ee4value investing \u65bc\u4e0d\u4e45\u5c07\u4f86\u4ee5\u65b0\u65b9\u5f0f\u53ca\u9762\u76ee\u91cd\u751f\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

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

 <\/p>\n

RA \u6587\u7ae0\uff1a Intangibles:\u00a0 The missing ingredient in Book Value<\/span><\/a><\/p>\n

 <\/p>\n

RA webinar in Oct 2020<\/span><\/a><\/p>\n

 <\/p>\n

 <\/p>\n

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

 <\/p>\n

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

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

\u6295\u8cc7\u6295\u5de7\u532f\u7e3d#2 – arbitrage   Arbitrage \u6709\u591a\u500b\u4e2d\u6587\u7ffb\u8b6f\uff0c\u7b46\u8005\u559c…<\/p>\n","protected":false},"author":1,"featured_media":6127,"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":[1,4],"tags":[54,36,48,40,23,27],"class_list":["post-6117","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","category-4","tag-position-sizing","tag-spy","tag-48","tag-40","tag-23","tag-27"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/arbitrage.jpg?fit=1110%2C550&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1AF","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6117","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=6117"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6117\/revisions"}],"predecessor-version":[{"id":6297,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6117\/revisions\/6297"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/6127"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=6117"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=6117"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=6117"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}