{"id":6148,"date":"2021-08-23T05:32:01","date_gmt":"2021-08-22T21:32:01","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=6148"},"modified":"2021-08-25T18:20:45","modified_gmt":"2021-08-25T10:20:45","slug":"%e6%8a%95%e8%b3%87%e6%8a%80%e5%b7%a7%e5%8c%af%e7%b8%bd4-momentum","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/08\/%e6%8a%95%e8%b3%87%e6%8a%80%e5%b7%a7%e5%8c%af%e7%b8%bd4-momentum\/","title":{"rendered":"\u6295\u8cc7\u6280\u5de7\u532f\u7e3d#4 &#8211; momentum"},"content":{"rendered":"<h2><span style=\"color: #04b2f2;\"><strong><span style=\"font-size: 14pt;\">\u6295\u8cc7\u6280\u5de7\u532f\u7e3d#4 &#8211; momentum<\/span><\/strong><\/span><\/h2>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">Momentum investing \u52d5\u529b\u6295\u8cc7 \u662f<span style=\"color: #04b2f2;\">\u8da8\u52e2\u578b<\/span>\u6295\u8cc7\u6280\u5de7\u4e4b\u4e00\uff0c\u5347\u8cb7\u8dcc\u8ce3\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u8fd1\u4ee3\u7684momentum investing \u6709<strong>\u5169\u500b<\/strong>\u6e90\u8d77\uff0c\u9996\u5148\u662fEugene Fama \u53ca Kenneth French \u7684 <a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/j.1540-6261.1992.tb04398.x\" target=\"_blank\" rel=\"noopener noreferrer\" class=\"broken_link\">three factor model<\/a>, \u53e6\u4e00\u500b\u662f\u56e0\u70baJegadeesh \u53ca Titman \u7684<a href=\"http:\/\/www.business.unr.edu\/faculty\/liuc\/files\/BADM742\/Jegadeesh_Titman_1993.pdf\" target=\"_blank\" rel=\"noopener noreferrer\" class=\"broken_link\">momentum<\/a> \u6587\u7ae0\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u4e8c\u6230\u4e4b\u5f8c\u662f\u91d1\u878d\u6295\u8cc7\u53ca\u5b78\u8853\u7406\u8ad6\u5efa\u69cb\u6642\u671f\uff0c\u7531<a href=\"https:\/\/www.mpfdiy.com\/?s=CAPM\" target=\"_blank\" rel=\"noopener noreferrer\">CAPM<\/a> \u800c\u8d77\u7684\u56de\u5831\u53ca\u6ce2\u5e45\uff0c\u5927\u9ad4\u5730\u63cf\u8ff0\u4e86\u4e0d\u540c\u8cc7\u7522\u985e\u5225\u5982\u80a1\u7968\u53ca\u50b5\u5238\u7684\u4e0d\u540c\u56de\u5831\u7684\u539f\u56e0\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u53ef\u662f\uff0c\u65bc\u540c\u4e00\u985e\u5225\u4e0b\uff0c\u4f8b\u5982\u80a1\u7968\uff0c\u55ae\u4ee5\u6ce2\u5e45\u5c31\u672a\u5fc5\u80fd\u5920\u89e3\u91cb\u4e0d\u540c\u80a1\u7968\u7684\u56de\u5831\u5dee\u7570\uff0c\u597d\u50cf\u6709\u4e9b\u4f4e\u6ce2\u5e45\u7684\u516c\u7528\u80a1\u53cd\u800c\u6709\u8f03\u9ad8\u56de\u5831\u3002\u65bc\u662f\u4e00\u4e9b\u6709\u6548\u5e02\u5834\u8ad6\u652f\u6301\u8005\u5982Eugene Fama \u53ca Kenneth French\uff0c\u5617\u8a66\u4fee\u6b63\u53ea\u8003\u616e\u6ce2\u5e45\u7684CAPM \u6a21\u578b\uff0c\u4f8b\u59821992\u5e74Eugene Fama \u53ca Kenneth French \u52a0\u5165\u4e86size \u53ca value \u5169\u500b\u56e0\u5b50 factor \u800c\u63d0\u51fa\u4e86 3-factor \u53bb\u89e3\u91cb\u80a1\u7968\u56de\u5831\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><a href=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/3-factor-model.jpg?ssl=1\" target=\"_blank\" rel=\"noopener noreferrer\"><img data-recalc-dims=\"1\" title=\" \"loading=\"lazy\" decoding=\"async\" class=\"alignnone wp-image-6153 size-full\" src=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/3-factor-model.jpg?resize=600%2C350&#038;ssl=1\" alt=\" \" width=\"600\" height=\"350\" srcset=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/3-factor-model.jpg?w=600&amp;ssl=1 600w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/3-factor-model.jpg?resize=300%2C175&amp;ssl=1 300w\" sizes=\"auto, (max-width: 600px) 100vw, 600px\" \/><\/a><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u7531\u6b643-factor model \u800c\u8d77\u7684\uff0c\u5c31\u662fmomentum, quality, duration \u7b49\u7b49\u4e00\u5927\u5806\u56e0\u5b50\uff0c\u5e36\u8d77\u8fd1\u4ee3\u7f8e\u570b\u7684<a href=\"https:\/\/www.mpfdiy.com\/2020\/06\/%e5%9b%a0%e5%ad%90%e6%8a%95%e8%b3%87%e7%9a%84%e6%8b%93%e5%b1%95\/\" target=\"_blank\" rel=\"noopener noreferrer\">factor investing<\/a> \u6f6e\u6d41\u3002\u4e0d\u904e\u9999\u6e2f\u6295\u8cc7\u4eba\u5341\u5206\u843d\u5f8c\uff0c\u666e\u7f85\u5927\u773e\u61c9\u8a72\u5f88\u5c11\u807d\u904efactor investing\uff0c <span style=\"color: #04b2f2;\">\u6709\u7747\u958bMPFDIY.com \u53ca&lt;\u7a4d\u91d1\u5927\u53cd\u64ca&gt;\u7684\u5927\u5bb6\uff0c\u662f\u9999\u6e2f\u6295\u8cc7\u8005\u7684\u7570\u985e<\/span>\u3002\u5982\u679c\u5927\u5bb6\u8207\u540c\u4e8b\u670b\u53cb\u8b1b\u958b\u80a1\u7968\uff0c\u4f60\u540c\u4f62\u5730\u8b1b\u81ea\u5df1\u7528\u56e0\u5b50\u6295\u8cc7factor investing \u505a\u8cb7\u8ce3\uff0c\u4f62\u5730\u5927\u90e8\u5206\u4ee5\u70ba\u4f60\u50bb\u5de6\uff0c\u53e6\u5916\u5c0f\u90e8\u5206<a href=\"https:\/\/www.mpfdiy.com\/2021\/07\/%e6%88%91%e7%9a%84%e6%8a%95%e8%b3%87%e8%b7%af\/\" target=\"_blank\" rel=\"noopener noreferrer\">\u4ee5\u70ba\u4f60\u4fc2\u5c08\u5bb6<\/a>\uff0c\u5c31\u50cf\u7b46\u8005\u7684\u60c5\u6cc1\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">3-factor model \u7684 size \u53ca value factor\uff0c\u88ab\u4e00\u4e9b\u6295\u8cc7\u6a5f\u69cb\u5982Vanguard \u53ca Morningstar \u53bb\u88fd\u4f5c\u70ba\u4e5d\u5bae\u683c\uff0c\u5c55\u51fa\u80a1\u7968\u6216\u57fa\u91d1\u7684\u6295\u8cc7\u53d6\u5411\uff0c\u898b\u4e0b\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><a href=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?ssl=1\" target=\"_blank\" rel=\"noopener noreferrer\"><img data-recalc-dims=\"1\" title=\" \"loading=\"lazy\" decoding=\"async\" class=\"alignnone wp-image-6154 size-full\" src=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?resize=720%2C700&#038;ssl=1\" alt=\" \" width=\"720\" height=\"700\" srcset=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?w=1107&amp;ssl=1 1107w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?resize=300%2C292&amp;ssl=1 300w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?resize=1024%2C995&amp;ssl=1 1024w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/style-box.jpg?resize=768%2C746&amp;ssl=1 768w\" sizes=\"auto, (max-width: 720px) 100vw, 720px\" \/><\/a><\/p>\n<p>&nbsp;<\/p>\n<hr \/>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u82073-factor model \u540c\u671f\uff0c\u53731993\u5e74\uff0cJegadessh and Titman \u63d0\u51fa\u4e86<a href=\"http:\/\/www.business.unr.edu\/faculty\/liuc\/files\/BADM742\/Jegadeesh_Titman_1993.pdf\" target=\"_blank\" rel=\"noopener noreferrer\" class=\"broken_link\">relative momentum \u7684\u6295\u8cc7\u65b9\u6cd5<\/a>\u3002\u5373\u8cb7\u5165\u904e\u53bb3\/6\/9\/12\u500b\u6708\u56de\u5831\u8f03\u9ad8\u7684\u4e00\u6279\u80a1\u7968\uff0c\u540c\u6642\u8ce3\u51fa\u56de\u5831\u8f03\u4f4e\u7684\u4e00\u6279\uff0c\u4ee5\u76f8\u5c0d\u7684\u56de\u5831\u5f37\u5f31(relative strength) \u53bb\u5224\u65b7\u8cb7\u8ce3\u5167\u5bb9\uff0c\u662f\u5176\u4e2d\u4e00\u7a2emomentum investing \u7684\u624b\u6cd5\u3002\u6b64<span style=\"color: #04b2f2;\">relative momentum<\/span> \u4ea6\u88abCarhart \u52a0\u5165\u53bbFama &amp; French \u7684 3-factor model \u800c\u6210\u70ba<a href=\"https:\/\/en.wikipedia.org\/wiki\/Carhart_four-factor_model\" target=\"_blank\" rel=\"noopener noreferrer\"> 4-factor model<\/a>\u3002 \u7a4d\u91d1\u5927\u53cd\u64ca\u7684<a href=\"https:\/\/www.mpfdiy.com\/2017\/09\/7%e6%8b%9b%e7%b4%b0%e7%af%805-%e5%8b%95%e5%8a%9b%e6%8a%95%e8%b3%87%e7%ad%96%e7%95%a5\/\" target=\"_blank\" rel=\"noopener noreferrer\">\u7b2c6\u62db<\/a>\uff0c\u5c31\u662f\u7528relative momentum \u7684\u6982\u5ff5\u653e\u5165\u5f37\u7a4d\u91d1\uff0c\u6bd4\u8f03\u8a08\u5283\u5167\u6210\u4efd\u57fa\u91d1\u7684\u56de\u5831\u5f37\u5f31\u800c\u6210\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u9664\u4e86relative momentum\uff0c\u53e6\u5916\u4ea6\u6709<span style=\"color: #04b2f2;\">absolute momentum\uff0c<\/span>\u00a0\u5373\u662f\u6295\u8cc7\u7269\u8207\u81ea\u5df1\u904e\u5f80\u4f5c\u6bd4\u8f03\uff0c\u6709\u9ede\u50cf<a href=\"https:\/\/www.mpfdiy.com\/2021\/08\/%e6%8a%95%e8%b3%87%e6%8a%80%e5%b7%a7%e5%8c%af%e7%b8%bd3-trend-following\/\" target=\"_blank\" rel=\"noopener noreferrer\">moving average<\/a>\u3002Gary Antonacci \u7684Dual Momentum\uff0c\u5c31\u662f\u5408\u4f75\u4e86absolute momentum \u53ca relative momentum \u800c\u6210\u3002<a href=\"http:\/\/www.mpfier.com\" target=\"_blank\" rel=\"noopener noreferrer\">MPFier<\/a> \u5167\u7684<a href=\"https:\/\/www.mpfdiy.com\/2021\/01\/2020%e5%b9%b4%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e6%aa%a2%e8%a8%8e\/\" target=\"_blank\" rel=\"noopener noreferrer\">\u7b2c8\u62db\u96d9\u91cd\u52d5\u529b\u7b56\u7565<\/a>\uff0c\u5c31\u662f\u4ee5dual momentum \u79fb\u690d\u5165\u5404\u5f37\u7a4d\u91d1\u8a08\u5283\u4e4b\u5167\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">Momentum \u9664\u4e86\u65bc\u80a1\u7968\u6295\u8cc7\u6709\u6548\uff0c\u65bc\u5176\u4ed6\u6295\u8cc7\u7269\u5982\u50b5\u5238\u53ca\u5546\u54c1\u7b49\u4ea6\u6709\u986f\u8457\u56de\u5831\uff0c\u898b<a href=\"https:\/\/pages.stern.nyu.edu\/~lpederse\/papers\/ValMomEverywhere.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Cliff Assness \u7684momentum everywhere<\/a> \u6587\u7ae0\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">Momentum \u662f\u6563\u6236\u6700\u6613\u4f7f\u7528\u7684\u6295\u8cc7\u6280\u5de7\uff0c\u53ea\u8981\u4e86\u89e3\u80cc\u5f8c\u7684\u539f\u7406\u53ca\u9700\u8981\u627f\u53d7\u7684\u98a8\u96aa\uff0c\u4fbf\u80fd\u99d5\u99ad\uff0c\u6bd4value investing \u66f4\u8cbc\u8fd1\u4eba\u985e\u8caa\u5a6a\u53ca\u6050\u61fc\u7684\u6027\u8cea\uff0c\u662f\u7b46\u8005\u5e38\u7528\u7684\u6295\u8cc7\u624b\u6cd5\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p>&nbsp;<\/p>\n<p>&nbsp;<\/p>\n<p><strong><span style=\"font-size: 14pt;\">\u5ef6\u4f38\u95b1\u8b80<\/span><\/strong><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\"><a href=\"https:\/\/www.portfoliovisualizer.com\/test-market-timing-model?s=y&amp;coreSatellite=false&amp;timingModel=6&amp;timePeriod=2&amp;startYear=1985&amp;firstMonth=1&amp;endYear=2021&amp;lastMonth=12&amp;calendarAligned=true&amp;includeYTD=false&amp;initialAmount=10000&amp;periodicAdjustment=0&amp;adjustmentAmount=0&amp;inflationAdjusted=true&amp;adjustmentPercentage=0.0&amp;adjustmentFrequency=4&amp;symbols=SPY%2C+VEU&amp;singleAbsoluteMomentum=true&amp;absoluteMomentumAsset=SPY&amp;volatilityTarget=9.0&amp;downsideVolatility=false&amp;outOfMarketStartMonth=5&amp;outOfMarketEndMonth=10&amp;outOfMarketAssetType=2&amp;outOfMarketAsset=BND&amp;movingAverageSignal=1&amp;movingAverageType=1&amp;multipleTimingPeriods=false&amp;periodWeighting=2&amp;windowSize=3&amp;windowSizeInDays=105&amp;movingAverageType2=1&amp;windowSize2=10&amp;windowSizeInDays2=105&amp;excludePreviousMonth=false&amp;normalizeReturns=false&amp;volatilityWindowSize=0&amp;volatilityWindowSizeInDays=0&amp;assetsToHold=1&amp;allocationWeights=1&amp;riskControlType=0&amp;riskWindowSize=10&amp;riskWindowSizeInDays=0&amp;stopLossMode=0&amp;stopLossThreshold=2.0&amp;stopLossAssetType=1&amp;rebalancePeriod=1&amp;separateSignalAsset=false&amp;tradeExecution=0&amp;comparedAllocation=0&amp;timingPeriods%5B0%5D=5&amp;timingUnits%5B0%5D=2&amp;timingWeights%5B0%5D=100&amp;timingUnits%5B1%5D=2&amp;timingWeights%5B1%5D=0&amp;timingUnits%5B2%5D=2&amp;timingWeights%5B2%5D=0&amp;timingUnits%5B3%5D=2&amp;timingWeights%5B3%5D=0&amp;timingUnits%5B4%5D=2&amp;timingWeights%5B4%5D=0&amp;volatilityPeriodUnit=2&amp;volatilityPeriodWeight=0\" target=\"_blank\" rel=\"noopener noreferrer\" class=\"broken_link\">Gary Antonacci&#8217;s simple Dual Momentum by PV<\/a><\/span><\/p>\n<p>&nbsp;<\/p>\n<p class=\"entry-title\"><span style=\"font-size: 14pt;\"><a href=\"https:\/\/www.mpfdiy.com\/2019\/12\/2019%e5%b9%b4%e6%9b%b8%e5%96%ae\/\" target=\"_blank\" rel=\"noopener noreferrer\">2019\u5e74\u66f8\u55ae<\/a><\/span><\/p>\n<p>&nbsp;<\/p>\n<p class=\"entry-title\"><a href=\"https:\/\/www.mpfdiy.com\/2018\/04\/%e5%ad%b8%e8%a1%93%e7%95%8c%e7%9a%84andrew\/\" target=\"_blank\" rel=\"noopener noreferrer\"><span style=\"font-size: 14pt;\">\u5b78\u8853\u754c\u7684Andrew<\/span><\/a><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u6295\u8cc7\u6280\u5de7\u532f\u7e3d#4 &#8211; momentum &nbsp; Momentum investing \u52d5\u529b\u6295&#8230;<\/p>\n","protected":false},"author":1,"featured_media":6155,"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],"tags":[14,10,36,13,15,22,48,45,40,23,16],"class_list":["post-6148","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","tag-momentum","tag-smart-beta","tag-spy","tag-13","tag-15","tag-22","tag-48","tag-45","tag-40","tag-23","tag-16"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/08\/momentum.jpg?fit=1200%2C613&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1Ba","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6148","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=6148"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6148\/revisions"}],"predecessor-version":[{"id":6161,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/6148\/revisions\/6161"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/6155"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=6148"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=6148"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=6148"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
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