{"id":8152,"date":"2023-12-18T02:11:36","date_gmt":"2023-12-17T18:11:36","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=8152"},"modified":"2023-12-18T02:17:43","modified_gmt":"2023-12-17T18:17:43","slug":"%e3%80%8c%e5%8b%95%e8%83%bd%e8%87%b4%e5%af%8c%e3%80%8d%e8%ae%80%e5%be%8c%e6%84%9f","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2023\/12\/%e3%80%8c%e5%8b%95%e8%83%bd%e8%87%b4%e5%af%8c%e3%80%8d%e8%ae%80%e5%be%8c%e6%84%9f\/","title":{"rendered":"\u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u8b80\u5f8c\u611f"},"content":{"rendered":"
<\/p>\n
\u9999\u6e2f\u65b0\u66f8\u6108\u4f86\u6108\u5c11\uff0c\u6240\u4ee5\u7b46\u8005\u90fd\u6709\u6642\u7559\u610f\u4e00\u4e0b\u53f0\u7063\u66f8\uff0c\u6295\u8cc7\u7406\u8ca1\u7684\u53f0\u7063\u66f8\u4ee5\u7ffb\u8b6f\u66f8\u70ba\u4e3b\uff0c\u9593\u4e2d\u6709\u4e9b\u4e3b\u6253\u6280\u8853\u5206\u6790\u7684\u756b\u5716\u756b\u7dda\u66f8\uff0c\u53c8\u6216\u8005\u662f\u7562\u83f2\u7279\u5f92\u5b50\u5f92\u5b6b\u7684\u5fc3\u6cd5\u66f8\uff0c\u91dd\u5c0d\u56e0\u5b50\u6295\u8cc7\u6216tactical asset allocation \u7684\u5c31\u5341\u5206\u4e4b\u5c11\u3002<\/span><\/p>\n <\/p>\n \u8fd1\u6708(2023\u5e7411\u6708) \u7b46\u8005\u7559\u610f\u5230\u6709\u4e00\u672c\u53f0\u7063\u65b0\u66f8\u540d\u70ba\u300c\u52d5\u80fd\u81f4\u5bcc\u300d<\/a>\uff0c\u770b\u66f8\u540d\u53ef\u80fd\u8207Momentum \u6709\u95dc\uff0c\u65bc\u662f\u7d30\u770b\u76ee\u9304\uff0c\u770b\u898bETF, \u52d5\u614b\u914d\u7f6e\uff0c\u96d9\u52d5\u80fd\u7b49\u7b49\uff0c\u77e5\u9053\u61c9\u8a72\u90fd\u662f\u7b46\u8005\u7684\u5fc3\u982d\u597d\uff0c\u65bc\u662f\u8cb7\u4e86\u7db2\u4e0a\u7248\u7747\u4e0b\u3002<\/span><\/p>\n <\/p>\n \u5927\u5bb6\u770b\u4e00\u770b\u66f8\u540d\u53ca\u526f\u984c\uff1a<\/span><\/p>\n <\/a><\/p>\n <\/p>\n <\/p>\n \u7b46\u8005\u5fc3\u60f3\uff1a\u7121\u8ad6\u53f0\u7063\u6291\u6216\u9999\u6e2f\uff0c\u6295\u8cc7\u66f8\u7684\u7de8\u8f2f\u90fd\u559c\u611b\u4ee5\u77ed\u6642\u9593\u5e7e\u5206\u9418\uff0c\u5373\u98df\uff0c\u9ad8\u56de\u5831\uff0c\u8ca1\u52d9\u81ea\u7531\uff0c\u79d8\u8a23\uff0c\u9000\u4f11<\/span>\u70ba\u5438\u775b\u8ce3\u9ede\uff0c\u300c\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1\u300d\u5beb10\u5206\u9418\uff0c\u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u66f4\u8a87\u5f35\u5beb2\u5206\u9418<\/span>\u3002<\/span><\/p>\n <\/a><\/p>\n \u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1 \u80cc\u9762<\/span><\/span><\/p>\n <\/p>\n <\/p>\n <\/p>\n <\/p>\n <\/p>\n \u7b46\u8005\u6c92\u6709\u770b\u904e\u52d5\u80fd\u81f4\u5bcc<\/strong><\/span>\u4f5c\u800599\u556a\u7684\u6587\u7ae0\u6216\u5f71\u7247\uff0c\u4e0d\u904e\u5f9e\u66f8\u5e8f\u4f86\u770b\uff0c\u5927\u5bb6\u7684\u6295\u8cc7\u9032\u8def\u90fd\u5f88\u985e\u4f3c\u3002<\/span><\/p>\n <\/p>\n \u52d5\u80fd\u81f4\u5bcc<\/strong><\/span>\u4e00\u66f8\u5167\u5bb9\u5206\u70ba5\u7ae0\uff0c<\/span>\u7b2c\u4e00\u7ae0\u5411\u6295\u8cc7\u65b0\u624b\u4ecb\u7d39\u4f55\u8b02ETF\uff0c\u7b2c\u4e8c\u7ae0\u8a0e\u8ad6\u56de\u5831\u53ca\u6ce2\u5e45\uff0c\u7b2c\u4e09\u7ae0\u6bd4\u8f03SAA \u53ca TAA (\u898b\u672c\u7ad9\u524d\u6587<\/a>)\uff0c\u7b2c\u56db\u7ae0\u6df1\u5165\u8b1b\u89e34\u62db\uff0c\u7b2c\u4e94\u7ae0\u904b\u752850%SAA \u53ca50%TAA \u65bc\u9000\u4f11\u5f8c\u7406\u8ca1\u3002<\/span><\/p>\n <\/p>\n \u7b46\u8005\u4e00\u770b\u5404\u7ae0\u7bc0\uff0c\u7c21\u76f4\u8207\u524d\u4f5c\u300c\u7a4d\u91d1\u5927\u53cd\u64ca\u300d<\/strong><\/span>\u540c\u51fa\u4e00\u8f4d\uff0c\u53ea\u662f\u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u8f03\u53f0\u7063<\/strong>\u3002<\/span><\/p>\n <\/p>\n \u7b2c\u4e00\u4e8c\u4e09\u4e94\u7ae0\u5927\u5bb6\u81ea\u5df1\u7747(\u540c\u6642\u518d\u7747\u300c\u7a4d\u91d1\u5927\u53cd\u64ca\u300d)\uff0c\u4ee5\u4e0b\u96c6\u4e2d\u8a0e\u8ad6\u7b2c\u56db\u7ae0\u76844\u62db<\/strong>\uff0c\u56e0\u70ba\u5b83\u5011\u8207\u300c\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1\u300d\u7684\u500b\u4eba\u6295\u8cc74\u62db\u5341\u5206\u985e\u4f3c\u3002<\/span><\/p>\n <\/p>\n <\/p>\n <\/p>\n <\/p>\n \u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u7b2c\u56db\u7ae0\u7684\u7b2c\u4e00\u62db\u53eb\u96d9\u52d5\u80fd\u6295\u8cc7\u6cd5<\/strong>\uff0c\u4f5c\u70baMPFDIY\u9577\u671f\u8b80\u8005\u7684\u5927\u5bb6\u90fd\u77e5\u662f\u4ec0\u9ebc\uff0c\u5c31\u662f\u9577\u7528\u9577\u6709\u7684Daul momentum\uff0c\u4ea6\u540c\u6a23\u662f\u300c\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1\u300d\u500b\u4eba\u6295\u8cc74\u62db\u7684\u7b2c\u4e00\u62db<\/span>\uff0c\u5169\u672c\u66f8\u90fd\u7528dual momentum \u505a\u57fa\u672c\u62db\u6578\uff0c\u53ef\u898bdual momentum \u7684\u7c21\u6613\u6027\u53ca\u53d7\u6b61\u8fce\u7a0b\u5ea6\uff0c\u5982\u679c\u4f60\u9084\u672a\u5be6\u969b\u64cd\u4f5c\u904e\uff0c\u503c\u5f97\u82b1\u9ede\u6642\u9593\u8a73\u7d30\u4e86\u89e3\uff0c\u7136\u5f8c\u624d\u5411\u5176\u4ed63\u62db\u9032\u767c\u3002<\/span><\/p>\n <\/p>\n \u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u7684\u7b2c2\u62db\u540d\u70ba\u52a0\u901f\u96d9\u52d5\u80fd<\/strong>\uff0c\u300c\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1\u300d\u7684\u500b\u4eba\u6295\u8cc7\u7b2c2\u62db\u8207\u5b83\u6975\u5ea6\u985e\u4f3c\uff0c\u90fd\u662f\u75281\u500b\u6708\uff0c3\u500b\u6708\u53ca6\u500b\u6708\u505a\u56de\u9867\uff0c\u4f46\u6b0a\u91cd\u6bd4\u4f8b\u4e0d\u540c\uff0c\u800c\u4e14\u907f\u96aa\u8cc7\u7522\u4ea6\u4e0d\u540c\uff0c\u524d\u8005\u7528\u8f03\u9ad8\u6ce2\u5e45\u7684\u9577\u671f\u7f8e\u570b\u570b\u50b5\uff0c\u5f8c\u8005\u75287-10\u5e74\u4e2d\u671f\u7f8e\u570b\u570b\u50b5\uff0c\u4ee4\u6ce2\u5e45\u8f03\u4f4e\u3002<\/span><\/p>\n <\/p>\n \u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u7b2c3\u62db\u53eb\u52a0\u901f\u9632\u79a6<\/strong>\uff0c\u5176\u5be6\u662f\u7b2c2\u62db\u7684fine tune \u7248\uff0c\u56e0\u61c9\u7b2c2\u62db\u65bc2022\u5e74\u80a1\u50b5\u9f4a\u8dcc\u6642\uff0c\u4f5c\u70ba\u907f\u96aa\u8cc7\u7522\u7684\u9577\u50b5\u5927\u8dcc\uff0c\u4ee4Max drawdown MDD\u5927\u589e\uff0c\u65bc\u662f\u66f8\u4e2d\u4f5c\u8005\u518d\u4ee5\u4e00\u500b\u6708\u56de\u5831\u53bb\u4f5c\u70ba\u9577\u50b5\u53ca\u73fe\u91d1\u7684\u8f49\u63db\uff0c\u985e\u4f3c\u55ae\u6708\u56de\u9867\u671f\u64cd\u4f5c\u898b\u300c\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1\u300d\u7684\u5f37\u7a4d\u91d14\u62db<\/span>\u3002\u96d6\u7136\u7b2c3\u62db\u52a0\u901f\u9632\u79a6<\/strong>\u80fd\u907f\u958b2022\u5e74\u8dcc\u5e02\uff0c\u4ee4MDD \u6c92\u6709\u7b2c2\u62db\u90a3\u9ebc\u96e3\u770b\uff0c\u4f46\u7b2c2\u62db\u53ca\u7b2c3\u62db\u7684\u6ce2\u5e45\u57fa\u672c\u4e00\u6a23\uff0c\u5373\u662f\u672c\u8cea\u4e0a\u6c92\u6709\u8b8a\u5316\uff0c\u53ea\u662fcurve fit \u907f\u958b2022\u5e74\u55ae\u4e00\u7279\u6b8a\u60c5\u6cc1\uff0c\u96e3\u4fdd\u65e5\u5f8c\u53c8\u6703\u51fa\u73fe\u53e6\u4e00\u7279\u6b8a\u60c5\u6cc1\uff0c\u53c8\u51fa\u73fe\u540c\u6a23-33% \u7684MDD\u3002\u7b2c2\u62db\u7684PV link \u898b\u6b64<\/a>\u3002<\/span><\/p>\n <\/p>\n \u7b2c4\u62db\u7a31\u70ba\u8907\u5408\u96d9\u52d5\u80fd<\/strong>\uff0c\u672a\u770b\u66f8\u6642\u7b46\u8005\u4ee5\u70ba\u8907\u5408\u96d9\u52d5\u80fd\u53ef\u80fd\u50cfVAA<\/a> \u4e4b\u985e\uff0c\u4f46\u539f\u4f86\u662fGary Antonacci \u7684 composite dual momentum\uff0c\u4f7f\u7528\u80a1\u7968\uff0c\u50b5\u5238\uff0c\u623f\u5730\u7522\u53ca\u9ec3\u91d1\u70ba\u8cc7\u7522\u57fa\u790e\uff0c \u5176\u64cd\u4f5c\u898b\u6b64<\/a>\uff0c\u4e0d\u904e\u6839\u64daAllocate Smartly<\/a> \u6700\u65b0\u7684\u56de\u6e2c(\u898b\u4e0b)\uff0ccomposite dual momentum \u7684\u5e74\u5747\u56de\u5831\u53ea\u67096.1%,\u00a0 Sharpe ratio \u53ea\u67090.59, \u8207\u300c\u52d5\u80fd\u81f4\u5bcc\u300d\u5167\u5c55\u793a\u7684\u5e74\u5747\u56de\u583111.6% \u53caSharpe ratio \u70ba1.02, \u76f8\u5dee\u751a\u9060\u3002<\/span><\/p>\n <\/p>\n\u52d5\u80fd\u81f4\u5bcc\uff1a\u6bcf\u67082\u5206\u9418\uff0c\u5275\u9020\u8d85\u984d\u5831\u916c\uff0199\u556a\u6559\u4f60\u6d3b\u7528\u52d5\u614b\u8cc7\u7522\u914d\u7f6e\uff0c\u6253\u9020\u6700\u9ad8\u6548\u6295\u8cc7\u7d44\u5408<\/span><\/h1>\n