{"id":8214,"date":"2024-01-15T05:50:28","date_gmt":"2024-01-14T21:50:28","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=8214"},"modified":"2024-01-15T05:50:28","modified_gmt":"2024-01-14T21:50:28","slug":"3%e7%a8%ae%e8%b3%87%e7%94%a2%e9%85%8d%e7%bd%ae%e6%96%b9%e6%a1%88%e7%9a%84%e6%af%94%e8%bc%83","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2024\/01\/3%e7%a8%ae%e8%b3%87%e7%94%a2%e9%85%8d%e7%bd%ae%e6%96%b9%e6%a1%88%e7%9a%84%e6%af%94%e8%bc%83\/","title":{"rendered":"3\u7a2e\u8cc7\u7522\u914d\u7f6e\u65b9\u6848\u7684\u6bd4\u8f03"},"content":{"rendered":"

3\u7a2e\u8cc7\u7522\u914d\u7f6e\u65b9\u6848\u7684\u6bd4\u8f03<\/span><\/strong><\/span><\/h2>\n

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\u5047\u5982\u5e02\u9762\u4e0a\u53ea\u670910\u96bb\u80a1\u7968\uff0c\u4f60\u6703\u9ede\u6a23\u6295\u8cc7\uff1f<\/span><\/p>\n

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\u53ef\u80fd\u6703\u7814\u7a76\u516c\u53f8\u696d\u52d9\uff0c\u5206\u6790\u73fe\u91d1\u6d41\uff0c\u9810\u6e2c\u7d93\u6fdf\u524d\u666f\u4e4b\u985e\u3002<\/span><\/p>\n

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\u4f46\u5982\u679c\u662f1000\u96bb\uff0c\u751a\u81f31\u842c\u96bb\u80a1\u7968\uff0c\u5481\u591a\u9ede\u7747\u5f97\u6652\u5462\uff1f\u65bc\u662f\u5c31\u6709\u6309\u5e02\u503c\u800c\u9032\u884c\u6295\u8cc7\u5206\u914d ( market capitalization weighted<\/strong><\/span>) \uff0c\u597d\u50cf\u6052\u6307\uff0c\u6216\u8005\u662fS&P500 \u3002<\/span><\/p>\n

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\u53c8\u6709\u4e9b\u4eba\u6703\u89ba\u5f97\u6309\u5e02\u503c\u800c\u5206\u914d\u8cc7\u7522\u6bd4\u8f03\u4f4e\u6548\u7387\uff0c\u56e0\u70ba\u9ad8\u5e02\u503c\u7684\u516c\u53f8\u5df2\u7d93\u5230\u9054\u696d\u52d9\u9802\u5cf0\uff0c\u767c\u5c55\u6709\u9650\uff0c\u53cd\u800c\u4f4e\u5e02\u503c\u7684\u516c\u53f8\u53ef\u80fd\u6709\u66f4\u5927\u7684\u767c\u5c55\u7a7a\u9593\uff0c\u65bc\u662f\u5c07\u8cc7\u75221\/N, \u5373\u662f\u5e73\u5747\u5206\u914d\u5230\u6bcf\u4e00\u80a1\u7968\uff0c\u7a31\u70baequal weighted<\/span> <\/strong>\u7b49\u503c\u5206\u914d\u3002<\/span><\/p>\n

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

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\u7b46\u8005\u8fd1\u65e5\u95b1\u8b80\u4e86\u4e00\u7bc72023\u5e7412\u6708\u51fa\u8857\u7684\u7814\u7a76\u8ad6\u6587\uff0c\u5c31\u662f\u5728market cap weighted \u53caequal weighted \u7684\u8cc7\u7522\u914d\u7f6e\u4e4b\u4e0a\uff0c\u518d\u52a0\u51653\u500b\u914d\u7f6e\u65b9\u5f0f<\/span><\/strong>\uff1a<\/span><\/p>\n

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https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4669267<\/span><\/p>\n

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

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\u9019\u7bc7\u8ad6\u6587\u7684\u4f5c\u5011\u662f\u745e\u58eb\u5927\u5b78<\/a>\u80cc\u666f\uff0c\u6240\u4ee5\u4ed6\u5011\u6703\u4ee5\u6b50\u6d32\u80a1\u7968\u4f5c\u7814\u7a76\u5c0d\u8c61\uff0c\u4f46\u7531\u65bc\u7f8e\u80a1\u4f54\u5168\u7403\u80a1\u5e0260%\uff0c\u6240\u4ee5\u8ad6\u6587\u4ea6\u5305\u62ec\u7f8e\u80a1\uff0c\u518d\u8986\u84cb\u65b0\u8208\u5e02\u5834\uff0c\u5408\u6210\u5168\u7403\u80a1\u5e02\u3002<\/span><\/p>\n

 <\/p>\n

\u9019\u7bc7\u8ad6\u6587\u63d0\u51fa\u4e863\u500b\u8cc7\u7522\u914d\u7f6e\u7684\u65b9\u6cd5\uff0c\u53bb\u8207market weighted \u53ca equal weighted \u4f5c\u6bd4\u8f03\u3002\u7b2c\u4e00\u500b\u65b9\u6cd5\u662fmomentum \u52d5\u529b\u6295\u8cc7<\/span><\/strong>\uff0c\u7121\u932f\u53c8\u4fc2\u4f62\uff0c\u7747\u5b8c<\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1><\/strong><\/span> \u4e4b\u5f8c\u5167\u76848\u5f0f\u52d5\u529b\u7b56\u7565\uff0c\u5927\u5bb6\u5c0dmomentum \u61c9\u8a72\u5514\u6703\u964c\u751f\uff0c\u8ad6\u6587\u5167\u7684momentum enhanced equal weighted strategy<\/span><\/strong>,\u00a0 \u5c31\u662f\u5148\u5c0d\u6240\u4ee5\u80a1\u7968\u6309\u904e\u5f8012\u500b\u6708\u7684\u56de\u5831\u8868\u73fe\u4f5c\u9ad8\u4f4e\u6392\u5e8f\uff0c\u6368\u68c4\u56de\u5831\u6700\u4f4e\u768410%, 20%, 30%, 40%, 50%, \u9918\u4e0b\u7684\u80a1\u7968\u5e73\u5747\u5206\u914d\u8cc7\u7522\u53bb\u6295\u8cc7\uff0c\u505a5\u6b21\u654f\u611f\u6027\u5206\u6790\uff0c\u7136\u5f8c\u5f97\u51fa\u75312002\u5e74\u81f32022\u5e74\u7684\u5206\u6790\u7d50\u679c\u5982\u4e0b\uff1a<\/span><\/p>\n

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\u4e0a\u5716\u53f3\u4e0b\u65b9\u7684market cap benchmark \u662f\u56de\u5831\u6700\u4f4e\u4f46\u6ce2\u5e45\u6700\u9ad8\uff0cEW equal weighted \u7684\u56de\u5831\u9ad8\u4e860.5%, \u4f46\u6ce2\u5e45\u5dee\u4e0d\u591a\u3002\u800c\u6368\u68c450% \u7684momentum \u7b56\u7565\u4f4d\u65bc\u5716\u4e2d\u5de6\u4e0a\u65b9\uff0c\u56de\u5831\u6700\u9ad8\u540c\u6642\u6ce2\u5e45\u6700\u4f4e\u3002<\/span><\/p>\n

 <\/p>\n

\u5206\u62c6\u4e0d\u540c\u5e02\u5834\u7684\u8868\u73fe\uff1a<\/span><\/p>\n

 <\/p>\n

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

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\n

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Momentum \u4e4b\u5f8c\uff0c\u8ad6\u6587\u7684\u7b2c\u4e8c\u500b\u7b56\u7565\u662f\u63095\u5e74\u6ce2\u5e45 volatility<\/strong> <\/span>\u6392\u5e8f\uff0c\u7136\u5f8c\u6368\u68c4\u53d6\u6700\u9ad8\u6ce2\u5e45\u768410%\u81f350%,\u00a0 \u4e4b\u5f8c\u9032\u884c\u5e73\u5747\u8cc7\u7522\u914d\u7f6e\uff0c\u6548\u679c\u898b\u4e0b\uff1a<\/span><\/p>\n

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

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50% \u914d\u7f6e\u7684\u7d44\u5408\uff0c\u6ce2\u5e45\u7531momentum \u768414.6%\u4e0b\u964d\u81f313.5%,\u00a0 \u56de\u5831\u53ef\u4ee5\u66f4\u9ad8\uff1a<\/span><\/p>\n

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

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\n

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\u8ad6\u6587\u5167\u7b2c\u4e09\u5f0f\u662f\u7528Sharpe ratio<\/span><\/strong> \u5373 \u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\u4f5c\u6392\u5e8f\uff0c\u5927\u6982\u53ef\u4ee5\u770b\u6210\u662fmomentum + low volatility \u7684 \u7d50\u5408\uff0c\u56de\u5831\u6548\u679c\u6700\u9ad8\uff0c\u6ce2\u5e45\u6700\u4f4e\uff1a<\/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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\u5c0f\u7d50<\/span><\/strong><\/p>\n

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\u6309\u8ad6\u6587\u5167\u5404\u500b\u5716\u8868\u986f\u793a\uff0c\u4f7f\u7528\u4e86momentum \u52d5\u529b,\u00a0 volatility \u6ce2\u5e45, \u53ca Sharpe ratio \u590f\u666e\u6bd4\u7387<\/span><\/strong>\u7684\u8cc7\u7522\u914d\u7f6e\uff0c\u65bc\u5404\u500b\u5e02\u5834\u90fd\u6709\u512a\u65bcmarket capitalization weighted \u53ca equal weighted \u7684\u8868\u73fe\u3002<\/strong><\/span><\/span><\/p>\n

 <\/p>\n

\u9019\u985emomentum \u52d5\u529b,\u00a0 volatility \u6ce2\u5e45, \u53ca Sharpe ratio \u590f\u666e\u6bd4\u7387\u7684\u8cc7\u7522\u914d\u7f6e\u65b9\u5f0f\u662fTactical asset allocation<\/strong><\/span>,\u00a0 \u9019\u90fd\u662f\u8fd1\u5e74\u6295\u8cc7\u754c\u65b0\u8208\u7684\u6295\u8cc7\u7b56\u7565\uff0c\u8981\u81ea\u5df1\u52d5\u624b\u8a08\u7b97\u6bd4\u8f03\u9ebb\u7169\uff0c\u5e02\u9762\u4e0a\u6709\u4e00\u4e9b\u5de5\u5177\u53ef\u4ee5\u5e6b\u624b\u8a08\u7b97\uff0c\u800c\u7576\u4e2dPortfolio Visualizer \u5c31\u662f\u6bd4\u8f03\u597d\u7528\u7684\u5206\u6790\u5de5\u5177\u3002\u800c2024\u5e74\u6d3b\u52d5\u6b63\u6b63\u6703\u6df1\u5165\u8a0e\u8ad6momentum \u52d5\u529b,\u00a0 volatility \u6ce2\u5e45, \u53ca Sharpe ratio \u590f\u666e\u6bd4\u7387\u8207\u53ca\u5176\u4ed6<\/span>\u7684\u8cc7\u7522\u914d\u7f6e\u3002<\/span><\/strong><\/span><\/p>\n

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2024\u5e74\u6d3b\u52d5\uff1a<\/strong><\/span><\/p>\n

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<\u6253\u9020\u9577\u52dd\u5f37\u7a4d\u91d1><\/strong>\u51fa\u7248\u4e4b\u5f8c\uff0c\u591a\u4e86\u8b80\u8005\u8a62\u554fPortfolio Visualizer<\/strong>\u00a0(PV)\u00a0\u7684\u64cd\u4f5c\uff0c\u7b46\u8005\u767c\u89ba\u539f\u4f86\u5e02\u9762\u4e0a\u5f88\u5c11\u8a73\u7d30\u8b1b\u89e3PV\u00a0\u5404\u7a2e\u529f\u80fd\uff0c\u9802\u591a\u53ea\u662f\u80a1\u50b5\u6df7\u5408\u914d\u7f6e\u9019\u500b\u521d\u7d1a\u5165\u9580backtest portfolio\u5206\u6790\u529f\u80fd\uff0cPV \u5167\u5176\u4ed65\u500b\u529f\u80fd\uff0c\u5c24\u5176\u662fTAA \u529f\u80fd\uff0c\u751a\u5c11\u4eba\u63d0\u53ca\u3002<\/span><\/p>\n

 <\/p>\n

\u6240\u4ee5\u7b46\u8005\u6709\u500b\u60f3\u6cd5\uff0c\u5c31\u662f\u65bc2024\u5e74\u641e\u4e00\u500bPV \u7814\u7fd2\u6d3b\u52d5<\/strong>\uff0c\u5927\u7d04\u752810\u6b21\u805a\u6703\u6642\u9593\u53bb\u8a73\u7d30\u5c07PV \u5167\u6bcf\u4e00\u529f\u80fd\u9010\u4e00\u62c6\u89e3\uff0c\u53e6\u6703\u5206\u4eab\u591a\u500b\u5be6\u7528\u4f8b\u5b50\u3002<\/span><\/p>\n

 <\/p>\n

\u6709\u8208\u8da3\u7684\u53ef\u4ee5\u586b\u5beb\u4ee5\u4e0bGoogle form\uff0c\u7559\u610f\u6d3b\u52d5\u6703\u6536\u8cbb\u53bb\u5e6b\u88dcMPFDIY \u53caMPFier \u7684\u767c\u5c55\u3002<\/span><\/p>\n

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https:\/\/forms.gle\/p7B2uGo61QiYxDAf7<\/a><\/span><\/p>\n

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

3\u7a2e\u8cc7\u7522\u914d\u7f6e\u65b9\u6848\u7684\u6bd4\u8f03   \u5047\u5982\u5e02\u9762\u4e0a\u53ea\u670910\u96bb\u80a1\u7968\uff0c\u4f60\u6703\u9ede\u6a23\u6295\u8cc7\uff1f   \u53ef\u80fd\u6703\u7814\u7a76\u516c\u53f8\u696d…<\/p>\n","protected":false},"author":1,"featured_media":8219,"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":[14,54,30,13,15,22,28,48,40,23,27,33],"class_list":["post-8214","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","tag-momentum","tag-position-sizing","tag-sharpe-ratio","tag-13","tag-15","tag-22","tag-28","tag-48","tag-40","tag-23","tag-27","tag-33"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2024\/01\/equal-weight5.jpg?fit=1200%2C560&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-28u","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/8214"}],"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=8214"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/8214\/revisions"}],"predecessor-version":[{"id":8232,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/8214\/revisions\/8232"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/8219"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=8214"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=8214"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=8214"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}