{"id":7696,"date":"2023-02-13T03:37:54","date_gmt":"2023-02-12T19:37:54","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=7696"},"modified":"2023-02-13T03:38:33","modified_gmt":"2023-02-12T19:38:33","slug":"trend-following-%e7%9a%84%e6%96%b0%e7%a0%94%e7%a9%b6","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2023\/02\/trend-following-%e7%9a%84%e6%96%b0%e7%a0%94%e7%a9%b6\/","title":{"rendered":"Trend-following\u907f\u96aa\u7684\u65b0\u7814\u7a76"},"content":{"rendered":"

Trend-following \u907f\u96aa\u7684\u65b0\u7814\u7a76<\/span><\/strong><\/span><\/h2>\n

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\u63a5\u4e0a\u6587<\/a><\/span><\/p>\n

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\u9019\u500btrend following \u7684\u7814\u7a76<\/a>\uff0c\u9996\u5148\u662f\u8a0e\u8ad6SG Trend Index \u3002SG Trend Index \u662fSG \u5373\u6cd5\u570b\u8208\u696d\u9280\u884c(\u6cd5\u8208) \u65d7\u4e0b\u7684\u6307\u6578<\/a>\uff0c\u8a72\u6307\u6578\u662f\u8ffd\u8e2a\u6700\u6709\u52d5\u529b\u768410\u96bbhedge fund\u3002\u9019\u4e9bhedge fund \u662f\u6703\u904b\u7528long short \u53bb\u6295\u8cc7\u65bc\u4e0d\u540c\u8cc7\u7522\u985e\u5225\uff0c\u8a08\u6709\u80a1\u7968\uff0c\u50b5\u5238\uff0c\u8ca8\u5e63\uff0c\u5546\u54c1\u53ca\u8cb4\u91d1\u5c6c\u3002<\/span><\/p>\n

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SG Trend Index \u6703\u8ffd\u8e2a\u4e00\u7c43\u5b50hedge fund \u7684\u8868\u73fe\uff0c\u7136\u5f8c\u9078\u53d6\u8868\u73fe\u6700\u597d\u768410\u96bbhedge fund \u4f5c\u70ba\u6307\u6578\u7684\u6210\u4efd\u3002<\/span><\/p>\n

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\u7531\u65bclong short \u7b56\u7565\u53ca\u5546\u54c1<\/span>\u65bc2022\u5e74\u8868\u73fe\u51fa\u8272\uff0c\u6240\u4ee5SG Trend Index \u80fd\u5920\u907f\u958b2022\u5e74\u80a1\u50b5\u8dcc\u5e02\u6642\u671f\u3002<\/span><\/p>\n

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\u63a5\u4e0b\u4f86\uff0c\u6587\u7ae0\u5c31\u8a0e\u8ad6 price-based trend following<\/strong><\/span> \u7684model \u662f\u91dd\u5c0d4\u7a2e\u8cc7\u7522\uff0c\u5305\u62ec11\u500b\u80a1\u7968\u5e02\u5834\uff0c15\u500b\u50b5\u5238\u5e02\u5834\uff0c19\u96bb\u5546\u54c1\u8207\u53ca12\u7a2e\u8ca8\u5e63\u5c0d\uff0c\u5408\u517157\u7a2e\u8cc7\u7522\u6240\u7d44\u6210\u3002\u4e26\u4e14\u904b\u75281\u500b\u6708\uff0c3\u500b\u6708\u53ca12\u500b\u6708\u9019\u4e09\u500b\u56de\u9867\u9593\u8ddd\u53bb\u9078\u51fa\u6700\u6709\u8da8\u52e2\u7684\u8cc7\u7522\uff0c\u4ea6\u6709\u7d50\u5408target volatility \u53bb\u5e73\u8861\u6ce2\u5e45\u3002<\/span><\/p>\n

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\u7d50\u679c\u662f\u65bc\u8dcc\u5e02\u6642\u671f, \u4f8b\u59821990\u5e74\u6ce2\u65af\u7063\u6230\u722d, 2000\u5e74\u79d1\u7db2\u6ce1\u6cab, 2008\u5e74\u91d1\u878d\u6d77\u562f, 2020\u5e74\u75ab\u60c5, 2022\u5e74\u4fc4\u70cf\u6230\u722d, price-based trend following<\/strong><\/span> \u7684\u90fd\u80fd\u907f\u958b :<\/span><\/p>\n

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\u6587\u7ae0\u628aprice-based trending following,\u00a0 \u8207\u53e6\u5916\u5169\u7a2e\u7b56\u7565\u7d50\u5408\u6210\u70badiversified trending following<\/strong> \u3002\u9019\u5169\u7a2e\u7b56\u7565\u53ebeconomic trend following<\/span> \u53ca alternative trend following<\/span> \u3002 <\/span><\/p>\n

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\u7d50\u5408\u7684\u6bd4\u4f8b\u662f\uff1a<\/span>Diversified = 40 % price-based + 40% economic + 20% alternative<\/span><\/strong><\/p>\n

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Economic trend following<\/span><\/strong> \u662f\u628a\u4e00\u4e9b\u5b8f\u89c0\u7d93\u6fdf\u7684\u56e0\u7d20\u4f5c\u8da8\u52e2\u6027\u5206\u6790\uff0c\u4f8b\u5982growth \u589e\u9577, inflation \u901a\u8139\uff0c international trade \u570b\u969b\u8cbf\u6613\uff0crisk sentiment \u98a8\u96aa\u60c5\u7dd2\u7b49\u7b49\uff0c\u53bb\u5206\u6790\u4e0d\u540c\u8cc7\u7522\u985e\u5225\u7684\u8da8\u52e2\uff0c\u800c\u4e0d\u53ea\u662f\u4ee5price \u50f9\u683c\u70ba\u8003\u616e\u3002<\/span><\/p>\n

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Alternative trend following<\/strong><\/span> \u5247\u5305\u542b\u591a\u7a2e\u53e6\u985e\u8cc7\u7522\uff0c\u597d\u50cf\u80a1\u7968\u56e0\u5b50 equity factor,\u00a0 \u606f\u7387\u4e92\u63db interest rate swap,\u00a0 \u65b0\u8208\u5e02\u5834\u8ca8\u5e63\uff0c\u6ce2\u5e45\u671f\u8ca8 volatility future, \u5617\u8a66\u4ee5\u4e0d\u540c\u95dc\u806f\u6027\u7684\u53e6\u985e\u8cc7\u7522\u53bb\u4ee4diversified trend following \u66f4\u52a0\u80fd\u5920\u907f\u96aa\u3002<\/span><\/p>\n

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\u6574\u9ad4\u7d50\u679c\uff1a<\/span><\/strong><\/span><\/p>\n

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\u7576\u7136\u662f Diversified trend following<\/strong> <\/span>\u8f03\u597d\u3002<\/span><\/p>\n

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\u5be6\u969b\u61c9\u7528\uff1a<\/span><\/strong><\/span><\/p>\n

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\u5f37\u7a4d\u91d1\u6295\u8cc7\u7bc4\u570d\u5167\u7684\u8cc7\u7522\u985e\u5225 asset class \u9078\u64c7\u592a\u5c11\uff0c\u672a\u80fd\u5145\u5206\u904b\u7528\u9019\u4e9btrend following \u7b56\u7565\u53bb\u5e6b\u52a9\u81ea\u5df1\u65bc2022\u5e74\u907f\u96aa\u3002<\/span><\/p>\n

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\u4f46\u500b\u4eba\u6295\u8cc7\u65b9\u9762\uff0c\u904b\u7528\u591a\u5143\u8cc7\u7522\uff0c\u5373\u662f\u66f4\u591a\u4e0d\u540c\u7684\u8cc7\u7522\u985e\u5225\uff0c\u662f\u80fd\u5920\u5927\u5e45\u898f\u907f2022\u5e74\u7684\u80a1\u50b5\u8dcc\u5e02\uff0c\u5927\u5e45\u964d\u4f4eportfolio \u7684\u6ce2\u5e45\uff0c\u4ee4Sharpe Ratio \u63d0\u5347\u3002<\/span><\/p>\n

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Trend-following \u907f\u96aa\u7684\u65b0\u7814\u7a76   \u63a5\u4e0a\u6587   \u9019\u500btrend follow…<\/p>\n","protected":false},"author":1,"featured_media":0,"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":[15,22,28,48,40,23],"class_list":["post-7696","post","type-post","status-publish","format-standard","hentry","category-1","tag-15","tag-22","tag-28","tag-48","tag-40","tag-23"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-208","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7696","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=7696"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7696\/revisions"}],"predecessor-version":[{"id":7726,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/7696\/revisions\/7726"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=7696"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=7696"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=7696"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}