{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u9322\u741b","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/chinshun","title":"\u770b\u8ca1\u6f14\/\u57fa\u91d1\u8868\u73fe\u4e0d\u80fd\u53ea\u770b\u56de\u5831 - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/488630\">\u770b\u8ca1\u6f14\/\u57fa\u91d1\u8868\u73fe\u4e0d\u80fd\u53ea\u770b\u56de\u5831<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var 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class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime.fortuneinsight.com\/web\/wp-content\/uploads\/2020\/08\/portfolio_performance.jpg","thumbnail_width":1038,"thumbnail_height":324,"description":"\u5728\u6bd4\u8f03\u81ea\u5df1\u8207\u90e8\u4efd\u8ca1\u7d93\u6f14\u54e1\u7684\u8868\u73fe\u6642\uff0c\u767c\u73fe\u5238\u5546\u80fd\u81ea\u52d5\u88fd\u4f5c\u8a73\u7d30\u5009\u4f4d\u8868\u73fe\u5831\u544a\uff0c\u9023\u4e00\u4e9b\u8a08\u7b97\u6b65\u9a5f\u7e41\u8907\u7684\u8a08\u91cf\u90fd\u5305\u542b\u5728\u5167\u3002\u65e2\u7136\u9019\u9ebc\u65b9\u4fbf\uff0c\u7279\u610f\u627e\u4f86\u5e7e\u500b\u56de\u5831\u4ee5\u5916\u5c0d\u7b56\u7565\u7684\u8a55\u6838\u65b9\u6cd5\uff0c\u5e6b\u52a9\u5927\u5bb6\u66f4\u6df1\u5165\u5206\u6790\u4e0d\u540c\u7b56\u7565\/\u8ca1\u6f14\/\u57fa\u91d1\u7684\u8868\u73fe\u3002 \u7b2c\u4e00\u500b\u5fc5\u7136\u662f\u7b56\u7565\u8207\u5927\u5e02\u6307\u6a19\u56de\u5831\u7684\u76f8\u95dc\u6027\uff08correlation\uff09\u3002\u76f8\u95dc\u6027\u662f\u4e00\u500b\u7531-1\u52301\u7684\u6578\u503c\uff0c-1\u4ee3\u8868\u5169\u8005\u5b8c\u5168\u53cd\u5411\u79fb\u52d5\uff0c+1\u4ee3\u8868\u5169\u8005\u5b8c\u5168\u540c\u65b9\u5411\u79fb\u52d5\uff0c0\u5247\u4ee3\u8868\u5169\u8005\u6beb\u7121\u7dda\u6027\u95dc\u4fc2\uff08linear relationship\uff09\u3002\u4e0b\u6587\u6703\u6703\u5148\u8a0e\u8ad6\u76f8\u95dc\u6027\u7684\u6975\u7aef\u6578\u503c\uff0c\u65b9\u4fbf\u5927\u5bb6\u7406\u89e3\u3002 \u5047\u5982\u76f8\u95dc\u6027\u662f-1\uff0c\u5373\u7b56\u7565\u8207\u5927\u5e02\u5728\u6b77\u53f2\u4e2d\u5b8c\u5168\u4ee5\u76f8\u53cd\u65b9\u5411\u79fb\u52d5\uff0c\u4ee3\u8868\u53ea\u662f\u6cbd\u4e86\u5927\u5e02\uff0c\u53ef\u4ee5\u70ba\u5927\u5e02\u56de\u5831\u9032\u884c\u5b8c\u5168\u5c0d\u6c96\uff08perfect hedge\uff09\u3002\u90a3\u4f60\u4ee5\u5f8c\u90fd\u4e0d\u7528\u7406\u6703\u4ed6\u4e86\uff0c\u56e0\u70bashort futures\u6216long FI\u5357\u65b9\u6046\u6307\uff087300\uff0c\u5047\u8a2d\u8a0e\u8ad6\u9999\u6e2f\u5e02\u5834\uff09\u90fd\u80fd\u9054\u5230\u540c\u6a23\u6548\u679c\u3002 \u5982\u76f8\u95dc\u6027\u662f+1\uff0c\u90a3\u7b56\u7565\u8207\u5927\u5e02\u57fa\u672c\u4e0a\u540c\u6b65\u79fb\u52d5\uff0c\u4ee3\u8868\u8a72\u7b56\u7565\u53ealong the market\uff0c\u5f9e\u4f86\u6c92\u6709value add\uff0c\u9a19\u53d6\u7a3f\u8cbb\/\u7ba1\u7406\u8cbb\/\u77e5\u540d\u5ea6\u3002 \u66f4\u5371\u96aa\u7684\u662f\uff0c\u5e02\u5834\u9762\u81e8\u718a\u5e02\u6642\uff0c\u7b56\u7565\u4e5f\u6703\u8ddf\u7740\u5e02\u5834\u5927\u8dcc\u3002\u5047\u82e5\u4f60\u6709\u505a\u5206\u6563\uff0c\u628a50%\u8cc7\u91d1\u653e\u5728\u7b56\u7565\uff0c50%\u653e\u5230\u5927\u5e02\uff0c\u7531\u65bc\u5169\u8005\u540c\u6b65\u6025\u8dcc\uff0c\u4f60\u53ea\u6703\u5927\u8f38\u3002 \u6240\u4ee5\uff0c\u76f8\u95dc\u6027\u662f0\u5176\u5be6\u6700\u597d\uff0c\u56e0\u70ba\u7b56\u7565\u8207\u5927\u5e02\u6beb\u7121\u95dc\u4fc2\u3002\u4e0d\u8ad6\u725b\u718a\u5e02\uff0c\u7b56\u7565\u56de\u5831\u90fd\u4e0d\u6703\u53d7\u5230\u5f71\u97ff\u3002\u540c\u6642\u4ea6\u4ee3\u8868\u7b56\u7565\u672c\u8eab\u6c92\u6709\u56b4\u91cd\u7684long\/short bias\uff0c\u5373\u6c92\u6709\u9577\u6642\u9593\u6301\u6709\/\u6cbd\u7a7a\u5e02\u5834\uff0c\u8868\u793a\u4f60\u4e0d\u80fd\u8f15\u6613\u81ea\u884c\u6a21\u4eff\u8a72\u7b56\u7565\u7684\u56de\u5831\uff0c\u90a3\u8a72\u7b56\u7565\u4fbf\u6709\u5176\u50f9\u503c\u4e86\u3002 \u7b2c\u4e8c\u500b\u6578\u64da\u662falpha\uff0c\u4ee3\u8868\u8207\u5e02\u5834\u5b8c\u5168\u7121\u95dc\u7684\u984d\u5916\u56de\u5831\uff0c\u4ea6\u662f\u9802\u5c16\u5927\u6236\u8ffd\u6c42\u7684\u7d55\u5c0d\u56de\u5831\uff08absolute return\uff09\u3002\u5c07\u7b56\u7565\u8207\u5927\u5e02\u56de\u5831\u9032\u884c\u8ff4\u6b78\u5206\u6790\uff08regression analysis\uff09\uff0c\u5c31\u80fd\u8f15\u6613\u8a08\u7b97alpha\u3002\u7531\u65bc\u6b64\u6578\u5b57\u8207\u5e02\u5834\u56de\u5831\u7121\u95dc\uff0c\u5176\u5be6\u91cf\u5316\u4e86\u7b56\u7565\u7684\u9644\u52a0\u50f9\u503c\u3002Alpha\u8d8a\u9ad8\uff0c\u7b56\u7565\/\u8ca1\u6f14\/\u57fa\u91d1\u7d93\u7406\u7684\u9644\u52a0\u50f9\u503c\u8d8a\u5927\uff0c\u4f60\u4ed8\u51fa\u7684\u7a3f\u8cbb\/\u7ba1\u7406\u8cbb\u5c31\u8d8a\u7269\u6709\u6240\u503c\u3002\u5982alpha=0\uff0c\u751a\u81f3\u51fa\u73fe\u8ca0\u6578\uff0c\u4f60\u7684\u4ed8\u51fa\u5c31\u662f\u5b8c\u5b8c\u5168\u5168\u7684\u6d6a\u8cbb\u3002 \u7b2c\u4e09\u662fbeta\uff0c\u4ee3\u8868\u7b56\u7565\u7684\u5e02\u5834\u98a8\u96aa\uff0c\u4ea6\u91cf\u5316\u4e86\u7b56\u7565\u8207\u5e02\u5834\u56de\u5831\u7684\u654f\u611f\u5ea6\uff0c\u540c\u6a23\u7531regression\u800c\u751f\u3002\u6578\u503c\u8d8a\u9ad8\uff0c\u4ee3\u8868\u7b56\u7565\u56de\u5831\u8d8a\u5bb9\u6613\u53d7\u5e02\u5834\u98a8\u96aa\u5f71\u97ff\uff0c\u6216\u8d8a\u80fd\u88ab\u5e02\u5834\u56de\u5831\u89e3\u91cb\u3002\u4f46\u5e02\u5834\u98a8\u96aa\u7684exposure\u5176\u5be6\u53ef\u4ee5\u900f\u904e\u6307\u6578ETF\u7372\u5f97\uff0c\u7528\u4e0d\u7740\u9644\u4e0a\u7a3f\u8cbb\/\u7ba1\u7406\u8cbb\u3002\u500b\u4eba\u8a8d\u70ba\u4ed8\u9322\u7372\u53d6\u6c92\u6709alpha\uff0c\u53ea\u6709\u9ad8beta\u7684\u7b56\u7565\u975e\u5e38\u4e0d\u503c\u5f97\u3002 \u95dc\u65bc\u4ee5\u4e0a\u8a08\u91cf\u7684\u8a73\u7d30\u8a08\u7b97\u64cd\u4f5c\uff0c\u7bc7\u5e45\u6709\u9650\uff0c\u6055\u5c0f\u5f1f\u672a\u80fd\u76e1\u9304\u3002\u4e0d\u904e\uff0c\u6211\u7684\u8b80\u8005\u5c64\u6b21\u90fd\u6bd4\u8f03\u9ad8\uff0c\u81ea\u884cGoogle\u4e0a\u8ff0\u8a08\u91cf\u5728excel\/python\u5982\u4f55\u64cd\u4f5c\u7d55\u5c0d\u4e0d\u96e3\uff0c\u800c\u4e14\u76f8\u4fe1\u90e8\u4efd\u8b80\u8005\u4ea6\u6709\u53c3\u8207\u904e\u6211\u7684\u8a08\u91cf\u4ea4\u6613\u8ab2\u7a0b\uff0c\u6240\u4ee5\u6280\u8853\u4e0a\u7684\u554f\u984c\uff0c\u6709\u6a5f\u6703\u624d\u8a73\u8ff0\u3002 \u6700\u5f8c\uff0c\u9644\u4e0a\u81ea\u5df1\u4e00\u5e74\u771f\u5009\u7684track record\u3002Sharpe ratio 1.64\uff0cMaximum drawdown 3.64%\uff0c\u8207\u5927\u5e02\u7684\u76f8\u95dc\u6027-0.04\uff0c\u5e74\u56de\u583126%\uff0c\u7b97\u662f\u5c0d\u5f97\u4f4f\u81ea\u5df1\u3002 \uff08\u4ee5\u4e0a\u5716\u7247\u6e90\u65bcInteractive Brokers Report\uff09"}