{"id":7106,"date":"2022-06-13T02:29:26","date_gmt":"2022-06-12T18:29:26","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=7106"},"modified":"2022-06-13T02:29:26","modified_gmt":"2022-06-12T18:29:26","slug":"%e6%ad%b7%e5%8f%b2%e4%b8%8a%e7%9a%84%e8%82%a1%e5%82%b5%e6%b7%b7%e5%90%88%e8%a1%a8%e7%8f%be","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2022\/06\/%e6%ad%b7%e5%8f%b2%e4%b8%8a%e7%9a%84%e8%82%a1%e5%82%b5%e6%b7%b7%e5%90%88%e8%a1%a8%e7%8f%be\/","title":{"rendered":"\u6b77\u53f2\u4e0a\u7684\u80a1\u50b5\u6df7\u5408\u8868\u73fe"},"content":{"rendered":"

\u6b77\u53f2\u4e0a\u7684\u80a1\u50b5\u6df7\u5408\u8868\u73fe<\/span><\/strong><\/span><\/h2>\n

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SAA strategic asset allocation<\/span><\/strong> \u662f\u6700\u57fa\u790e\u7684\u8cc7\u7522\u914d\u7f6e\u7b56\u7565\uff0c\u7576\u4e2d\u4ee5”60% \u80a1\u7968 + 40%\u50b5\u5238<\/span><\/strong>” \u662f\u6700\u70ba\u4eba\u6240\u719f\u6089\uff0c\u540c\u6642\u5f37\u7a4d\u91d1\u5167\u7684\u6838\u5fc3\u7d2f\u7a4d\u57fa\u91d1\u4ea6\u662f\u4ee5\u6b64\u4f5c\u70ba\u80a1\u50b5\u6bd4\u4f8b\u7684\u5206\u914d\u3002<\/span><\/p>\n

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\u96d6\u713660\/40\u7684\u8cc7\u7522\u914d\u7f6e\u662f\u5927\u8def\u505a\u6cd5\uff0c\u4f46\u5e02\u5834\u6709\u5347\u6709\u8dcc\uff0c60\/40\u914d\u7f6e\u7684\u56de\u5831\u90fd\u6703\u6709\u5176\u6ce2\u5e45\u3002\u75311987\u5e74\u8d77\u8a08\uff0c60\/40\u914d\u7f6e(\u7f8e\u80a1+\u7f8e\u50b5) \u7684\u6700\u5927\u8dcc\u5e45(MDD, maximum drawdown) \u90fd\u6709-30.78%<\/span>,\u00a0 \u898b\u4e0b\u5716\uff1a<\/span><\/p>\n

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

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\n

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\u4eca\u5e742022\u5e74\u4e0a\u534a\u5e74\uff0c\u80a1\u7968\u53ca\u50b5\u5238\u540c\u6642\u51fa\u73fe\u4e0b\u8dcc\uff0c\u4ee460\/40\u914d\u7f6e\u7684drawdown \u6709-12%<\/span> \u5de6\u53f3\u3002<\/span><\/p>\n

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-12% drawdown \u7b97\u4e0d\u7b97\u80a1\u707d\uff1f\u90a3\u4fbf\u8981\u770b\u5404\u4eba\u5c0d\u65bc\u80a1\u707d\u7684\u5b9a\u7fa9\u3002\u5c0d\u65bc\u7b46\u8005\u4f86\u8aaa\uff0c\u80a1\u707d\u5341\u5e74\u516b\u8f09\u624d\u6703\u51fa\u73fe\u4e00\u6b21\uff0c\u8fd1\u4ee3\u7b97\u5f97\u4e0a\u80a1\u707d\u7684\u53ea\u67091987\u5e74\u9ed1\u8272\u661f\u671f\u4e00<\/span>\uff0c2000\u5e74\u79d1\u7db2\u80a1\u7206\u7834<\/span>\uff0c\u8207\u53ca2008\u5e74\u91d1\u878d\u6d77\u562f<\/span>\u3002\u5728\u9019\u4e9b\u80a1\u707d\u6642\u671f\uff0c60\/40\u8cc7\u7522\u914d\u7f6e\u6703\u51fa\u73fe\u8d85\u904e-20%\u7684MDD<\/span> \u3002<\/span><\/p>\n

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

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

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\n

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\u73fe\u664260\/40\u7684MDD \u53ea\u6bd42020\u5e74\u6b66\u6f22\u80ba\u708e\u6642\u671f\u7684MDD \u9ad8\u4e00\u9ede\u9ede\uff0c\u4e3b\u8981\u539f\u56e0\u662f\u73fe\u6642\u80a1\u7968\u53ca\u50b5\u5238\u540c\u6642\u4e0b\u8dcc<\/span>\u3002\u80a1\u7968\u53ca\u50b5\u5238\u7684\u95dc\u806f\u7cfb\u6578<\/a>\u662f-0.3\u5de6\u53f3\uff0c\u4e0d\u662f-1.0\uff0c\u6240\u4ee5\u7e3d\u6703\u6709\u4e9b\u6642\u5019\u662f\u80a1\u7968\u53ca\u50b5\u5238\u4e00\u540c\u4e0b\u8dcc<\/span>\uff0c\u6975\u7aef\u60c5\u6cc1\u50cf\u65e5\u8755\u53ca\u4e5d\u661f\u9023\u73e0\uff0c\u6ce2\u5e45\u7684\u5468\u671f\u6027\u4e00\u65e6\u91cd\u758a\uff0c60\/40\u914d\u7f6e\u4fbf\u51fa\u73fe\u8d85\u904e-10%\u7684MDD\u3002<\/span><\/p>\n

 <\/p>\n

\u4ee5\u73fe\u6642\u7684\u7d93\u6fdf\u60c5\u6cc1\u53ca\u516c\u53f8\u696d\u7e3e\u4f86\u8aaa\uff0c\u8207\u6b77\u53f2\u4e0a\u80a1\u707d\u6642\u671f\u9084\u6709\u8ddd\u96e2\uff0c\u6240\u4ee5\u73fe\u6642\u7684MDD \u60c5\u6cc1\u53ea\u7b97\u662f\u4e2d\u578b\u8abf\u6574<\/strong>\uff0c\u5373\u662f60\/40\u914d\u7f6e\u51fa\u73fe-5%\u81f3-15% \u7684MDD\uff0c\u540c\u6642\u80a1\u5e02\u51fa\u73fe-10%\u81f3-20%\u7684MDD\u3002<\/span><\/p>\n

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1987\u5e74\u4ee5\u5f8c\u51fa\u73fe\u904e6\u6b21<\/strong>\u9019\u7a2eMDD \u70ba-5%\u81f3-15%\u6c34\u5e73\u7684\u4e2d\u578b\u8abf\u6574\uff0c\u898b\u4e0b\uff0c\u7531\u6700\u9ad8\u4f4d\u81f3\u8abf\u6574\u7684\u6700\u4f4e\u4f4d\u7684\u6642\u9593\uff0c\u70ba\u66422\u81f35\u500b\u6708(drawdown time) \uff0c\u4e4b\u5f8c\u8981\u75283\u81f38\u500b\u6708\u6642\u9593(recovery time) \u53bb\u56de\u5fa9\u4e4b\u524d\u7684\u6700\u9ad8\u4f4d\uff0c\u5168\u90e8\u6f5b\u6c34\u671f(underwater period) \u70ba5\u500b\u6708\u81f31\u5e74\u5de6\u53f3\u3002<\/span><\/p>\n

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\u4ee5\u6b64\u6b77\u53f2\u6642\u9593\u4f5c\u63a8\u6e2c\uff0c\u5982\u679c2022\u5e74\u662f\u4e2d\u578b\u8abf\u6574\u7684\u8a71\uff0c\u6703\u57282022\u5e74\u5e74\u5167\u898b\u4f4e\uff0c\u4e4b\u5f8c\u52302022\u5e74\u5e95\u81f32023\u5e74\u521d\u56de\u5fa9\u3002\u5426\u5247\u4fbf\u662f\u91d1\u878d\u6d77\u562f\u7d1a\u5225\u7684\u80a1\u707d\u7d1a\u6578\uff0c\u8981\u8d85\u904e\u5169\u5e74\u6642\u9593\u624d\u80fd\u56de\u5fa9\u3002<\/span><\/p>\n

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

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\n

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\u80a1\u5e02\u662f\u516c\u53f8\u696d\u7e3e\u7684\u7d9c\u5408\uff0c\u5927\u5bb6\u770b\u770b\u7f8e\u80a1\u500b\u5225\u516c\u53f8\u65bc\u5168\u7403\u7684\u8cfa\u9322\u80fd\u529b\uff0c\u53c8\u770b\u770b\u8cfa\u9322\u516c\u53f8\u7684\u985e\u5225\uff0c\u751a\u81f3\u65b0\u820a\u696d\u52d9\u4ea4\u66ff\u7684\u80fd\u529b\uff0c\u7f8e\u80a1\u4ecd\u7136\u662f\u6700\u4f73\u7684\u9078\u64c7\u3002\u53ef\u60dc\u5f37\u7a4d\u91d1\u7d55\u5c11\u500b\u5225\u884c\u696d\u7684\u6210\u4efd\u57fa\u91d1\uff0c\u5426\u5247\u4fbf\u53ef\u4ee5\u6709\u66f4\u591a\u6297\u8dcc\u7684\u8cc7\u7522\u985e\u5225\u3002<\/span><\/p>\n

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60\/40\u9019\u500bSAA\uff0c\u904e\u5f8040\u4ef6\u5e74\u5747\u56de\u5831\u70ba8.84%\uff0c\u6309\u6708\u6ce2\u5e45\u70ba2.7%\uff0c\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\u70ba3.2\u3002\u5c0d\u65bc\u61f6\u4eba\u4f86\u8aaa\u662f\u4e0d\u932f\u7684\u9078\u64c7\uff0c\u7576\u7136\u7528\u5176\u4ed6SAA\u6216TAA\u7684\u8a71\uff0c\u6703\u6709\u66f4\u597d\u7684\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\uff0c\u8acb\u770b\u5ef6\u4f38\u95b1\u8b80\u3002<\/span><\/p>\n

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

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

PV \u4e2d\u7684 60\/40 SAA<\/a><\/span><\/p>\n

\u6700\u57fa\u790e\u7684SAA \u53caTAA<\/span><\/a><\/p>\n

\u79c1\u4eba\u73cd\u85cf\u7684TAA<\/span><\/a><\/p>\n

 <\/p>\n

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

\u6b77\u53f2\u4e0a\u7684\u80a1\u50b5\u6df7\u5408\u8868\u73fe   SAA strategic asset allocation \u662f\u6700\u57fa\u790e\u7684\u8cc7…<\/p>\n","protected":false},"author":1,"featured_media":7108,"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":[39,54,30,36,32,22,9,48,45,57,40,23,56],"class_list":["post-7106","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-4","tag-buy-hold","tag-position-sizing","tag-sharpe-ratio","tag-spy","tag-32","tag-22","tag-9","tag-48","tag-45","tag-57","tag-40","tag-23","tag-56"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2022\/06\/6040d.jpg?fit=1105%2C1100&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1QC","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7106","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=7106"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7106\/revisions"}],"predecessor-version":[{"id":7123,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7106\/revisions\/7123"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/7108"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=7106"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=7106"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=7106"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}